M2MO: Modélisation Aléatoire, Finance et Data Science

Master en statistique, probabilités et finance - Université Paris 7 - Paris Diderot

Courses Group Data Science Statistics in high dimension

Statistics in high dimension

Lecturer: B-E. Chérief Abdellatif

Period: Term 3


Schedule: 2h lectures per week 

The goal of this course is to understand the main challenges raised by high dimensionality in statistics.

The following topics will be covered:

- Curse of dimensionality.

- Shrinkage and Regularization.

- Sparsity and model selection.

- Convex relaxation.

- Theoretical study of the LASSO estimator.

- Over-parameterization and benign overfitting.