Lecturer: B-E. Chérief Abdellatif
Period: Term 3
ECTS: 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.
