[Ml-stat-talks] Wilks Statistics Seminar on Friday: Richard Nickl (University of Cambridge)

Lucy Xia lxia at princeton.edu
Thu Sep 12 14:20:46 EDT 2013

You are very welcomed to tomorrow's Wilks Seminar given by Richard Nickl from Cambridge University. Detailed information please see below.

=== Wilks Statistics Seminar ===

DATE:   Friday, September 13

TIME:   12:30pm (lunch will be provided at 12:00pm, Sherrerd Hall 213)

LOCATION:   Sherrerd Hall 101

SPEAKER:   Richard Nickl, Cambridge University

TITLE:   Confidence Sets in Sparse Regression

ABSTRACT: The problem of constructing confidence sets in the high dimensional linear model with
n response variables and p parameters, possibly p≥n, is considered. Full honest adaptive inference is possible if the rate of sparse estimation does not exceed n−1/4, otherwise sparse adaptive confidence sets exist only over strict subsets of the parameter spaces for which sparse estimators exist. Necessary and sufficient conditions for the existence of confidence sets that adapt to a fixed sparsity level of the parameter vector are given in terms of minimal ℓ2-separation conditions on the parameter space. The design conditions cover common coherence assumptions used in models for sparsity, including (possibly correlated) sub-Gaussian designs.

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