Cookies

We use cookies to ensure that we give you the best experience on our website. You can change your cookie settings at any time. Otherwise, we'll assume you're OK to continue.

Durham University

Research & business

Research lectures, seminars and events

The events listed in this area are research seminars, workshops and lectures hosted by Durham University departments and research institutes. If you are not a member of the University, but  wish to enquire about attending one of the events please contact the organiser or host department.


 

Stats4Grads: A Sensitivity Analysis of Adaptive Lasso

Presented by Tathagata Basu, Durham University
13 November 2019 13:00 in CM105

Sparse regression is an effcient statistical modelling technique which is of major relevance for high dimensional statistics. There are several ways of achieving sparse regression, the well-known lasso being one of them. However, lasso variable selection may not be consistent in selecting the true sparse model. Zou proposed an adaptive form of the lasso which overcomes this issue, and showed that data driven weights on the penalty term will result in a consistent variable selection procedure. We are interested in the case that the weights are informed by a prior execution of ridge regression. We carry out a sensitivity analysis of the Adaptive lasso through the power parameter of the weights, and demonstrate that, in effect, this parameter takes over the role of the usual lasso penalty parameter. In addition, we use the parameter as an input variable to obtain an error bound on the Adaptive lasso.

Contact jonathan.owen@durham.ac.uk for more information