Wojciech Rejchel: Fast and Robust Procedures in High-Dimensional Variable Selection скачать в хорошем качестве

Wojciech Rejchel: Fast and Robust Procedures in High-Dimensional Variable Selection

This is a recording of Wojchiech Rejchel's presentation for the statistical learning seminar series on May 29, 2020. Abstract: We investigate the variable selection problem in the single index model Y=g(β′X,ϵ), where g is unknown function. Moreover, we make no assumptions on the distribution of errors, existence of their moments etc. We propose a computationally fast variable selection procedure, which is based on standard Lasso with response variables replaced by their ranks. If response variables are binary, our approach is even simpler: we just treat their class labels as they were numbers and apply standard Lasso. We present theoretical and numerical results describing variable selection properties of the methods.