Penalty-Free High-Dimensional Regression Model and Variable Selection
Speaker:
Mohamed Amezziane, Central Michigan University
Date and Time:
Friday, May 27, 2016 - 2:00pm to 2:30pm
Location:
Fields Institute, Room 230
Abstract:
A high-dimensional regression analysis is conducted through simple statistical manipulation of observation-wise estimators of linear regression coefficients, leading to new coefficients' estimators along with their standard errors. These estimators are then used to devise simple variable selection techniques. The estimators' performance are assessed both analytically and through simulation.