Seminar in Statistics - On the risk of LASSO type estimators

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Title: On the risk of LASSO type estimators
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Abstract:

This talk attempts to address the issues of sparsity and mathematically intractable risk of LASSO estimator - by introducing a parallel LASSO-type estimator which does not rest on sparsity and whose risk is exactly computable. It offers a generalization of the classical LASSO estimator for non-orthogonal design, allowed to be of less than full rank. We compare the risk of new estimator with its shrinkage competitor, the ridge estimator.

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You are very welcome to participate.