2022 - T3 - WS1 - Non-Linear and High Dimensional Inference

Collection 2022 - T3 - WS1 - Non-Linear and High Dimensional Inference

Organizer(s) Aamari, Eddie ; Aaron, Catherine ; Chazal, Frédéric ; Fischer, Aurélie ; Hoffmann, Marc ; Le Brigant, Alice ; Levrard, Clément ; Michel, Bertrand

Date(s) 03/10/2022 - 07/10/2022

linked URL https://indico.math.cnrs.fr/event/7545/

12 21

On the use of overfitting for estimator selection

By Claire Lacour

In this talk we consider theproblem of estimator selection. In the case of density estimation, we study a method called PCO, which is intermediate between Lepski’s method and penalized empirical risk minimization. The key point is the comparison of all the estimators to the overfitted one. We provide some theoretical results which lead to some fully data-driven selection strategy. We will also show the numerical performance of the method. (Joint work with P. Massart, V. Rivoirard and S. Varet.)

Information about the video

Date of recording 06/10/2022
Date of publication 24/04/2024
Institution IHP
Language English
Audience Researchers
Director(s) Alexandre Duplessis, Marco Perez
Format MP4
Venue Amphitheater Hermite, IHP

Citation data

DOI 10.57987/IHP.2022.T3.WS1.012
Cite this video Lacour, Claire (06/10/2022). On the use of overfitting for estimator selection. IHP. Audiovisual resource. DOI: 10.57987/IHP.2022.T3.WS1.012
URL https://dx.doi.org/10.57987/IHP.2022.T3.WS1.012

Domain(s)

Statistics Theory

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