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

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

Organisateur(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

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

12 21

On the use of overfitting for estimator selection

De 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.)

Informations sur la vidéo

Date de captation 06/10/2022
Date de publication 03/05/2024
Institut IHP
Langue Anglais
Audience Chercheurs
Réalisateur(s) Alexandre Duplessis, Marco Perez
Format MP4
Lieu Amphitheater Hermite, IHP

Données de citation

DOI 10.57987/IHP.2022.T3.WS1.012
Citer cette vidéo 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

Domaine(s)

Statistiques - Théorie

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