SFB 649 "Economic Risk" - C.A.S.E. - PASCAL - WIAS
Workshop on
Sparsity and Inverse Problems in Statistical Theory and Econometrics
[ Friday and Saturday, Dec. 5 & 6, 2008 ]
Background
Data sets with a very large number of explanatory variables are becoming more and more common as features of both applications and theoretical investigations. In economical applications for instance, the revealed preference of market players is observed, and the analyst tries to understand them by a complex model by which the players' behavior can be understood as an indirect observation. State-of-the art statistical approaches often formulate such models as inverse problems, but the corresponding methods can suffer of the curse of dimensionality: when there are "too many" possible explanatory variables, additional regularization is needed. Inverse problem theory already offers sophisticated regularization methods for smooth models, but is just beginning to integrate sparsity concepts. For high-dimensional linear models, sparsity regularizations have proved to be a convincing way to tackle the issue both in theory and practice, but there remains a vast ground to be explored. Paralleling the statistics community are also recent advances in machine learning methodology and statistical learning theory, where the themes of sparsity and inverse problems have been intertwined.The workshop will focus on the different ways to attack a same question: there are many potential models to choose from, but each of them is relatively simple - each model is parameterized by many variables, most of them are zero. Yet, the choice of the right model or regularization parameter is crucial to obtain stable and reliable results.
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The meeting will take place from Friday, Dec. 5th, morning to Saturday, Dec. 6th, early afternoon.
General Information
Location
Weierstrass Institute for Applied Analysis and StochasticMohrenstr. 39
10117 Berlin Mitte
Germany
Organizing Committee
Gilles Blanchard, Wolfgang Härdle, Markus Reiß, Ya'acov Ritov, and Vladimir Spokoiny.
Administration
Ms. Andrea Fiebig:
Institute of MathematicsHumboldt University
Unter den Linden 6,
D-10099 Berlin, Germany,
FAX no. +49 (0)30 2093 - 5848
Tel. +49 (0)30-2093-5860
For questions, please email Ya'acov Ritov at yaacov.ritov@gmail.com
Confirmed Invited Speakers
- Gérard Biau - Pierre and Marie Curie University, Paris
- Peter Bickel - University of California at Berkeley
- Peter Bühlmann - ETH Zürich
- Sara van de Geer - ETH Zürich
- Alois Kneip - University of Bonn
- Joel Horowitz - Northwestern University
- Benedikt Poetscher - University of Vienna
- Alexander Tsybakov - CREST and Pierre and Marie Curie University, Paris
Registration
Registration fee is 100 Euro, 50 for students, including dinner and coffee. The registration fee will be waved under some special circumstances). The number of participants is strictly limited. Deadline for contributed talks is October 31st. Please fill in the registration form [note: PDF] and send it by fax or postal mail to Andrea Fiebig (information above).
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