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Centre for Statistical Methodology Seminar
Thursday 24 January 2019, 12:45-2:00pm
LG8, Keppel Street
Heather Battey (Imperial College London)
Title: Large numbers of explanatory variables.
Abstract: The lasso and its variants are powerful methods for regression analysis when there are a small number of study individuals and a large number of potential explanatory variables. There results a single model, while there may be several simple representations equally compatible with the data. I will outline a different approach, whose aim is essentially a confidence set of models. The talk is based on joint work with David Cox.