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Rustagi Lecture: Larry Wasserman

Larry Wasserman, our 2017 Rustagi Lecturer
April 6, 2017
All Day
209 W Eighteenth Ave (EA), Room 170

Title

Forget About Beta

Speaker

Professor Larry Wasserman, Carnegie Mellon University

Abstract

Most inferential methods for high dimensional regression focus on estimating the linear coefficient beta. This focus is the result of trying to transfer low dimensional thinking into the high dimensional world. Inference for linear coefficients is not meaningful unless we impose very strong, untestable assumptions. I'll talk about assumption-free methods for inference in high dimensional regression. The only assumption we make is exchangeability. We do not assume linearity, Normality, constant variance or restricted eigenvalue conditions.