統計数学セミナー

過去の記録 ~12/07次回の予定今後の予定 12/08~

担当者 吉田朋広、増田弘毅、荻原哲平、小池祐太
セミナーURL http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/
目的 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う.

2012年10月26日(金)

14:50-16:00   数理科学研究科棟(駒場) 006号室
参加をご希望される方は鎌谷 (阪大基礎工); kamatani at sigmath.es.osaka-u.ac.jpまでご連絡ください.
廣瀬 慧 氏 (大阪大学大学院基礎工学研究科)
Tuning parameter selection in sparse regression modeling (JAPANESE)
[ 講演概要 ]
In sparse regression modeling via regularization such as the lasso, it is important to select appropriate values of tuning parameters including regularization parameters. The choice of tuning parameters can be viewed as a model selection and evaluation problem. Mallows' Cp type criteria may be used as a tuning parameter selection tool in lasso type regularization methods, for which the concept of degrees of freedom plays a key role. In this talk, we propose an efficient algorithm that computes the degrees of freedom by extending the generalized path seeking algorithm. Our procedure allows us to construct model selection criteria for evaluating models estimated by regularization with a wide variety of convex and nonconvex penalties. The proposed methodology is investigated through the analysis of real data and Monte Carlo simulations. Numerical results show that Cp criterion based on our algorithm performs well in various situations.
[ 参考URL ]
http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/2012/10.html