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Correlated variables in regression: clustering and sparse estimation
Canonical correlation group Lasso Hierarchical clustering High-dimensional inference Lasso Oracle inequality Variable screening Variable selection
2012/11/23
We consider estimation in a high-dimensional linear model with strongly correlated variables. We propose to cluster the variables first and do subsequent sparse estimation such as the Lasso for cluste...
Real-time semiparametric regression
Approximate Bayesian inference Generalized additive models Meaneld vari-ational Bayes Mixed models Online variational Bayes Penalized splines Wavelets
2012/11/22
We develop algorithms for performing semiparametric regression analysis in real time, with data processed as it is collected and made immediately available via modern telecommunications technologies. ...
Asymptotic minimax risk of predictive density estimation for non-parametric regression
asymptotic minimax risk convergence rate non-parametric regression
2010/10/19
We consider the problem of estimating the predictive density of future observations from a non-parametric regression model. The density estimators are evaluated under Kullback--Leibler divergence and ...