Inference for high-dimensional Poisson regression problems

Inference for high-dimensional Poisson regression problems
Speaker:  Vincent Rivoirard - Paris-Dauphine
  Wednesday, February 14, 2018 at 12:30 PM Polo Santa Marta, Via Cantarane 24, Room 1.59
Sparse linear regression problems appear in a variety of settings, but often the noise contaminating observations cannot accurately be described as bounded by or arising from a Gaussian distribution. Poisson observations in particular are a characteristic feature of several real-world applications. Previous work on sparse Poisson regression problems encountered several limiting technical hurdles. This talk describes a novel alternative analysis approach for sparse Poisson inverse problems that (a) sidesteps the technical challenges present in previous work, (b) admits estimators that can readily be computed using off-the-shelf LASSO algorithms, and (c) hints at a general weighted LASSO framework for broad classes of problems. At the heart of this new approach lies a weighted LASSO estimator for which data-dependent weights are based on Poisson concentration inequalities. Unlike previous analyses of the weighted LASSO, the proposed analysis depends on conditions which can be checked or shown to hold in general settings with high probability.

Programme Director
Catia Scricciolo

Publication date
December 15, 2016