CMU ML talk: Rodeo: Sparse Nonparametric Regression in High Dimensions

Speaker: Larry Wasserman, CMU http://www.stat.cmu.edu/~larry/
Date: April 03
Time: 12:00 noon

Abstract:
We present a method for simultaneously performing bandwidth selection and variable selection in nonparametric regression. The method starts with a local linear estimator with large bandwidths, and incrementally decreases the bandwidth in directions where the gradient of the estimator with respect to bandwidth is large. When the unknown function satisfies a sparsity condition, the approach avoids the curse of dimensionality. The method---called rodeo(regularization of derivative expectation operator)---conducts a sequence of hypothesis tests, and is easy to implement. A modified version that replaces testing with soft thresholding may be viewed as solving a sequence of lasso problems. When applied in one dimension, the rodeo yields a method for choosing the locally optimal bandwidth.
Joint work with John Lafferty.