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Model Selection with Many More Variables than …
Victoria StoddenStanford UniversityModel Selection with many MoreVariables than ObservationsMicrosoft Research AsiaMay 8, 2008 Victoria StoddenDepartment of Statistics, Stanford UniversityClassical Linear Regression Problem> Given predictors and response ,> Linear Model , with > Estimate with > Widely used in a huge amount of empiricalstatistical 1ny yX =+0,)N 2( 1(') 'XXXy Victoria StoddenDepartment of Statistics, Stanford UniversityDeveloping Trend> Classical Model requires , but recentdevelopments have pushed people beyond theclassical Model , to .pn<pn Victoria StoddenDepartment of Statistics, Stanford UniversityNew Data Types>MicroArray Data: is number of genes, isnumber of patients>Financial Data: is number of stocks, prices,etc, is number of time points>Data Mining: automated data collection canimply large numbers of Variables >Texture Classification in Images (eg.)
Victoria Stodden Stanford University Model Selection with Many More Variables than Observations Microsoft Research Asia May 8, 2008
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