Large-Scale Model Selection with Misspecification

17 Mar 2018Emre DemirkayaYang FengPallavi BasuJinchi Lv

Model selection is crucial to high-dimensional learning and inference for contemporary big data applications in pinpointing the best set of covariates among a sequence of candidate interpretable models. Most existing work assumes implicitly that the models are correctly specified or have fixed dimensionality... (read more)

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