STAT 444/844 and CM 464/764: Statistical Learning: Function Estimation Winter 2013 Instructor: Shojaeddin Chenouri Oce: M3 3124

Instructors oce hours: MW 11:00 am -12:00 pm. Teaching Assistant: Garcia (Jiaxi) Liang. His oce hours are on Fridays 3:30-4:30 in M3 3108 space 1. A week prior to assignment dues or exam, his oce hours are Fridays 3:30 - 5:30. Lectures: MWF 14:30 -15:20 in Room: MC 1056 Evaluation: Assignments (40%), Midterm Exam or Group Project (TBD) (15%), Final Exam (45%). Prerequisites: CM 361/STAT 341 or STAT 331 or STAT 361 or STAT 371 TENTATIVE COURSE OUTLINE 1. Basic concepts: A review on multiple linear regression, nonlinear regression, the bias-variance tradeo, integrated risk, integrated mean square error, kernels, loss functions, condence sets, curse of dimensionality. 2. Nonparametric regression: Linear smoothers, local regression, penalized regression, regularization, smoothing splines, wavelets, additive models, local likelihood and exponential families, regression trees, condence bands. 3. Nonparametric density estimation: histograms, kernel density estimation, local polynomials, wavelets, multivariate density estimation, condence bands. 4. Nonparametric intensity estimation: 5. Models assessments: cross validation, bandwidth selection, tuning parameters. 6. High dimensional problems: Variable selection in multiple regression, ridge regression, garrotte, lasso, LARS, Dantzig selector, adaptive lasso, elastic net, group lasso etc. Some References: 1. Berk, R. A. (2008). Statistical Learning from a Regression Perspective. Springer, New York 2. B uhlmann, P. and van de Geer (2011). Statistics for High-Dimensional Data: Methods, Theory and Applications. Springer, New York. 3. Clarke, B., Fokoue, E. and Zhang, H. H. (2009). Principles and Theory for Data Mining and Machine Learning, Springer, New York. 4. Efromovich, S. (1999). Nonparametric Curve Estimation. Springer, New York. 5. Green, P. J. and Silverman, B. W. (1994). Nonparametric Regression and Generalized Linear Models: A roughness penalty approach. Chapman & Hall. 6. Hastie, T., Tibshirani, R. and Friedman, J. (2009) The Elements of Statistical Learning, 2nd edition, Springer, New York. 7. Scott, D. W. (1992). Multivariate Density Estimation: Theory, Practice and Visualization. Wiley, New York. 8. Silverman, B. W. (1986). Density Estimation for Statistics and Data Analysis, Chapman & Hall 9. Wasserman, L. (2006) All of Nonparametric Statistics, Springer, New York. 10. Wahba, G. (1990). Spline Models for Observational Data, SIAM, Philadelphia. 11. Wang, Y. (2011), Smoothing Splines: Methods and Applications. CRC Press. 12. Venables, W. N. and Ripley (2002). Modern Applied Statistics with S. 4th edition, New York, Springer.