High-dimensional data analysis

course High-dimensional data analysis
lecturer Mark A. van de Wiel, Wessel N. van Wieringen
contact mark.vdwiel@vumc.nl, w.n.van.wieringen@vu.nl
credits 6 ETC
period 2nd semester (2017-2018)
schedule Fridays, 10:00-13:00
dates Weeks 36 to 51
location VU University Amsterdam
room Room 408, Snellius Building, Mathematical Institute, Leiden University
lectures Handouts of lectures
exercises Practical
R R manuals
exam January 12, 2018; retake: February 9, 2018 (ALWAYS CHECK SCHEDULE FOR LATEST INFO!)
old exams Example exams
literature Ridge regression:
  1. Van Wieringen, W.N. (2015), "Lecture notes on ridge regression", arXiv:1509.09169 [stat.ME].
  2. Additional notes handed out during the lecture.
Lasso regression:
  1. Tibshirani, R. (1996), "Regression shrinkage and selection via the lasso." JRRS B 58(1), 267-288..
Penalized covariance estimation:
  1. Schäfer, J., Strimmer, K. (2005), "A shrinkage approach to large-scale covariance matrix estimation and implications for functional genomics." Statistical applications in genetics and molecular biology 4(1).
  2. Van Wieringen, W.N., Peeters, C.F.W. (2016), "Ridge estimation of inverse covariance matrices from high-dimensional data", Computational Statistics and Data Analysis, 103, 284-303.
  3. Friedman, J., Hastie, T., Tibshirani, R. (2008), "Sparse inverse covariance estimation with the graphical lasso." Biostatistics 9(3), 432-441.
  4. Additional notes handed out during the lecture.

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