High-Dimensional Statistics I
summary
High-dimensional settings need non-asymptotic guarantees: classification with D comparable to N shows a Kolmogorov-style alpha = N/D offset in error rates; covariance spectra follow Marchenko–Pastur so raw sample covariances are inconsistent. L1 methods (lasso) recover S-sparse signals when design obeys a restricted eigenvalue or RIP-like bound; random designs give sample complexity roughly N ~ s log D (not s^2 log D), and oracle inequalities yield prediction and parameter-error rates ~s log D / N.
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chapters (17)
- 0:00Start
- 5:28Vignette I: Linear discriminant analysis
- 6:45Classical vs. high-dimensional asymptotics
- 10:19Vignette Il: Covariance estimation
- 19:57Low-dimensional structure: Gaussian graphical models
- 21:14Gauss-Markov models with hidden variables
- 23:26Introduction
- 24:06Outline
- 25:16Noiseless linear models and basis pursuit
- 27:30Noiseless recovery: Unrescaled sample size
- 28:16Noiseless recovery: Rescaled
- 29:00Restricted nullspace: necessary and sufficient
- 36:58Illustration of restricted nullspace property
- 40:10Some sufficient conditions
- 45:29Violating matrix incoherence (elementwise/RIP)
- 49:36Direct result for restricted nullspace/eigenvalues
- 56:50Easy verification of restricted nullspace
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