Si avvisa che
in data 14-03-2024, alle ore 14:30 precise
presso il Politecnico di Milano, in aula Consiglio (settimo piano Dipartimento di Matematica - edificio 14),
si svolgerà il seguente seminario della serie MOX Colloquia
Simon Wood, School of Mathematics, University of Edinburgh
Titolo: On Neighbourhood Cross Validation
Abstract: Cross validation is a well known method for estimating hyperparameters in complex regression models. It comes in many varieties, but some of the more interesting flavours require multiple model fits with consequently high cost. This talk shows how the high cost can be side-stepped for a wide range of models estimated using a quadratically penalized smooth loss, with rather low approximation error. Once the computational cost has the same leading order as a single model fit, it becomes feasible to efficiently optimize the chosen cross-validation criterion with respect to multiple smoothing/precision parameters. Interesting applications include cross-validating smooth additive quantile regression models, and the use of leave-out-neighbourhood cross validation for dealing with nuisance short range autocorrelation. The link between cross validation and the jackknife can be exploited to obtain reasonably well calibrated uncertainty quantification in these case.
Il link per seguire il seminario online sarà reso disponibile pochi minuti prima dell’avvio del seminario al seguente link https://mox.polimi.it/mox-colloquia-seminars-list/mox-seminars/?id_evento=23...
Tutti gli interessati sono cordialmente invitati a partecipare, Laura Sangalli
—— Laura Maria Sangalli MOX - Dipartimento di Matematica Politecnico di Milano Piazza Leonardo da Vinci 32 20133 Milano - Italy (+39) 02 2399 4554 laura.sangalli@polimi.itmailto:laura.sangalli@polimi.it https://sangalli.faculty.polimi.it