Lecture Notes in Statistics - Proceedings

Inverse Problems and High-Dimensional Estimation

Stats in the Château Summer School, August 31 - September 4, 2009

Editors: Alquier, Pierre, Gautier, Eric, Stoltz, Gilles (Eds.)

  • An excellent review of the state of the art written by leaders in their domain
  • Applications of recent estimation techniques to quantitative analysis in economics are performed
  • The two lecture notes chapters can be used for a graduate course
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About this book

The “Stats in the Château” summer school was held at the CRC château on the campus of HEC Paris, Jouy-en-Josas, France, from August 31 to September 4, 2009. This event was organized jointly by faculty members of three French academic institutions ─ ENSAE ParisTech, the Ecole Polytechnique ParisTech, and HEC Paris ─ which cooperate through a scientific foundation devoted to the decision sciences.

The scientific content of the summer school was conveyed in two courses, one by Laurent Cavalier (Université Aix-Marseille I) on "Ill-posed Inverse Problems", and one by Victor Chernozhukov (Massachusetts Institute of Technology) on "High-dimensional Estimation with Applications to Economics". Ten invited researchers also presented either reviews of the state of the art in the field or of applications, or original research contributions.

This volume contains the lecture notes of the two courses. Original research articles and a survey complement these lecture notes. Applications to economics are discussed in various contributions.

About the authors

Pierre Alquier is an associate professor at Université Paris 7 and a research fellow at CREST. He holds a PhD from Université Paris 6. His research themes are high dimensional estimation and agregation of estimators in statistics.

Eric Gautier is an associate professor at ENSAE ParisTech and a researcher at CREST. He holds a PhD from the University of Rennes 1. His research is both in probability and theoretical econometrics. Regarding the second theme, he is particularly interested in inverse problems and high dimensional estimation and their applications to economics.

Gilles Stoltz is a research fellow at CNRS, Ecole normale supérieure and an affiliated professor at HEC Paris. He holds a PhD and an habilitation from Université Paris-Sud, Orsay. His research themes concern sequential prediction of arbitrary sequences and its application to the theory of repeated games.

Reviews

From the reviews:

“This volume contains contributions from a summer school on ill-posed inverse problems and high dimensional estimation, along with other contributions. … This book looks at their relevance to economic and econometric problems. … provides a useful overview of the challenges and approaches to tackling inverse problems – I would certainly recommend it to a researcher fresh to the area.” (David J. Hand, International Statistical Review, Vol. 81 (1), 2013)

Table of contents (5 chapters)

  • Inverse Problems in Statistics

    Cavalier, Laurent

    Pages 3-96

  • Non-parametric Models with Instrumental Variables

    Florens, Jean-Pierre

    Pages 99-117

  • High Dimensional Sparse Econometric Models: An Introduction

    Belloni, Alexandre (et al.)

    Pages 121-156

  • Model Selection in Gaussian Regression for High-Dimensional Data

    Abramovich, Felix (et al.)

    Pages 159-170

  • Bayesian Perspectives on Sparse Empirical Bayes Analysis (SEBA)

    Bochkina, Natalia (et al.)

    Pages 171-189

Buy this book

eBook $99.00
price for USA (gross)
  • ISBN 978-3-642-19989-9
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $129.00
price for USA
  • ISBN 978-3-642-19988-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Inverse Problems and High-Dimensional Estimation
Book Subtitle
Stats in the Château Summer School, August 31 - September 4, 2009
Editors
  • Pierre Alquier
  • Eric Gautier
  • Gilles Stoltz
Series Title
Lecture Notes in Statistics - Proceedings
Series Volume
203
Copyright
2011
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-19989-9
DOI
10.1007/978-3-642-19989-9
Softcover ISBN
978-3-642-19988-2
Series ISSN
1869-7240
Edition Number
1
Number of Pages
XIII, 198
Number of Illustrations and Tables
12 b/w illustrations
Topics