SD-TSIA-204: Linear Models

graduate course, Télécom Paris,

In this course, we will first discuss the simple linear (least squares) model before presenting the general framework, which includes logistic regression. We will then consider the estimation and testing problems in these models. Finally, we will present the problem of variable selection in such a context, relying mainly on L1 (Lasso) regularization/penalization and on greedy selection methods.