Elements of Statistical Learning by Hastie,
Tibshirani & Friedman
Announcements and Handouts
Signup link for take home final (deadline 10 January 2023)
25 October: Notes for class 1 Slides
from class 1 r code for class 1.
Make-up class 2 for election day on 4 November: Notes for class 2 Homework 1 (due 15 November before class). Submission in pairs is encouraged, but not in triplets or more please.
8 November: Notes for class 3 Slides demonstrating the bias-variance decomposition in Fixed-X linear regression from a geometric perspective Competition
instructions are now available. Some code to read and examine the training data.
15 November: Notes for class 4 Homework 2 due 6 December before class (you may find this writeup on quantile regression helpful). Submission in pairs is encouraged, but not in triplets or more please.
22 November: Notes for class 5 R code for running regularized regression methods on Netflix dataset
29 November:
In the first part of the class we will complete the discussion of Lasso from last week's notes. Notes on classification for class 6 R code for running classification methods on Netflix dataset
4 December: Competition week 4 update: 13 teams, 8 already in the bonus, leader still at 0.74534.
6 December: Notes on classification for class 7 (not final)
Signup link for take home final (deadline 10 January 2023)
Syllabus
The goal of this course is to gain familiarity with the basic ideas and
methodologies of statistical (machine) learning. The focus is on
supervised learning and predictive modeling, i.e., fitting y ≈ ∧f(x), in regression
and classification.
We will start by thinking about some of the simpler, but still highly effective methods, like nearest
neighbors and linear regression, and gradually learn about more complex and "modern"
methods and their close relationships with the simpler ones.
As time permits, we will also cover one or more industrial
"case studies" where we track the process from problem definition, through
development of appropriate methodology and its implementation, to deployment
of the solution and examination of its success in practice.
The homework and exam will combine hands-on programming and modeling with
theoretical analysis. Topics list:
Introduction (text chap. 1,2): Local vs. global modeling; Overview of statistical considerations: Curse of dimensionality, bias-variance tradeoff; Selection of loss functions; Basis expansions and kernels
Linear methods for regression and their extensions (text chap. 3): Regularization, shrinkage and principal components regression; Quantile regression
Linear methods for classification (text chap. 4): Linear discriminant analysis; Logistic regression; Linear support vector machines (SVM)
Classification and regression trees (text chap. 9.2)
Model assessment and selection (text chap. 7): Bias-variance decomposition; In-sample error estimates, including C_{p} and BIC; Cross validation; Bootstrap methods
Basis expansions, regularization and kernel methods (text chap. 5,6): Splines and polynomials; Reproducing kernel Hilbert spaces and non-linear SVM
Committee methods in embedded spaces (material from chaps 8-10): Bagging and boosting
Deep learning and its relation to statistical learning
Case studies: Customer wallet estimation; Netflix prize competition; maybe others...
Prerequisites
Basic knowledge of mathematical foundations: Calculus; Linear Algebra; Geometry
Undergraduate courses in: Probability; Theoretical Statistics
Statistical programming experience in R is not a prerequisite,
but an advantage
Other recommended books: Computer Age Statistical Inference by Efron and Hastie Modern Applied Statistics with Splus by Venables and Ripley Neural Networks for Pattern Recognition by Bishop
(Several other books on Pattern Recognition contain similar material) All of Statistics and All of Nonparametric Statistics by Wasserman
There will be about four homework assignments, which will count for
about 30% of the final grade, and a final take home project.
We will also have an optional data modeling competition, whose
winners will get a boost in grade and present to the whole class.
Computing
The course will require extensive use of statistical modeling software. It is recommended to use R (freely available for PC/Unix/Mac). R Project website also contains extensive documentation. A basic "getting you started in R" tutorial. Uses the Boston Housing Data (thanks to Giles Hooker). Modern Applied Statistics with Splus by Venables and Ripley is an excellent source for statistical computing help for R/Splus.
Using Python is also possible, the main downside is that the code I hand out (which in many cases is also useful for the homework) is in R.
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