ERC Consolidator Grant · 2018
Statistical Methods For High Dimensional Diffusions
In the past twenty years the availability of vast dimensional data, typically referred to as big data, has given rise to exciting challenges in various fields of mathematics and computer sciences. The increasing need for getting a better understanding of such data in internet traffic, biology, genetics, and economics, has lead to a revolution in statistical and machine learning, optimisation and numerical analysis. Due to high dimensionality of modern statistical models, parameter estimation is a difficult task and statisticians typically investigate estimation methods under sparsity constraints. While an abundance of estimation algorithms is now available for high dimensional discrete…
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