Sparse statistical approach for multivariate modelling

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The research focused on the sparse modelling of multivariate models and the development of parsimonious statistical methods. The sparse modelling aimed to improve the prediction accuracy and the precision of the estimators. The main part of the research was devoted to the derivation of the theoretical properties of such sparse techniques (mainly large sample analysis) and to the assessment of the empirical performances of illustrate the relevance of the sparse modelling. We could develop fast solving algorithms and showed that the sparse approach provides good theoretical properties. We could model high-dimensional random vectors and fix the curse of dimensionality.