12月25日 陈钊(美国宾州州立大学)报告
 
  发布时间: 2017-12-21  
 

 

报告题目:Error Variance Estimation in Ultrahigh Dimensional Additive Models

报 告 人:陈钊博士(美国宾州州立大学)

时    间:1225日(周一)下午15:30

地    点:统计研究院426教室

摘    要:Error variance estimation plays an important role in statistical inference for high dimensional regression models. This paper concerns with error variance estimation in high dimensional sparse additive model. We study the asymptotic behavior of the traditional mean squared errors, the naive estimate of error variance, and show that it may significantly underestimate the error variance due to spurious correlations which are even higher in nonparametric models than linear models. We further propose an accurate estimate for error variance in ultrahigh dimensional sparse additive model by effectively integrating sure independence screening and refitted cross-validation techniques (Fan, Guo and Hao, 2012). The root-n consistency and the asymptotic normality of the resulting estimate are established. We conduct Monte Carlo simulation study to examine the finite sample performance of the newly proposed estimate. A real data example is used to illustrate the proposed methodology.

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                        统计研究院

  

                      20171221


 

 
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