Runze Li - Colloquium Speaker

Eberly Family Chair Professor, Department of Statistics, Penn State University
Date: 
Thursday, September 8, 2022 - 3:15pm
Colloquium Title: 
Model-Free Conditional Feature Screening with FDR Control

Abstract:

In this paper, we propose a model-free conditional feature screening method with false discovery rate (FDR) control for ultra-high dimensional data. The proposed method is built upon a new measure of conditional independence. Thus, the new method does not require a specific functional form of the regression function and is robust to heavy-tailed responses and predictors. The variables to be conditional on are allowed to be multivariate. The proposed method enjoys sure screening and ranking consistency properties under mild regularity conditions. To control the FDR, we apply the Reflection via Data Splitting method and prove its theoretical guarantee using martingale theory and empirical process techniques. Simulated examples and real data analysis show that the proposed method performs very well compared with existing works.

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Topic: Colloquium -- Department of Statistics and Actuarial Science -- University of Iowa
Time: Sep 8, 2022 03:15 PM Central Time (US and Canada)

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Meeting ID: 919 6962 2615