Yuwen Gu - Colloquium Speaker

Assistant Professor, Department of Statistics, University of Connecticut
Thursday, May 6, 2021 - 3:15pm
Colloquium Title: 
Sparse Composite Quantile Regression in Ultrahigh Dimensions with Tuning Parameter Calibration


When estimating coefficients in a linear model, the (sparse) composite quantile regression proposed in Zou and Yuan (2008) serves as an efficient alternative to the (sparse) least squares to handle arbitrary errors. The highly nonsmooth nature of the composite loss in the sparse composite quantile regression makes its theoretical analysis as well as numerical computation much more challenging than the least squares method. The theory in Zou and Yuan (2008) was proven under fixed-dimension asymptotics and the estimator was computed via linear programming that does not scale well with high dimensions. We study the sparse composite quantile regression under ultrahigh dimensionality and make three contributions. First, we provide a non-asymptotic analysis of both the lasso and the folded concave penalized composite quantile regression, which reveals a practical way of achieving the oracle estimator. Second, we construct information criteria for selecting the regularization parameter in the folded concave penalized composite quantile regression and prove their selection consistency. Third, we exploit the structure of the composite loss and design a specialized optimization algorithm for computing the penalized composite quantile regression via the alternating direction method of multipliers. We conduct extensive simulations to illustrate the theoretical results.


Everyone is welcome to join! Please note that the meeting opens at 3:15pm, and the presentation is at 3:30-4:20pm. There will be time afterward for Q&A with the speaker.

Topic: Colloquia: Department of Statistics and Actuarial Science, The University of Iowa

Time: May 6, 2021 03:15 PM Central Time (US and Canada)

Join Zoom Meeting


Meeting ID: 949 5289 2803

One tap mobile

+13126266799,,94952892803# US (Chicago)

+16468769923,,94952892803# US (New York)

Dial by your location

        +1 312 626 6799 US (Chicago)

        +1 646 876 9923 US (New York)

        +1 301 715 8592 US (Washington DC)

        +1 346 248 7799 US (Houston)

        +1 669 900 6833 US (San Jose)

        +1 253 215 8782 US (Tacoma)

Meeting ID: 949 5289 2803

Find your local number: https://uiowa.zoom.us/u/ac38DWF69h

Join by SIP


Join by H.323 (US West) (US East) (India Mumbai) (India Hyderabad) (Amsterdam Netherlands) (Germany) (Australia Sydney) (Australia Melbourne) (Brazil) (Canada Toronto) (Canada Vancouver) (Japan Tokyo) (Japan Osaka)

Meeting ID: 949 5289 2803