报告题目：Threshold selection in feature screening for error rate control

报 告 人：郭旭 副教授 北京师范大学

报告时间：2021年11月12日 10:30-11:30

报告地点：腾讯会议 ID：221 156 831  会议密码：1112

校内联系人：朱复康 fzhu@jlu.edu.cn

报告摘要：Hard thresholding rule is commonly adopted in feature screening procedures to screen out unimportant predictors for ultrahigh-dimensional data. However, different thresholds are required to adapt to different contexts of screening problems and an appropriate thresholding magnitude usually varies from the model and error distribution. With an ad-hoc choice, it is unclear whether all of the important predictors are selected or not, and it is very likely that the procedures would include many unimportant features. We introduce a data-adaptive threshold selection procedure with error rate control, which is applicable to most kinds of popular screening methods. The key idea is to apply the sample-splitting strategy to construct a series of statistics with marginal symmetry property and then to utilize the symmetry for obtaining an approximation to the number of false discoveries. We show that the proposed method is able to asymptotically control the false discovery rate and per family error rate under certain conditions and still retains all of the important predictors. Three important examples are presented to illustrate the merits of the new proposed procedures. Numerical experiments indicate that the proposed methodology works well for many existing screening methods.

报告人简介：郭旭，北京师范大学统计学院副教授，博士生导师。于2014年获得香港浸会大学博士学位。自2018年9月至2020年2月作为助理研究教授访问美国宾州州立大学统计系。一直从事模型设定检验、高维数据分析和半参数回归分析等方面的研究，在包括统计学顶级期刊JRSSB， JASA和Biometrika等SCI和SSCI期刊发表论文40篇左右，为包括Econometrica，JASA，Journal of Econometrics，Statistica Sinica等统计学和计量经济学期刊审稿。先后主持国家自然科学基金青年基金、国家自然科学基金面上项目以及北京市自然科学基金面上项目等省部级项目。