报告题目：Estimation of error variance via ridge regression

报 告 人：郑术蓉教授 东北师范大学

报告时间：2020年7月7日 14:00-15:00

报告地点：腾讯会议 ID：756 158 342

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校内联系人：朱复康 fzhu@jlu.edu.cn

报告摘要：

We propose a novel estimator of error variance and establish its asymptotic properties based on ridge regression and random matrix theory. The proposal is valid under both low- and high-dimensional models, and performs well not only for non-sparse cases but also for sparse ones. We assess the finite-sample performance of the proposed method in an intensive numerical study, which indicates that it is promising compared with its competitors in many interesting scenarios.

报告人简介：

郑术蓉，东北师范大学教授、博士生导师，主要从事大维随机矩阵理论及高维数据分析的研究。曾获国家自然科学基金委员会优秀青年科学基金资助，现任Journal of Multivariate Analysis 和《应用概率统计》学术期刊编委。在Journal of American Statistical Association、Annals of Statistics、Biometrika等期刊上发表和被接受发表的学术论文30多篇。在高等教育出版社以及Cambridge University Press合作出版中、英文著作各一部。