Efficient Feature Screening for Ultrahigh-dimensional Varying Coefficient Models

讲座简介

Feature screening in ultrahigh-dimensional varying coefficient models is a crucial statistical problem in economics, genomics and etc. Existing methods suffer in the cases of multiple index variables and group predictor variables. Moreover, current methods can not handle nonlinear varying coefficient models which is possible in reality.

To deal with those scenarios efficiently in real life, we develop a screening procedure for ultrahigh-dimensional varying coefficient models utilizing conditional distance covariance (CDC). Extensive stimulation studies and two real economic data examples have shown the effectiveness and the flexibility of our proposed methods.

时间

2017-06-16

09:00 ~ 10:00

主讲人

Chen Xin, National University of Singapore

地点

信息管理与工程学院308室
上海财经大学（第三教学楼西侧）
上海市杨浦区武东路100号