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  • 统计与管理学院2017年学术报告第77期

    【主 题】 Nonuniformity of P-values Can Occur Early in Diverging Dimensions

    【报告人】 Yingying Fan, 教授

    University of Southern California

    【时 间】 2017年12月19日(星期二)13:30-14:10

    【地 点】 上海财经大学统计与管理学院大楼1208会议室

    摘 要】Evaluating the joint significance of covariates is of fundamental importance in a wide range of applications. To this end, p-values are frequently employed and produced by algorithms that are powered by classical large-sample asymptotic theory. It is well known that the conventional p-values in Gaussian linear model are valid even when the dimensionality is a non-vanishing fraction of the sample size, but can break down when the design matrix becomes singular in higher dimensions or when the error distribution deviates from Gaussianity. A natural question is when the conventional p-values in generalized linear models become invalid in diverging dimensions. We establish that such a breakdown can occur early in nonlinear models. Our theoretical characterizations are confirmed by simulation studies.

    嘉宾简介】Yingying Fan is an Associate Professor in Data Sciences and Operations Department of the Marshall School of Business at the University of Southern California, Associate Professor in Departments of Economics and Computer Science at USC, and an Associate Fellow of USC Dornsife Institute for New Economic Thinking (INET). She received her Ph.D. in Operations Research and Financial Engineering from Princeton University in 2007 under the supervision of Professor Jianqing Fan. Her research interests include deep learning, causal inference, personalized medicine and choices, scalable Bayesian inference, large-scale inference and false discovery rate control, networks, high-dimensional statistics, high-dimensional classification, big data problems, statistical machine learning, nonparametric statistics, business applications, and financial econometrics.Her papers have been published in journals in statistics, economics, and computer science. She serves as an associate editor of Journal of the American Statistical Association (2014-present), Journal of Econometrics (2015-present), The Econometrics Journal (2012-present), and Journal of Multivariate Analysis (2013-2016). She is the recipient of the Royal Statistical Society Guy Medal in Bronze (2017), USC Marshall Dean's Award for Research Excellence (2017), the USC Marshall Inaugural Dr. Douglas Basil Award for Junior Business Faculty (2014), the American Statistical Association Noether Young Scholar Award (2013), NSF Faculty Early Career Development (CAREER) Award (2012), Zumberge Individual Award from USC's James H. Zumberge Faculty Research and Innovation Fund (2010), and USC Marshall Dean's Award for Research Excellence (2010), as well as a Plenary Speaker at the 2011 Institute of Mathematical Statistics Workshop on Finance, Probability, and Statistics held at Columbia University.