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  • 统计与管理学院2017年学术报告第20

     

    【主  题】Hodges’ Superefficiency and Oracle Property in Model Selection

    【报告人】周宪, 教授

    Macquarie University, Sydney, Australia.

    【时  间】 2017年04月26日(星期三)15:30-16:30

    【地  点】 上海财经大学统计与管理学院大楼1208室

    【摘  要】The oracle property of model selection procedures has attracted a large volume of favorable publications in the literature, but also faced criticisms of being ineffective and misleading in applications. In this paper, we present a new type of Hodges’ estimators that can easily produce model selection procedures with the oracle and some other desired properties, but perform poorly at some values of the parameters. This reveals a lack of convincing reasons to declare that oracle estimators are better than the traditional estimators such as the MLE and LSE. Consequently, the merits of the oracle property for model selection as extensively advocated in the literature are questionable and lack of proper justifications. In particular, because the mathematics employed in this paper are at a quite elementary level, the finding raises some convincing new points regarding the oracle property and exposes some overlooked but important facts on model selection procedures.

    【邀请人】 尤进红