题  目: Sure Explained Variability and Independence Screening

报告人：陈敏 研究员  中国科学院数学与系统科学研究院

时  间：2018年6月12日（周二）下午2点30分

地  点：数学系一楼108报告厅

摘  要:  In the era of Big Data, extracting the most important exploratory variables available in ultrahigh dimensional data plays a key role in scientific researches. Existing researches have been mainly focusing on applying the extracted exploratory variables to describe the central tendency of their related response variables. For a response variable, its variability characteristic is as much important as the central tendency in statistical inference. This paper focuses on the variability and proposes a new model-free feature screening approach: sure explained variability and inde-pendence screening (SEVIS). The core of SEVIS is to take the advantage of recently proposed asymmetric and nonlinear generalized measures of correlation in the screening. Under some mild conditions, the paper shows that SEVIS not only possesses desired sure screening property and ranking consistency property, but also is a computational convenient variable selection method to deal with ultrahigh-dimensional data sets with more features than observations. The superior performance of SEVIS, compared with existing model-free methods, is illustrated in extensive simulations. A real example in ultrahigh-dimensional variable selection demonstrates that the variables selected by SEVIS better explain not only the response variables, but also the variables selected by other methods.

邀请人：杨孝平 老师