报 告 人：李高荣

报告题目：Robust Rank Correlation Based Screening

时 间：2013年11月4日（周一）下午14:30

地 点：科学会堂A802

报告摘要：

Independence screening is a variable selection method that uses a ranking criterion to select significant variables, particularly for statistical models with nonpolynomial dimensionality or large $p$, small $n$ paradigms when $p$ can be as large as an exponential of the sample size $n$. In this paper, we propose a robust rank correlation screening (RRCS) method to deal with ultra-high dimensional data. The new procedure is based on the Kendall $\tau$ correlation coefficient between response and predictor variables rather than the Pearson correlation of existing methods. The new method has four desirable features compared with existing independence screening methods. First, the sure independence screening property can hold only under the existence of a second order moment of predictor variables, rather than exponential tails or alikeness, even when the number of predictor variables grows as fast as exponentially of the sample size. Second, it can be used to deal with semiparametric models such as transformation regression models and single-index models under monotonic constraint to the link function without involving nonparametric estimation even when there are nonparametric functions in the models. Third, the procedure can be largely used against outliers and influence points in the observations. Last, the use of indicator functions in rank correlation screening greatly simplifies the theoretical derivation due to the boundedness of the resulting statistics, compared with previous studies on variable screening. Simulations are carried out for comparisons with existing methods and a real data example is analyzed.

报告人简介：

李高荣，博士后，副教授，博士生导师。主要研究领域为非参数统计、复杂高维数据分析、经验似然推断、模型及变量选择、以及纵向数据和面板数据分析等。在"The Annals of Statistics"、 "Statistica Sinica"、"Journal of Multivariate Analysis"、"Computational Statistics and Data Analysis"等学术刊物上发表学术论文40多篇。曾获得中国博士后科学基金、上海市博士后科研资助计划项目，多次访问香港浸会大学和新加坡南洋理工大学。2010年入选北京市中青年骨干人才培养计划"和"北京市优秀人才培养资助计划"， 2012年破格入选北京工业大学"京华人才"支持计划。目前主持国家自然科学基金和高等学校博士学科点专项科研基金等科研项目。