報告題目：High-dimensional Integrative Analysis for Heterogeneous Stratified Model
報告人：嚴曉東 副研究員 山東大學
報告時間：2021年6月10日 14：00-15：00
報告地點：騰訊會議 會議 ID：295 560 073 會議密碼：0610
校内聯系人：王培潔 wangpeijie@jlu.edu.cn
報告摘要：In modern economic studies, the population heterogeneity of multiple stratifications and the high dimensionality of the predictors pose a major challenge. In this study, we introduce an integrative procedure that can be used to explore the information regarding group and sparsity structures for high-dimensional and heterogeneous stratified models. Further, we propose $K$-regression modeling as a hybrid of complex and simple models exhibiting arbitrary dependence on the stratification features, but linear dependence on other variables. $K$-regression models preeminently exhibit the following features:(i) they are essentially non-parametric with respect to the stratified feature, and parametric linearly effects in other variables with potentially integrative pattern because the effects and the corresponding sparsity structures can be the same for the stratifications in common groups but vary across different groups; (ii) the devised $K$-regression algorithm can automatically integrate the stratifications pertaining to common regression model and simultaneously estimate the corresponding effects simultaneously; (iii) the proposal quickly recovers the subpopulation and sparsity structure of the $K$-regression models within massive and high-dimensional stratifications; (iv) the resulting estimators exhibit two-layer oracle properties, i.e., the oracle estimator obtained using the known group and sparsity structures is the local minimizer of the objective function with high probability. The stratification-specific bootstrap (SSB) sampling scheme was developed to improve the integration accuracy. Furthermore, the simulation studies provide supportive evidence that the newly proposed method performs appropriately in case of finite samples; a real data example has been provided for illustration.
報告人簡介：嚴曉東，山東大學未來學者，山東大學金融研究院副研究員，山東大學經濟學院傑出青年，博士生導師，雲南大學與香港理工大學聯合培養博士，香港中文大學研究助理，中國現場統計研究會高維數據統計分會理事，山東省大數據專業建設委員會常務副秘書長，山東省應用統計學會副秘書長，山東省财政廳第一批省級政策性農業保險咨詢專家。在國際頂級期刊The Annals of Statistics, Journal of the American Statistical Association，Journal of Econometrics，以及著名期刊International Journal of forecasting， Statistica Sinica，Journal of Multivariate Analysis，Statistics in Medicine等發表論文十餘篇。目前主持國家自然科學基金，國家博士後留學基金，山東省自然科學基金、山東省社科規劃項目基金、山東省青年學者未來計劃基金。
