報告題目：Estimation of error variance via ridge regression
報 告 人：鄭術蓉教授 東北師範大學
報告時間：2020年7月7日 14:00-15:00
報告地點：騰訊會議 ID：756 158 342
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校内聯系人：朱複康 fzhu@jlu.edu.cn
報告摘要：
We propose a novel estimator of error variance and establish its asymptotic properties based on ridge regression and random matrix theory. The proposal is valid under both low- and high-dimensional models, and performs well not only for non-sparse cases but also for sparse ones. We assess the finite-sample performance of the proposed method in an intensive numerical study, which indicates that it is promising compared with its competitors in many interesting scenarios.
報告人簡介：
鄭術蓉，東北師範大學教授、博士生導師，主要從事大維随機矩陣理論及高維數據分析的研究。曾獲國家自然科學基金委員會優秀青年科學基金資助，現任Journal of Multivariate Analysis 和《應用概率統計》學術期刊編委。在Journal of American Statistical Association、Annals of Statistics、Biometrika等期刊上發表和被接受發表的學術論文30多篇。在高等教育出版社以及Cambridge University Press合作出版中、英文著作各一部。
