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Yohann DE CASTRO (Ecole Ponts ParisTech) – “Exact False Negative Control using Stopping Times on the LAR’s Path”

May 20, 2:00 pm - 3:15 pm

The Statistical Seminar: Every Monday at 2:00 pm.

Time: 2:00 pm – 3:15 pm
Date: 20 th of May 2019
Place: Room 3001.

Yohann DE CASTRO (Ecole Ponts ParisTech) – “Exact False Negative Control using Stopping Times on the LAR’s Path”

Abstract: In this talk we introduce a new exact testing procedure in high dimensional linear regression framework using the outcomes of the standard Least Angle Regression (LAR) algorithm. Under the Gaussian noise assumption, we give the exact law of the sequence of knots conditional on the sequence of variables entering the model (i.e., the ‘‘post-selection” law of the knots of the LAR). Based on this result, we introduce a new exact testing procedure on the existence of false negatives. This testing procedure can be deployed after any support selection procedure that will produce an estimation of the support (i.e., the indexes of nonzero coefficients). The type I error of the test can be exactly controlled as long as the selection procedure follows some elementary hypotheses, referred to as ‘‘admissible selection procedures”. These support selection procedures are such that the estimation of the support is given by the k first variables entering the model where the random variable k is a stopping time.

 

Organizers:
Cristina BUTUCEA, Alexandre TSYBAKOV, Julie JOSSE, Eric MOULINES, Mathieu ROSENBAUM

Sponsors:
CREST-CMAP

 

Details

Date:
May 20
Time:
2:00 pm - 3:15 pm
Event Category:

Venue