题目：Adjusting the Benjamini-Hochberg method for controlling the false discovery rate in knockoff-assisted variable selection

主讲人：美国天普大学 汤琤咏教授

主持人：统计学院 常晋源教授

时间：2022年5月20日（周五）上午9:00-10:00

地点：腾讯会议，863 519 982

报告摘要：

The knockoff-based multiple testing setup of Barber and Candes (2015) for variable selection in multiple regression where sample size is as large as the number of explanatory variables is considered. The method of Benjamini and Hochberg (1995) based on ordinary least squares estimates of the regression coefficients is adjusted to this setup, transforming it to a valid p-value based false discovery rate controlling method not relying on any specific correlation structure of the explanatory variables. Simulations and real data applications show that our proposed method that is agnostic to π_0, the proportion of unim-portant explanatory variables, and a data-adaptive version of it that uses an estimate of π_0 are powerful competitors of the false discovery rate controlling method in Barber and Candes (2015). This is a joint work with Dr Sanat K. Sarkar.

主讲人简介：

Dr. Cheng Yong Tang is Professor and the Cyrus C.K. Curtis Senior Research Fellow in the Department of Statistics, Operations, and Data Science in the Fox School of Business of Temple University. He is an Associate Editor of Journal of the American Statistical Association, Theory and Methods, an Associate Editor for Reproducibility of Journal of the American Statistical Association, Applications and Case Studies, an Associate Editor of Journal of Business and Economic Statistics, an Associate Editor of Statistica Sinica, and an Associate Editor of Computational Statistics and Data Analysis. He served as the Director of the Graduate Programs in Statistics of the Department of Statistical Science in 2016-2019. Dr Tang is an Elected Member of the International Statistical Institute, a member of the American Statistical Association, a member of the Institute of Mathematical Statistics, and a member of the International Chinese Statistical Association. Dr. Tang earned his Ph.D. in Statistics from the Department of Statistics, Iowa State University. This is his Mathematical Genealogy. His research interests are methods, theory, and applications in statistics and data science.