主题：A Stability Approach for Feature Selection with False Discovery Rate Control
主讲人：钟威 厦门大学
主持人：王国长 暨南大学
时间：2024年10月15日（周二）下午16:30
地点：暨南大学石牌校区经济学院大楼（中惠楼）503室
摘要
In this talk, we first make an overview of false discovery rate controlling methods for multiple testing and variable selection for high dimensional data analysis, including BH method, data-splitting-based method, knockoffs, etc. Although most of these methods are successfully and widely used in practice, the results of some methods are unstable due to the inherent randomness. For example, different runs of model-X knockoffs on the same dataset result in different sets of selected variables due to the randomness of knockoff data generation. Ren and Barber (2023) introduced a derandomized knockoffs method to derandomize model-X knockoffs via leveraging e-values for false discovery rate control. But it has non-negligible drawbacks such as the need to select two FDR parameters and the tendency to have low Power. To make the statistical results stable and reproducible, we introduce a general stability approach for variable selection algorithms with FDR control. Our approach aggregates e-values generated from multiple runs of the base algorithm to construct a stabilized e-value, which leads to higher Power without loss of stability. It is very general and can be applied to almost all FDR control method, such as knockoffs, data splitting methods. Theoretical properties of this stability method are also studied, such as asymptotic FDR control guarantee. Extensive numerical experiments and real data applications demonstrate that the proposed method is generally more powerful and stable than the existing competitors.
主讲人简介
钟威，现任厦门大学王亚南经济研究院、经济学院统计学与数据科学系教授、系主任、博士生导师。2012年获得美国宾夕法尼亚州立大学统计学博士学位，2014年和2017年分别破格晋升副教授和教授，国家自然科学基金优秀青年基金获得者（2019），福建省杰出青年基金获得者（2019）。主要从事高维数据统计分析、计量经济学、统计学应用等研究。先后担任美国统计协会(ASA)会刊Journal of the American Statistical Association（2023-今）、国际统计学会（ISI）会刊International Statistical Review（2024-今）等5个国际期刊的编委（AE），在Annals of Statistics, Journal of the American Statistical Association, Biometrika, Journal of Econometrics, Journal of Machine Learning Research, Journal of Business & Economic Statistics, Biometrics, Annals of Applied Statistics,中国科学数学等国内外统计学权威期刊发表（含接收）40多篇论文。获得获得霍英东教育基金会高等院校青年科学奖二等奖，第九届高等学校科学研究优秀成果奖、福建省第十四届、第十五届社科优秀成果奖二等奖等科研创新奖励，以及厦门大学第十五届青年教师技能比赛特等奖, 厦门大学 “我最喜爱的十位老师”，厦门大学教学创新大赛一等奖，获得福建省向上向善好青年称号等教书育人奖励。
欢迎感兴趣的师生参加
校对| 王国长
责编| 彭 毅
初审| 姜云卢
终审发布| 何凌云
（来源：暨南大学经济学院微信公众号）
