Hi Everyone,
On Friday the 30th of September we will have
a Statistics seminar at 2pm (room TBA). Our speaker will be Rajen Shah from the University of Cambridge. Please see below for the abstract.
Before the talk we will have a lunch in the common room
at 1pm. Please complete the form (here) by 4pm on Monday the 19th of September here if you’d like to attend the lunch.
Please also let me know if you have speakers you’d like
to invite.
All the best,
Henry
Speaker: Rajen Shah
Time: 2pm on Friday the 30th of September
Title: The Projected Covariance Measure for assumption-lean variable significance testing
Abstract: Testing the significance of a variable or group
of variables X for predicting a response Y given additional covariates Z, is a ubiquitous task in statistics. A simple but common approach is to specify a linear model, and then test whether the regression coefficient for X is non-zero. However, when the model
is misspecified, as will invariably be the case, the test may have poor power, for example when X is involved in complex interactions, or lead to many false rejections.
In this work we study the problem of testing the model-free
null of conditional mean independence, i.e. that the conditional mean of Y given X and Z does not depend on X. We propose a simple and general framework that can leverage flexible nonparametric or machine learning methods, such as additive models or boosted
trees, to yield both robust error control and high power. The procedure involves using these methods to perform regressions, first to estimate a form of projection of Y on X and Z using one half of the data, and then to estimate the expected conditional covariance
between this projection and Y on the remaining half of the data. While the approach is general, we show that a version of our procedure using spline regression achieves what we show is the minimax optimal rate in this nonparametric testing problem.
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Lunch
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Microsoft Form – send to all Stats…
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Place
Reimbursement form for non-staff members University of Bristol
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In TB1 online…
Prompt at the beginning…
Friday afternoon slots:
3pm – 5pm
Previously offline:
2pm-4pm
45 minutes long talk + 5mins Q&A
Starts Oct 1st
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Fortnightly
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A month and a half in advance
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Two consecutive dates
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Travel costs
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