Distribution Regression-周望 (新加坡国立大学)

主  题: Distribution Regression

内容简介: Linear regression is a fundamental and popular statistical method. There are various kinds of linear regression, such as mean regression and quantile regression. In this paper, we propose a new one called distribution regression, which allows broad-spectrum of the error distribution in the linear regression. Our method uses nonparametric technique to estimate regression parameters. Our studies indicate that our method provides a better alternative than mean regression and quantile regression under many settings, particularly for asymmetrical heavy-tailed distribution or multimodal distribution of the error term. Under some regular conditions, our estimator is root n consistent and possesses the asymptotically normal distribution. The proof of the asymptotic normality of our estimator is very challenging because our nonparametric likelihood function cannot be transformed into sum of independent and identically distributed random variables. Furthermore, penalized likelihood estimator is proposed and enjoys the so-called oracle property with diverging number of parameters. Numerical studies also demonstrate the effectiveness and the flexibility of the proposed method.

报告人: 周望    教授

时  间: 2018-06-08    14:00 

地  点: 位育楼117 

举办单位: 统计与数学学院  统计科学与大数据研究院 

责任编辑: 科研处
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