Abstract:
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.
About the Speaker:
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）等等5个国际期刊的编委（AE），在The 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, Statistica Sinica，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2020年获得厦门大学第十五届青年教师技能比赛特等奖, 厦门大学2020年“我最喜爱的十位老师”，2021年获得厦门大学教学创新大赛一等奖，2022年获得霍英东教育基金会高等院校青年科学奖二等奖，2024年获得第九届高等学校科学研究优秀成果奖等。
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