OBAIS Seminar Series
Yuhong Yang, Ph.D. Professor of Statistics at University of Minnesota Twin Cities
Title: Cross-Validation for Optimal and Reproducible Statistical Learning Friday, November 17, 2017, 11AM-12:30PM SAP theater (in Lindner Hall basement level)
Abstract: In data mining and statistical learning, we frequently encounter the task of comparing different methods/algorithms to reach a final choice for pure prediction or a scientific understanding/interpretation of a regression relationship. Cross-validation provides a powerful tool to address the matter. Unfortunately, there are seemingly widespread misconceptions on its use, which can lead to unreliable conclusions. In this talk, we will address the subtle issues involved and present results of minimax optimal regression learning and consistent selection of the best method for the data. In addition, we will propose proper cross-validation tools for model selection diagnostics that will cry foul at an impressive-looking but not really reproducible outcome from a sparse-pattern-hunting method in the wild west of learning with a huge number of covariates.
This presentation is based on: Yongli Zhang and Yuhong Yang (2015). “Cross-validation for selecting a model selection procedure.” Journal of Econometrics, vol. 187, 95-112.
Ying Nan and Yuhong Yang (2014) “Variable Selection Diagnostics Measures for High-Dimensional Regression.” Journal of Computational and Graphical Statistics, vol. 23, 636-656.
Biography: Professor Yuhong Yang is Professor of Statistics at the University of Minnesota Twin Cities. His research interests include model selection and model combining, high-dimensional data analysis, multi-armed bandits with covariates, forecast combinations, and statistics in personalized medicine. He has been the Associate editors for Annals of Statistics, Journal of Statistical Planning and Inference, Annals of Institute of Statistical Mathematics, Statistics Surveys. He is a fellow of Institute of Mathematical Statistics.
Personal Website: http://www.stat.umn.edu/people/facultyprofile.php?UID=yangx374