报告时间：2016年5月26日（周四）上午10:00

报告地点：英东学术会堂三层讲学厅

报 告 人： Runze Li, The Pennsylvania State University

报告题目：Error Variance Estimation in Ultrahigh Dimensional Additive Models

报告摘要：Error variance estimation plays an important role in statistical inference for high dimensional regression models. This paper concerns with error variance estimation in high dimensional sparse additive model. We study the asymptotic behavior of the traditional mean squared errors,  the naive estimate of error variance, and show that it may significantly underestimate the error variance due to spurious correlations which are even higher in nonparametric models than linear models.  We further propose an accurate estimate for error variance in ultrahigh dimensional sparse additive model by effectively integrating sure independence screening andrefitted cross-validation techniques (Fan, Guo and Hao, 2012). The root n consistency and the asymptotic normality of the resulting estimate are established. We conduct Monte Carlo simulation study to examine the finite sample performance of the newly proposed estimate. A real data example is used to illustrate the proposed methodology.