Wen Zhou

Speaker: Wen Zhou, Associate Professor, Dept. of Statistics, Colorado State University
Title: Robust Multiple Inference for Large-Scale Multivariate Regression with Applications to Corpus Linguistics
Date: October 30th, 2020
Time: 1:30PM (PDT)
Location: Remote 

Abstract

Large-scale multivariate regression is a fundamental statistical tool that finds applications in a wide range of areas. This paper considers the problem of simultaneously testing a large number of general linear hypotheses, encompassing covariate- effect analysis, analysis of variance, and model comparisons. The new challenge that comes along with the overwhelmingly large number of tests is the ubiquitous presence of heavy-tailed and/or highly skewed measurement noise, which is the main reason for the failure of conventional least squares based methods. For large-scale multivariate regression, we develop a set of robust inference methods to explore data features, such as heavy tailedness and skewness, which are invisible to the scope of least squares. The new testing procedure is built on data-adaptive Huber regression, and a new covariance estimator of the regression estimate. Under mild conditions, we show that the proposed method controls the false discovery proportion and rate asymptotically. Extensive numerical experiments, along with an empirical study on quantitative linguistics, demonstrate the advantage of our proposal compared to many state-of-the-art methods.