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CATEGORIES:Causal Inference Reading Group
SUMMARY:A powerful methodology for analyzing correlated hi
gh dimensional data with factor models - Hongyuan
Cao (Florida State University)
DTSTART;TZID=Europe/London:20230609T153000
DTEND;TZID=Europe/London:20230609T170000
UID:TALK201949AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/201949
DESCRIPTION:Multiple testing under dependence is a fundamental
problem in high-dimensional statistical inference
. We use a factor model to capture the dependence.
Existing literature with factor models imposes jo
int normality on the data or requires tuning param
eters to obtain robust inference. This paper looks
at the problem differently by transposing approxi
mate factor models. This allows heteroscedasticity
and a more accurate estimation of the covariance
matrix of idiosyncratic errors by projections. We
construct factor-adjusted one-sample and two-sampl
e test statistics of high-dimensional data. Extens
ive simulation studies demonstrate the favorable p
erformance of the proposed method over state-of-th
e-art methods while controlling the false discover
y rate\, even for heavy-tailed data. The robustnes
s and tuning parameter-free features make the prop
osed method attractive to practitioners.
LOCATION:MR1\, Centre for Mathematical Sciences\, Wilberfor
ce Road\, Cambridge
CONTACT:
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