Inference for High Dimensional Quantile Regression

高维分位数回归的推理

基本信息

批准号：
1712760
负责人：
Feifang Hu
金额：
$ 12.5万
依托单位：
George Washington University
依托单位国家：
美国
项目类别：
Continuing Grant
财政年份：
2017
资助国家：
美国
起止时间：
2017-09-01 至 2022-08-31
项目状态：
已结题

来源：
https://www.nsf.gov/awardsearch/showAward?AWD_ID=1712760&HistoricalAwards=false
关键词：
Inference Dimensional Quantile Regression

项目摘要

Quantile regression is emerging as an important and active research area driven by diverse applications. Compared with the conventional least squares regression, quantile regression methods are robust against outliers and can capture heterogeneity. In recent years, significant results related to estimation and variable selection for quantile regression have been obtained for big data applications. However, there exists little work on inferential methods including hypothesis testing and confidence interval construction for quantile regression in the high-dimensional setting. This project seeks to develop new statistical theory, methodology and algorithms to address inference problems in high-dimensional quantile regression. The research is motivated by a large clinical trial of diabetes intervention, and the developed methods can also be applied to data from genome-wide association studies, neuroscience, and environmental studies. The research will focus on two main directions. First, new testing procedures will be developed to assess the overall significance of high-dimensional covariates on quantiles of the response distribution. Two types of tests are proposed, including a maximum-type statistic based on marginal quantile regression, and a score-type statistic. Theory and methods for both fixed and diverging dimensions will be studied. Second, focusing on high-dimensional quantile regression without the conventional minimum signal strength condition on the coefficients, the PI will rigorously study the asymptotic theory of penalized estimators and develop valid post-selection inference methods based on both asymptotic theory and bootstrap procedures. The PI will integrate research and education by developing advanced topics courses, engaging graduate and undergraduate students, especially those from under-represented groups, in the project, and reaching out to K-12 students and developing countries through collaboration and knowledge sharing.

分位数回归正在成为由不同应用驱动的重要且活跃的研究领域。与常规的最小二乘回归相比，分位数回归方法对异常值具有鲁棒性，并且可以捕获异质性。近年来，已经为大数据应用获得了与分位数回归的可变选择有关的重大结果。但是，在推论方法上几乎没有工作在包括假设检验和置信区间构建高维度中的置信回归。该项目旨在开发新的统计理论，方法论和算法，以解决高维分位回归中的推理问题。这项研究是由糖尿病干预的大型临床试验激励的，并且开发的方法也可以应用于全基因组关联研究，神经科学和环境研究中的数据。该研究将集中在两个主要方向上。首先，将开发新的测试程序，以评估高维协变量对响应分布的分位数的总体意义。提出了两种类型的测试，包括基于边缘分位数回归的最大类型统计量和得分型统计量。将研究固定和不同维度的理论和方法。其次，专注于在系数上没有常规最小信号强度条件的高维分位数回归时，PI将严格研究受惩罚估计量的渐近理论，并基于渐近理论和自举程序开发有效的选择后选择方法。 PI将通过开发高级主题课程，吸引研究生和本科生，尤其是来自代表性不足的小组的研究生，并通过协作和知识共享与K-12学生和发展中国家接触，从而融入研究和教育。