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中科院数学与系统科学研究院张新雨研究员: 连接数据的孤岛---基于模型平均方法

时间:202452015:30

地点:经管楼312

主讲人:张新雨 研究员,中科院数学与系统科学研究院

题目:连接数据的孤岛---基于模型平均方法

摘要:We consider prediction based on a main model. When the main model shares partial parameters with several other helper models, we make use of the additional information. Specifically, we propose a Model Averaging Prediction (MAP) procedure that takes into account data related to the main model as well as data related to the helper models. We allow the data related to different models to follow different structures, as long as they share some common covariate effect. We show that when the main model is misspecified, MAP yields the optimal weights in terms of prediction. Further, if the main model is correctly specified, then MAP will automatically exclude all incorrect helper models asymptotically. Simulation studies are conducted to demonstrate the superior performance of MAP. We further implement MAP to analyze a dataset related to the probability of credit card default.

个人简介:张新雨,中科院数学与系统科学研究院预测中心研究员,中科院管理、决策与信息系统重点实验室副主任。研究方向包括模型平均、机器学习、管理统计和组合预测等,发表论文80余篇,其中20余篇论文发表在统计学、计量经济学和机器学习顶级期刊以及UTD24期刊。担任SCI期刊《JSSC》领域主编和其他5个国内外重要期刊的编委,是管理科学与工程学会常务理事、双法学会数据科学分会副理事长、国际统计学会当选会员,先后主持国家级人才项目,曾获中国青年科技奖。


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