*********************************
There is now a CONTENT FREEZE for Mercury while we switch to a new platform. It began on Friday, March 10 at 6pm and will end on Wednesday, March 15 at noon. No new content can be created during this time, but all material in the system as of the beginning of the freeze will be migrated to the new platform, including users and groups. Functionally the new site is identical to the old one. webteam@gatech.edu
*********************************
TITLE: Non-sparse methods for out-of-sample prediction in high-dimensional linear models
SPEAKER: Dr. Lee Dicker
ABSTRACT:
Motivated by questions about dense (non-sparse) signals in high-dimensional data analysis, we study the unconditional out-of-sample prediction error (predictive risk) associated with three classes of dense estimators for high-dimensional linear models: Ridge regression estimators, scalar multiples of the ordinary least squares estimator (which we refer to as James-Stein estimators), and marginal regression estimators. Our results require no assumptions about sparsity and imply that in linear models where the number of predictors is roughly proportional to the number of observations: (i) If the population predictor covariance is known (or if a norm-consistent estimator is available), then the ridge estimator outperforms the James-Stein estimator; (ii) both the ridge and James-Stein estimators outperform the ordinary least squares estimator, and the improvements offered by these estimators are especially significant when the signal-to-noise ratio is small; and (iii) the marginal estimator has serious deficiencies for out-of-sample prediction. We derive new closed-form expressions for the asymptotic predictive risk of the estimators, which allow us to precisely quantify the previous claims. Additionally, minimax ridge and James-Stein estimators are identified. Finally, we argue that the ridge estimator is, in fact, asymptotically optimal among dense estimators for out-of-sample prediction in high-dimensional linear models.
Contact: Lee Dicker <ldicker@stat.rutgers.edu>
