ISyE Seminar - Pragya Sur

Event Details
  • Date/Time:
    • Monday January 7, 2019
      11:00 am - 12:00 pm
  • Location: Groseclose Room 402
  • Phone:
  • URL: ISyE Building Complex
  • Email:
  • Fee(s):
    N/A
  • Extras:
Contact
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Summaries

Summary Sentence: A modern maximum-likelihood approach for high-dimensional logistic regression

Full Summary: Abstract Logistic regression is arguably the most widely used and studied non-linear model in statistics. Classical maximum-likelihood theory based statistical inference is ubiquitous in this context. This theory hinges on well-known fundamental results---(1) the maximum-likelihood-estimate (MLE) is asymptotically unbiased and normally distributed, (2) its variability can be quantified via the inverse Fisher information, and (3) the likelihood-ratio-test (LRT) is asymptotically a Chi-Squared. In this talk, I will show that in the common modern setting where the number of features and the sample size are both large and comparable, classical results are far from accurate. In fact,  (1) the MLE is biased, (2) its variability is far greater than classical results, and (3) the LRT is not distributed as a Chi-Square. Consequently, p-values obtained based on classical theory are completely invalid in high dimensions. In turn, I will propose a new theory that characterizes the asymptotic behavior of both the MLE and the LRT under some assumptions on the covariate distribution, in a high-dimensional setting. Empirical evidence demonstrates that this asymptotic theory provides accurate inference in finite samples. Practical implementation of these results necessitates the estimation of a single scalar, the overall signal strength, and I will propose a procedure for estimating this parameter precisely. This is based on joint work with Emmanuel Candes and Yuxin Chen.

Title: 

A modern maximum-likelihood approach for high-dimensional logistic regression

Abstract

Logistic regression is arguably the most widely used and studied non-linear model in statistics. Classical maximum-likelihood theory based statistical inference is ubiquitous in this context. This theory hinges on well-known fundamental results---(1) the maximum-likelihood-estimate (MLE) is asymptotically unbiased and normally distributed, (2) its variability can be quantified via the inverse Fisher information, and (3) the likelihood-ratio-test (LRT) is asymptotically a Chi-Squared. In this talk, I will show that in the common modern setting where the number of features and the sample size are both large and comparable, classical results are far from accurate. In fact,  (1) the MLE is biased, (2) its variability is far greater than classical results, and (3) the LRT is not distributed as a Chi-Square. Consequently, p-values obtained based on classical theory are completely invalid in high dimensions. In turn, I will propose a new theory that characterizes the asymptotic behavior of both the MLE and the LRT under some assumptions on the covariate distribution, in a high-dimensional setting. Empirical evidence demonstrates that this asymptotic theory provides accurate inference in finite samples. Practical implementation of these results necessitates the estimation of a single scalar, the overall signal strength, and I will propose a procedure for estimating this parameter precisely. This is based on joint work with Emmanuel Candes and Yuxin Chen.

Bio:

Pragya Sur is a fifth year Ph.D. student in the Department of Statistics at Stanford University. She is fortunate to be advised by Prof. Emmanuel Candès, and is supported by a generous Ric Weiland Graduate Fellowship in the Stanford School of Humanities and Sciences. In 2017, she spent a wonderful summer as a research intern in Microsoft Research, mentored by Prof. Cynthia Dwork.

Her research spectrum broadly spans high-dimensional statistical inference, controlled variable selection and connections to causality, and fairness in machine learning algorithms.

Prior to joining Stanford, she received a Bachelor of Statistics in 2012 and a Master of Statistics in 2014 from the Indian Statistical Institute, Kolkata.

Additional Information

In Campus Calendar
Yes
Groups

H. Milton Stewart School of Industrial and Systems Engineering (ISYE)

Invited Audience
Faculty/Staff, Postdoc, Public, Graduate students, Undergraduate students
Categories
Seminar/Lecture/Colloquium
Keywords
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Status
  • Created By: sbryantturner3
  • Workflow Status: Published
  • Created On: Jan 2, 2019 - 10:52am
  • Last Updated: Jan 2, 2019 - 10:52am