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國立臺灣大學計量理論與應用研究中心 - CRETA


CRETA Seminar

2022 年 12 月 30 日CRETA Seminar - Sparse Quantile Regression


2022 年 12 月 30 日CRETA Seminar - Sparse Quantile Regression


國立臺灣大學計量理論與應用研究中心 (CRETA) 及臺灣經濟計量學會 (TES) 將於 2022 年 12 月 30 日舉辦 CRETA Seminar。相關資訊如下。


 12  30  CRETA Seminar

日期:2022 年 12 月 30 日 (週五) 下午 2:00~3:30


講者:陳樂昱教授 (中央研究院經濟研究所)

演講主題:Sparse Quantile Regression


We study the L0-penalized and L0-constrained quantile regression estimators. For both estimators, we derive non-asymptotic upper bounds on the mean excess quantile prediction risk as well as mean-square parameter and regression function estimation errors. Further,we characterize expected Hamming loss for the L0-penalized estimator. We implement the proposed procedure via mixed integer linear programming and also a more scalable first-order approximation algorithm. We illustrate the finite-sample performance of our approach in Monte Carlo experiments and its usefulness in a real data application concerning conformal prediction of infant birth weights. In sum, our L0-based method produces a much sparser estimator than the L1-penalized and non-convex penalized approaches without compromising precision.


陳樂昱教授 (中央研究院經濟研究所)

個人網站: https://sites.google.com/view/leyuchen/home


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報名期限:2022/12/29 (四)  中午 12:00