Event Date
Speaker: Yingjie Feng, Associate Professor, School of of Economics and Management, Tsinghua University (China)
Title: "Uniform Estimation and Inference for Nonparametric Partitioning-Based M-Estimators"
Abstract: This talk presents uniform estimation and inference theory for a large class of nonparametric partitioning-based M-estimators. The main theoretical results include: (i) uniform consistency for convex and non-convex objective functions; (ii) optimal uniform Bahadur representations; (iii) optimal uniform (and mean square) convergence rates;
(iv) valid strong approximations and feasible uniform inference methods; and (v) extensions to functional transformations of underlying estimators. Uniformity is established over both the evaluation point of the nonparametric functional
parameter and a Euclidean parameter indexing the class of loss functions. The results also account explicitly for the smoothness degree of the loss function (if any) and allow for a possibly non-identity (inverse) link function. We provide detailed comparisons with the existing literature and demonstrate substantive improvements: we achieve the best (in some cases optimal) known results under improved (in some cases minimal) requirements in terms of regularity conditions and side rate restrictions.
Short bio: Yingjie Feng is an associate professor at the School of Economics and Management, Tsinghua University. He specializes in econometrics, mathematical statistics and quantitative methods in social sciences, with particular interest in nonparametric analysis and causal inference. His research has been published in leading journals such as American Economic Review, Journal of the American Statistical Association, and Annals of Statistics. Yingjie received his Ph.D. in Economics and M.A. in Statistics in 2019 from the University of Michigan. He also completed an M.A. in Economics in 2014 and a B.A. in Economics in 2011 at Peking University. Before joining Tsinghua University, he was a postdoctoral research associate at Princeton University.
Seminar Date/Time: Thursday, November 22nd, 4:10pm
Location: MSB 1147 (Refreshments at 3:30pm, MSB Courtyard; will move to 4th floor MSB 4210 if it rains)