Title: Semi-supervised inference for explained variance in high-dimensional linear regression and its applications
Authors: Zijian Guo - Rutgers University (United States) [presenting]
Abstract: Statistical inference is considered for the explained variance under the high-dimensional linear model in the semi-supervised setting. A calibrated estimator, which efficiently integrates both labelled and unlabelled data, is proposed. It is shown that the estimator achieves the minimax optimal rate of convergence in the general semi-supervised framework. The optimality result characterizes how the unlabelled data affects the minimax optimal rate. Moreover, the limiting distribution for the proposed estimator is established and data-driven confidence intervals for the explained variance are constructed. We further develop a randomized calibration technique for statistical inference in the presence of weak signals and apply the obtained inference results to a range of important statistical problems, including signal detection and global testing, prediction accuracy evaluation, and confidence ball construction. The numerical performance of the proposed methodology is demonstrated in simulation studies and an analysis of estimating heritability for a yeast segregant data set with multiple traits.