seminars:datasci:100323
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| + | * Date: Tuesday, October 3, 2023 | ||
| + | * Time: 12:00pm -- 1:00pm | ||
| + | * Room: Whitney Hall 100E | ||
| + | * Speaker: Dr. HaiYing Wang (University of Connecticut) | ||
| + | * Title: Rare Events Data and Maximum Sampled Conditional Likelihood. | ||
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| + | In this talk, we show that the available information about unknown parameters in | ||
| + | rare events data is only tied to the relatively small number of cases, which | ||
| + | justifies the usage of negative sampling. However, if the negative instances are | ||
| + | subsampled to the same level of the positive cases, there is information | ||
| + | loss. We derive an optimal sampling probability for the inverse probability | ||
| + | weighted (IPW) estimator to minimize the information loss. We further propose | ||
| + | a likelihood-based estimator to further improve the estimation efficiency, and | ||
| + | show that the improved estimator has the smallest asymptotic variance among a | ||
| + | large class of estimators. It is also more robust to pilot misspecification. The | ||
| + | likelihood-based estimator is also generalized to a class of models beyond | ||
| + | binary response models. We validate our approach on simulated data, the MNIST | ||
| + | data, and a real click-through rate dataset with more than 0.3 trillion | ||
| + | instances. | ||
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| + | Biography of the speaker: Dr. Wang is an Associate Professor in the Department of Statistics at the | ||
| + | University of Connecticut. He obtained his Ph.D. from the Department of | ||
| + | Statistics at the University of Missouri in 2013, and his M.S. from the Academy | ||
| + | of Mathematics and Systems Science, Chinese Academy of Sciences in 2006. His | ||
| + | research interests include informative subdata selection for big data, model | ||
| + | selection, model averaging, measurement error models, and semi-parametric | ||
| + | regression. | ||
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