报告题目：An adaptive adjustment to the R2 statistic in high-dimensional elliptical models

时间：2025-08-30 09:20:00

地点：图书馆一楼会议室

报告人：李卫明

组织单位：数学与统计学院

主讲人学术简历：李卫明，上海财经大学统计与数据科学学院，教授、博士生导师。主要研究方向为随机矩阵理论与高维统计分析。在 AOS、JRSSB、JASA 等国际知名期刊发表多篇论文。现任CSDA期刊副主编。

观点综述：The R2 statistic and its classic adjusted version, say R2, tend to overestimate the multiple correlation coefficient when dealing with multivariate data that exhibit heavy tails and tail dependence. This can result in an incorrect significance of correlation in high-dimensional scenarios. A new adaptive adjustment to the R2 statistic is proposed in this paper, which applies to a general population model that covers the family of elliptical distributions and an independent components model. Consistency and asymptotic normality of the new statistic are established under this general model. These findings are then applied to some fundamental inference problems in high dimensions.