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A scalable nonparametric specification testing in massive data

嘉宾简介

王兆军,南开大学统计研究院教授,教育部长江特聘教授,国务院学位委员会统计学科评议组成员,中国现场统计研究会副理事长,天津市现场统计研究会理事长。 曾获全国百篇优博指导教师和天津市自然科学一等奖。

讲座简介:

Lack-of-fit checking for parametric models is essential in reducing misspecification. However, for massive datasets which are increasingly prevalent, classical tests become prohibitively costly in computation and its feasibility is questionable even with modern parallel computing platforms. Building on the divide and conquer strategy, we propose a new nonparametric testing method, that is fast to compute and easy to implement with only one tuning parameter determined by a given time budget. Under mild conditions, we show that the proposed test statistic is asymptotically equivalent to that based on the whole data. Benefiting from using the sample-splitting idea for choosing the smoothing parameter, the proposed test is able to retain the type-I error rate pretty well with asymptotic distributions and achieves adaptive rate-optimal detection properties. Its advantage relative to existing methods is also demonstrated in numerical simulations and a data illustration.