Cynthia Rush is an Associate Professor of Statistics in the Department of Statistics at Columbia University. She received a Ph.D. and M.A. in Statistics from Yale University in 2016 and 2011, respectively, and she completed her undergraduate coursework at the University of North Carolina at Chapel Hill where she obtained a B.S. in Mathematics in 2010. She received a NSF CRIII award in 2019, was a finalist for the 2016 IEEE Jack K. Wolf ISIT Student Paper Award, was an NTT Research Fellow at the Simons Institute for the Theory of Computing for the program on Probability, Computation, and Geometry in High Dimensions in Fall 2020, and was a Google Research Fellow at the Simons Institute for the Theory of Computing for the program on Computational Complexity of Statistical Inference in Fall 2021.
Talk: The out-of-sample prediction error of the square-root lasso and related estimators
Abstract: We study the classical problem of predicting an outcome variable, Y, using a linear combination of a d-dimensional covariate vector, X. We provide conditions under which linear predictors based on these estimators minimize the worst-case prediction error over a ball of distributions determined by a type of max-sliced Wasserstein metric. A detailed analysis of the statistical properties of this metric yields a simple recommendation for the choice of regularization parameter. Our recommendation is computationally straightforward to implement, pivotal, has provable out-of-sample performance guarantees, and does not rely on sparsity assumptions about the true data generating process. This is joint work with Jose Montiel Olea, Amilcar Velez and Johannes Wiesel.