DMS Statistics and Data Science Seminar

Speaker: Yuming Zhang, University of Geneva

Title: A General Approach for Simulation-based Bias Correction in High Dimensional Settings

Abstract: An important challenge in statistical analysis lies in controlling the bias of estimators due to the ever-increasing data size and model complexity. Approximate numerical methods and data features like censoring and misclassification often result in analytical and/or computational challenges when implementing standard estimators. As a consequence, consistent estimators may be difficult to obtain, especially in complex and/or high dimensional settings. In this paper, we study the properties of a general simulation-based estimation framework that allows to construct bias corrected consistent estimators. We show that the considered approach leads, under more general conditions, to stronger bias correction properties compared to alternative methods. Besides its bias correction advantages, the considered method can be used as a simple strategy to construct consistent estimators in settings where alternative methods may be challenging to apply. Moreover, the considered framework can be easily implemented and is computationally efficient. These theoretical results are exemplified with a study on logistic regression, possibly with misclassification errors, in high dimensional settings.