[Colloquium] [TTIC Talk] 1/17 Talk by TTIC: Rina Foygel Barber, U of Chicago

[Jerome Allen]

 *When: *    Friday, January 17th at 10:30am

*Where: *   John Crerar Library, Room 390

*Who: *      Rina Foygel Barber, University of Chicago

*Title:*        Predictive inference with the jackknife+

*Abstract: *We introduce the jackknife+, a novel method for constructing
predictive confidence intervals that is robust to the distribution of the
data. The jackknife+ modifies the well-known jackknife (leave-one-out
cross-validation) to account for the variability in the fitted regression
function when we subsample the training data. Assuming exchangeable
training samples, we prove that the jackknife+ permits rigorous coverage
guarantees regardless of the distribution of the data points, for any
algorithm that treats the training points symmetrically. Such guarantees
are not possible for the original jackknife and we demonstrate examples
where the coverage rate may actually vanish. Our theoretical and empirical
analysis reveals that the jackknife and jackknife+ intervals achieve nearly
exact coverage and have similar lengths whenever the fitting algorithm
obeys some form of stability. We also extend to the setting of K-fold
cross-validation. Our methods are related to cross-conformal prediction
proposed by Vovk [2015] and we discuss connections. This work is joint with
Emmanuel Candes, Aaditya Ramdas, and Ryan Tibshirani.

*Bio:* Rina Foygel Barber is an Associate Professor in the Department of
Statistics at the University of Chicago. Before starting at U of C, she was
a NSF postdoctoral fellow during 2012-13 in the Department of Statistics at
Stanford University, supervised by Emmanuel Candès. She received her PhD in
Statistics at the University of Chicago in 2012, advised by Mathias
Drton and Nati Srebro, and a MS in Mathematics at the University of Chicago
in 2009. Prior to graduate school, she was a mathematics teacher at
the Park School of Baltimore from 2005 to 2007.
===========================================
*Jerome Allen*
Executive Assistant
*Toyota Technological Institute*
6045 S. Kenwood Avenue
Room 518
Chicago, IL  60637
p:(773) 702-2311
*jallen at ttic.edu <jallen at ttic.edu>*
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