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Thursday, May 30
Machine Learning
The IMS Program on Probabilistic Views of Machine Learning
Thu, May 30, 4:00 PM - 5:35 PM
Grand Ballroom I

Fiducial Made Sexy: Statistical Inference for Machine Learning Problems (306275)

*Thomas Lee, UC Davis 

R. A. Fisher, the father of modern statistics, proposed the idea of fiducial inference during the first half of the 20th century. While his proposal led to interesting methods for quantifying uncertainty, other prominent statisticians of the time did not accept Fisher's approach as it became apparent that some of Fisher's bold claims about the properties of fiducial distribution did not hold up for multi-parameter problems. Beginning around the year 2000, the authors and collaborators started to re-investigate the idea of fiducial inference and discovered that Fisher's approach, when properly generalized, would open doors to solve many important and difficult inference problems. They termed their generalization of Fisher's idea as generalized fiducial inference (GFI).

After more than a decade of investigations, the authors and collaborators have developed a unifying theory for GFI, and provided GFI solutions to many challenging practical problems in different fields of science and industry. Overall, they have demonstrated that GFI is a valid, useful, and promising approach for conducting statistical inference.

This talk will report on-going work of the authors on applying GFI to some statistical and machine learning problems, including scalable methods for high-dimensional variable selection, matrix completion, graphon estimation, and, if time permits, network regression and random forest prediction.

Joint work with Jan Hannig, Hari Iyer, Randy Lai, Yi Su, Suofei Wu and Chunzhe Zhang.