Seminar of Statistical Learning and Probability/Dynamical Systems

University of Leipzig, ScaDS.AI Institute,
Max Planck Institute for Mathematics in the Sciences &
University of Pisa, Department of Mathematics

Upcoming seminar

January 15th 2023, 17:00 CET

Mona Azadkia (London School of Economics and Political Science)

Title:  A Simple Measure of Conditional Dependence 

Abstract: In this talk, we introduce a coefficient of conditional dependence between two random variables Y and Z given a set of other variables X_1,..., X_p, based on an i.i.d. sample. The coefficient has a long list of desirable properties, the most important of which is that under absolutely no distributional assumptions, it converges to a limit in [0,1], where the limit is 0 if and only if Y and Z are conditionally independent given X_1,..., X_p, and is 1 if and only if Y is equal to a measurable function of Z given X_1,..., X_p. Moreover, it has a natural interpretation as a nonlinear generalization of the familiar partial R^2 statistic for measuring conditional dependence by regression. Using this statistic, we devise a new variable selection algorithm called Feature Ordering by Conditional Independence (FOCI), which is model-free, has no tuning parameters, and is provably consistent under sparsity assumptions. A number of applications to synthetic and real datasets are worked out.

In-person seminars take place in Neues Paulinum P701 or in Aula Riunioni, Dipartimento di Matematica, University of Pisa and are also broadcasted on Zoom, join at the following link


Andrea Agazzi

University of Pisa

Nono Saha Cyrille

Leipzig University (ScaDS.AI)

Alexander Kreiss

Leipzig University

Sayan Mukherjee

Leipzig University and Max-Planck-Institut for Mathematics in the Sciences

Katerina Papagiannouli

University of Pisa and Max-Planck-Institut for Mathematics in the Sciences