现代产业经济学系列讲座第294期

时间：2026年4月21日（周二）15:30-17:00

地点： 管理学院史带楼603室

题目：Debiased Bayesian Inference for High-dimensional Regression Models

主讲人：陈齐辉副教授香港中文大学深圳分校经管学院

主持人：俞学文副教授

摘要: There has been significant progress in Bayesian inference based on sparsity inducing (e.g., spike-and-slab and horseshoe-type) priors for high-dimensional regression models. The resulting posteriors, however, in general do not possess desirable frequentist properties, and the credible sets thus cannot serve as valid confidence sets even asymptotically. We introduce a novel debiasing approach that corrects the bias for the entire Bayesian posterior distribution. We establish a new Bernstein-von Mises theorem that guarantees the frequentist validity of the debiased posterior. We demonstrate the practical performance of our proposal through Monte Carlo simulations and two empirical applications in economics.

个人简介：Qihui Chen is an Associate Professor in the School of Economics and Management at CUHK-Shenzhen, and serves as the Director of the MSc Programme in Economics at the Shenzhen Finance Institute. He received his Ph.D. in Economics from the University of California, San Diego in 2017. His research interests include econometrics, machine learning, asset pricing, and related fields. His papers have appeared in leading economics and statistics journals such as Quantitative Economics, Journal of Econometrics, Econometric Theory, and the Journal of the American Statistical Association.