KEYNOTE TALKS
| Keynote talk 1 | Saturday 16.12.2017 | 08:40 - 09:30 | Room: Beveridge Hall |
| Piecewise deterministic Markov chain Monte Carlo for Bayesian computation | |||
| Speaker: A. Doucet Co-authors: A. Bouchard, G. Deligiannidis | Chair: Michele Guindani | ||
| Keynote talk 2 | Saturday 16.12.2017 | 10:05 - 10:55 | Room: Beveridge Hall |
| Identification and estimation of dynamic causal effects in macroeconomics | |||
| Speaker: M.W. Watson Co-authors: J.H. Stock | Chair: Gael Martin | ||
| Keynote talk 3 | Sunday 17.12.2017 | 18:25 - 19:15 | Room: Beveridge Hall |
| Tests of policy ineffectiveness | |||
| Speaker: R. Smith | Chair: Jeroen Rombouts | ||
| Keynote talk 4 | Monday 18.12.2017 | 14:25 - 15:15 | Room: Beveridge Hall |
| Model-free prediction and regression | |||
| Speaker: D. Politis | Chair: Alessandra Amendola | ||
| Keynote talk 5 | Monday 18.12.2017 | 17:10 - 18:00 | Room: Beveridge Hall |
| Linear stochastic models in discrete and continuous time | |||
| Speaker: S. Pollock | Chair: Berc Rustem | ||
PARALLEL SESSIONS
| Parallel session B: CMStatistics2017 | Saturday 16.12.2017 | 09:40 - 10:55 |
| Session EO344 | Room: CLO B01 |
| Bayesian analysis | Saturday 16.12.2017 09:40 - 10:55 |
| Chair: Miguel de Carvalho | Organizer: Miguel de Carvalho |
| E0660: B. Barney, G. Page, L. Lawson, R. Clark, M. de Carvalho | |
| Bayesian estimation of a time-varying bivariate distribution from censored data | |
| E0653: V. Inacio, A. Branscum | |
| Bayesian nonparametric inference for the three-class Youden index and its associated optimal cut-points | |
| E1015: C. Vallejos | |
| BASiCS: Vertical and horizontal data integration for noisy single-cell expression data |
| Session EO583 | Room: Bloomsbury |
| Complex data modeling and computational methods | Saturday 16.12.2017 09:40 - 10:55 |
| Chair: Mauricio Castro | Organizer: Mauricio Castro |
| E0195: V. Lourenco, V. Inacio, M. de Carvalho | |
| Robust inference for ROC regression | |
| E0531: T.-I. Lin, W.-L. Wang, M. Castro | |
| Mixtures of common factor analyzers based on the restricted multivariate skew-t distribution | |
| E0565: W.-L. Wang, T.-I. Lin, V.H. Lachos Davila | |
| Multivariate-t linear mixed models for multiple repeated measures with censored data |
| Session EO486 | Room: Chancellor's Hall |
| Multi-dimensional modeling techniques for brain imaging data | Saturday 16.12.2017 09:40 - 10:55 |
| Chair: Damla Senturk | Organizer: Damla Senturk |
| Session EO483 | Room: Court |
| Statistical modelling of climate change and weather events | Saturday 16.12.2017 09:40 - 10:55 |
| Chair: Michael Wiper | Organizer: Michael Wiper |
| E0851: M. Gomez, C. Ausin, C. Dominguez | |
| Hierarchical vine copula models for the analysis of glacier discharge | |
| E1020: A. Justel, L. Fernandez Piana, J. Rodriguez-Puerta, M. Svarc, S. Gonzalez | |
| Cluster of trajectories of airborne microorganisms susceptible to colonize Antarctic soils in a climate change scenario | |
| E0850: M. Wiper, C. Ausin, A. Sarhadi | |
| Time-varying nonstationary multivariate risk analysis using a dynamic Bayesian copula |
| Session EO340 | Room: G11 |
| New methods for high-dimensional data | Saturday 16.12.2017 09:40 - 10:55 |
| Chair: Ming-Yen Cheng | Organizer: Ming-Yen Cheng |
| E0723: T. Yu, J. Qin, P. Li, H. Liu, B. Chen | |
| Using a monotone single-index model to stabilize the propensity score in missing data problems and causal inference | |
| E1029: Y. Zhu | |
| A group lasso-based method with its application to biomedical spectroscopic data | |
| E0232: X. Dou | |
| An investigation of a generalized least squares estimator for non-linear time series models |
| Session EO746 | Room: Gordon |
| Advances in clustering and representation models | Saturday 16.12.2017 09:40 - 10:55 |
| Chair: J Fernando Vera | Organizer: J Fernando Vera, Eva Boj |
| E1852: E. Boj, J.F. Vera | |
| Cluster and structural equation multidimensional scaling for response and predictor spaces in distance-based regression | |
| E1853: J.F. Vera | |
| Latent block distance-association model | |
| E1854: T. Costa, E. Boj | |
| Weighted metric scaling in logistic classification |
| Session EO290 | Room: CLO 101 |
| Bayesian decision and risk | Saturday 16.12.2017 09:40 - 10:55 |
| Chair: Jacinto Martin Jimenez | Organizer: Jacinto Martin Jimenez |
| E0712: E. Lopez Cano, J. Martinez Moguerza, A. Alonso Ayuso | |
| A decision model for combining energy storage technologies | |
| E1196: J. Martin Jimenez, E.L. Sanjuan, M.I. Parra Arevalo | |
| Bayesian analysis of risk measures in finance | |
| E0951: J.P. Arias-Nicolas, A. Suarez-Llorens | |
| Bayesian sensitivity analysis of the parameters of a GPD using distorted band classes |
| Session EO609 | Room: CLO 102 |
| Advances in statistical modelling: Theory and applications | Saturday 16.12.2017 09:40 - 10:55 |
| Chair: Inmaculada Barranco-Chamorro | Organizer: Inmaculada Barranco-Chamorro |
| E0684: J. Mira, A. Sanjurjo de No, C. Gonzalez, B. Arenas | |
| Application of random forests and ANOVA techniques to the aggregate modeling of road accident time series in Spain | |
| E0877: F. Prieto, J.M. Sarabia | |
| Modelling real phenomena with power law tail by the family of generalized power law distributions | |
| E0910: I. Barranco-Chamorro | |
| Statistical tools to deal with off-diagonal elements in square asymmetric matrices obtained from spatial data |
| Session EO534 | Room: Jessel |
| Recent developments in high-dimensional modeling, inference and computation | Saturday 16.12.2017 09:40 - 10:55 |
| Chair: Yun Yang | Organizer: Yun Yang |
| E1254: Q. Mai | |
| An iterative penalized least squares approach to sparse canonical correlation analysis | |
| E1046: W. Shen | |
| Bayesian model selection for semi-parametric models | |
| E0585: W.W. Sun, B. Gaines, E. Chi, H. Zhou | |
| Convex tensor clustering with applications to online advertising |
| Session EO234 | Room: Montague |
| Causal inference in high dimensional settings | Saturday 16.12.2017 09:40 - 10:55 |
| Chair: Jason Roy | Organizer: Jason Roy |
| E0673: J. Antonelli, G. Parmigiani, F. Dominici | |
| High-dimensional confounding adjustment using continuous spike and slab priors | |
| E0786: A. Ertefaie, Q. Zhao, D. Small | |
| Precision medicine in high dimensional settings | |
| E0796: E. Kennedy | |
| Nonparametric causal effects based on incremental propensity score interventions |
| Session EO262 | Room: Senate |
| Robust statistics | Saturday 16.12.2017 09:40 - 10:55 |
| Chair: Marco Riani | Organizer: Marco Riani |
| E1295: R. Fried | |
| On robust change-point detection in time series | |
| E0834: L.A. Garcia-Escudero, A. Mayo-Iscar, J. Ortega, D. Rivera Garcia | |
| A robust proposal for functional clustering via trimming and constraints | |
| E0748: T. Verdonck, P. Segaert, S. Van Aelst | |
| Robust joint modeling of mean and dispersion for GLMs |
| Session EO061 | Room: Woburn |
| Modern financial networks: From customers to institutions | Saturday 16.12.2017 09:40 - 10:55 |
| Chair: Ekaterina Smirnova | Organizer: Vyacheslav Lyubchich, Yulia Gel |
| E1316: V. Lyubchich, Y. Chen, Y. Gel | |
| Social network analysis and deep learning for customer retention in retail banking | |
| E0929: M. Oskarsdottir | |
| Adding value to credit scoring using mobile phone data and social networks | |
| E1324: C. Brunetti | |
| Measuring asset holdings in the banking sector with balance sheet driven probability factorization |
| Session EO264 | Room: CLO 203 |
| Testing in complex problems | Saturday 16.12.2017 09:40 - 10:55 |
| Chair: Cristina Butucea | Organizer: Cristina Butucea, Jan Johannes |
| E1375: C. Marteau | |
| Multidimensional two-component Gaussian mixtures detection | |
| E1799: M.I. Borrajo, W. Gonzalez-Manteiga, M.D. Martinez-Miranda | |
| Testing a covariate dependent model for first-order intensity | |
| E1763: M. Fromont, M. Lerasle, P. Reynaud-Bouret | |
| Family-wise separation rates for multiple testing |
| Session EO222 | Room: CLO 204 |
| Spreading out the optimal design of experiments | Saturday 16.12.2017 09:40 - 10:55 |
| Chair: Victor Casero-Alonso | Organizer: Victor Casero-Alonso |
| E0249: S. Aljeddani, K. Mylona, D. Woods | |
| Bayesian analysis of data from experiments subject to restricted randomisation | |
| E1162: J.M. Rodriguez-Diaz | |
| Optimal designs for multiresponse models with double covariance structure | |
| E0856: V. Casero-Alonso, W.K. Wong, A. Pepelyshev | |
| Optimal design for detecting hormesis |
| Session EO575 | Room: SH349 |
| Model-based clustering | Saturday 16.12.2017 09:40 - 10:55 |
| Chair: Vincent Vandewalle | Organizer: Vincent Vandewalle |
| E1139: M. Marbac, M. Sedki | |
| Variable selection for model-based clustering: Application in human population genomics | |
| E1226: F. Chamroukhi | |
| Model-based co-clustering of high-dimensional functional data |
| Session EG022 | Room: G3 |
| Contributions in latent variables | Saturday 16.12.2017 09:40 - 10:55 |
| Chair: Irini Moustaki | Organizer: CMStatistics |
| E1606: H. Hara | |
| Identifiability of binary Bayesian networks with one latent variable | |
| E1693: K. Holst, E. Budtz-Jorgensen | |
| A two-stage estimation procedure for nonlinear structural equation models | |
| E1682: X. Pedeli, G. Masarotto, C. Varin | |
| Indirect pairwise fitting of latent autoregressive and moving average models |
| Session EG028 | Room: G5 |
| Contributions in extreme values and rare events | Saturday 16.12.2017 09:40 - 10:55 |
| Chair: Laurent Gardes | Organizer: CMStatistics |
| E1744: A. Caponera, M. Werner | |
| How robust is the skill score of probabilistic earthquake forecasts? | |
| E1591: D. Dupuis, L. Trapin | |
| Identification of a structural break in the serial dependence of a time series of extremes | |
| E1676: M. Hainy, X.J. Lee, C. Drovandi, A. Pettitt | |
| ABC model selection for spatial max-stable models applied to South Australian maximum temperature data |
| Parallel session D: CMStatistics2017 | Saturday 16.12.2017 | 11:25 - 13:05 |
| Session EI015 | Room: CLO B01 |
| Prediction, present and future | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Dimitris Politis | Organizer: Bertrand Clarke |
| E0157: P. Dawid, A. Tewari | |
| Predictive consistency | |
| E0158: A. Rakhlin | |
| Novel adaptive algorithms for prediction of individual sequences | |
| E0159: F. Komaki | |
| A predictive approach to statistical problems with multiplicity |
| Session EO298 | Room: MAL B18 |
| Graphical Markov models I | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Giovanni Maria Marchetti | Organizer: Giovanni Maria Marchetti |
| E0911: A. Roverato, L. La Rocca | |
| Undirected, indirected and regression graph models for categorical data in a common framework | |
| E1291: R. Evans | |
| Model selection and local geometry | |
| E1306: S. Massa | |
| Learning stable graphical models |
| Session EO457 | Room: MAL B20 |
| Spatial and multivariate extremes | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Emeric Thibaud | Organizer: Emeric Thibaud |
| E0827: M. Oesting | |
| Equivalent representations of max-stable processes via $\ell^p$ norms | |
| E0620: E. Simpson, J. Wadsworth, J. Tawn | |
| Determining the dependence structure of multivariate extremes | |
| E0764: G. Stupfler, S. Girard | |
| Some negative results on extreme multivariate quantiles defined through convex optimisation |
| Session EO415 | Room: MAL B30 |
| Advances in analysis of correlated survival data | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Liming Xiang | Organizer: Liming Xiang |
| Session EO617 | Room: MAL B33 |
| Statistical analysis in finite and infinite dimensional Hilbert spaces | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Karel Hron | Organizer: Karel Hron |
| E1128: G. Gonzalez-Rodriguez, A. Colubi | |
| Testing a functional regression model through consistent bootstrap procedures | |
| E1032: A. Menafoglio, P. Secchi, G. Gaetani | |
| Kriging for Hilbert data over complex domains through random domain decomposition | |
| E1209: T. Rudas, A. Klimova | |
| On the compositional interpretation of frequency data | |
| E0739: J. Walach, P. Filzmoser, K. Hron, B. Walczak, L. Najdekr | |
| A new method for variable selection in a two and multi-group case |
| Session EO488 | Room: MAL B34 |
| Recent developments for functional data exploration | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Frederic Ferraty | Organizer: Frederic Ferraty |
| E0349: J. Jacques | |
| Model-based co-clustering for functional data | |
| E0342: S. Nagy | |
| Data depth for discontinuous functions and random sets | |
| E0730: E. Bongiorno, J.-B. Aubin, A. Goia | |
| An asymptotic factorization of the small-ball probability: Theory and applications | |
| E1109: H. Kadri | |
| Operator-valued kernels for learning from functional responses |
| Session EO394 | Room: MAL B35 |
| High-dimensional inference | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Rajen D Shah | Organizer: Rajen D Shah |
| E1259: J. Bradic | |
| Significance testing in non-sparse high-dimensional linear models | |
| E1057: S. Basu | |
| Network modeling of high-dimensional time series in the presence of factors | |
| E0904: C. Leng | |
| A feature distributed framework for large-scale sparse regression | |
| E0801: G.-A. Thanei, R.D. Shah, N. Meinshausen | |
| The xyz algorithm for fast interaction search in high-dimensional data |
| Session EO236 | Room: G21A |
| Regression models under non i.i.d. settings | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Sophie Dabo | Organizer: Sophie Dabo, Ghislaine Gayraud |
| E0208: S. Bouzebda | |
| Some nonparametric tests for change-point detection based on the P-P and Q-Q plot processes | |
| E0622: M. Chaouch | |
| Conditional homoscedasticity test in time series with dependent innovations: Asymptotic power properties | |
| E1039: N. Debarsy, J. LeSage | |
| Efficient MCMC estimation for spatial econometrics models with convex combination of connectivity matrices | |
| E1603: B. Nasri, B. Remillard, T. Bouezmarni | |
| A nonstationarity copula-based conditional quantile approach: Application to extreme daily stream-flow in Canada |
| Session EO134 | Room: CLO 101 |
| Bayesian semi- and nonparametric modelling I | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Raffaele Argiento | Organizer: Raffaele Argiento, Matteo Ruggiero, Li Ma |
| E0689: J. Griffin | |
| Using particle Gibbs methods with Bayesian nonparametric models | |
| E1275: A. Beskos | |
| Geometric MCMC for infinite-dimensional inverse problems | |
| E1242: G. Zanella | |
| Design of informed local proposals for MCMC in discrete spaces | |
| E0381: G. Malsiner-Walli, S. Fruhwirth-Schnatter, B. Gruen | |
| Inferring components and clusters in Bayesian finite mixture modelling |
| Session EO581 | Room: CLO 102 |
| Inference for diffusion models | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Frank van der Meulen | Organizer: Frank van der Meulen |
| E0346: A. Ruttor, P. Batz, M. Opper | |
| Nonparametric learning of stochastic differential equations | |
| E0930: A. Golightly | |
| Correlated pseudo marginal schemes for partially observed diffusion processes | |
| E1180: M. Schauer | |
| Inference for diffusion processes from observations of passage times | |
| E1163: C. Fuchs, S. Pieschner | |
| MCMC inference for discretely-observed diffusions: Improving efficiency |
| Session EO642 | Room: Senate |
| High dimensional time series models and their applications | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: George Michailidis | Organizer: George Michailidis |
| E0919: J. Lin, G. Michailidis | |
| Regularized estimation and testing for high-dimensional multi-block VAR models | |
| E1430: D. Zhang, W.B. Wu | |
| Gaussian approximation for high dimensional time series | |
| E1524: H. Xiao | |
| Autoregressive model for matrix-valued time series | |
| E1570: S. Das, S. Basu, G. Michailidis, A. Purnanandam | |
| A system-wide approach to measure connectivity in the financial sector |
| Session EO238 | Room: CLO 203 |
| Statistical size distributions and heavy-tailed distributions | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Christophe Ley | Organizer: Yves Dominicy |
| E0544: F. Clementi, M. Gallegati | |
| $\kappa$-generalized models of income and wealth distributions: A survey | |
| E0539: T. Imoto, K. Shimizu, T. Abe | |
| Pareto type probability distribution for cylindrical data | |
| E0841: P. Cirillo | |
| Characterizing the concentration of tail risk under fat-tails | |
| E0744: C. Kleiber | |
| Size distributions and the moment problem |
| Session EO049 | Room: CLO 204 |
| Design, modeling, data analysis, and computational statistics | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Subir Ghosh | Organizer: Subir Ghosh |
| Session EO421 | Room: MAL 402 |
| Advances in ordinal data analysis | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Cristina Mollica | Organizer: Cristina Mollica |
| E0323: M. Alvo, H. Xu | |
| The use of penalized likelihood for analyzing ranking data | |
| E0561: M. Crispino, V. Vitelli, A. Frigessi, O. Sorensen, E. Arjas | |
| Probabilistic preference learning with the Mallows rank model | |
| E0528: B. Francis, R. Dittrich | |
| Modelling multiple Likert items through an adjacent categories ordinal paired comparison model | |
| E0872: M. Iannario, R. Simone | |
| Assessment of zero inflated mixture models for ordinal data |
| Session EO384 | Room: MAL 414 |
| Statistics in bioscience | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Hao Chen | Organizer: Thomas Lee |
| E1303: M.-G. Xie | |
| Approximate confidence distribution computing (ACC): A likelihood-free method with statistical guarantees | |
| E0277: R. Craiu, S. Bull, O. Espin-Garcia | |
| Two-phase designs for joint trait- and genotype-dependent sampling in post-GWAS regional sequencing | |
| E1182: J. Hannig, Y. Cui | |
| Estimation and testing of survival functions via generalized fiducial inference with censored data | |
| E0860: T. Sit | |
| Transformed dynamic quantile regression on censored data |
| Session EO439 | Room: MAL 415 |
| Simultaneous statistical inference | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Thorsten Dickhaus | Organizer: Thorsten Dickhaus |
| E0525: P. Neuvial, G. Blanchard, E. Roquain | |
| Post-selection inference via multiple testing | |
| E0535: D. Yekutieli | |
| From post hoc analysis to post selection inference | |
| E0767: J. Goeman, A. Solari | |
| All-resolution inference: Consistent confidence bounds for the false discovery proportion in high-dimensional data | |
| E0638: T. Dickhaus, A. Neumann, T. Bodnar, D. Pfeifer | |
| Multivariate multiple test procedures based on nonparametric copula estimation |
| Session EO362 | Room: MAL 416 |
| Statistics on networks | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Jean-Pierre Florens | Organizer: Jean-Pierre Florens |
| E0479: A. de Paula | |
| Identifying and estimating social connections from outcome data | |
| E0486: J.-P. Florens, A. Babii | |
| Convolution on networks | |
| E1789: M. Weidner, V. Chernozhukov, I. Fernandez-Val | |
| Network and panel quantile effects via distribution regression | |
| E1798: E. Gautier, C. Rose | |
| Inference on social effects when the network is sparse and unknown |
| Session EO286 | Room: MAL 421 |
| Machine learning, approximation, and robustness | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Andreas Christmann | Organizer: Andreas Christmann |
| E1779: R. Zamar | |
| Ensembles of Regularized Linear Models | |
| E0704: F. Dumpert | |
| Consistency and robustness properties of predictors based on locally learnt support vector machines | |
| E0597: D. Xiang | |
| The stability of SVMs | |
| E0737: A. Christmann | |
| Stability of pairwise learning methods |
| Session EO561 | Room: MAL 532 |
| Recent developments on spatio-temporal modelling | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Sudipto Banerjee | Organizer: Alexandra Schmidt |
| E0378: G. Jona Lasinio, G. Mastrantonio, A. Pollice, C. Blasi, G. Capotorti, G. Genova, L. Teodonio | |
| Bayesian model-based space-time joint interpolation of temperature and rainfall fields | |
| E1152: A. Datta | |
| Spatial disease mapping using directed acyclic graph autoregressive (DAGAR) model | |
| E1081: J. Pereira, M. Rodriguez, A. Schmidt, J. Deschenes | |
| Spatial modelling of fish counts in stream networks: Convolution or multilevel approaches | |
| E1389: G. Shaddick | |
| Global estimation of air quality and the burden of disease associated with ambient air pollution |
| Session EO156 | Room: MAL 538 |
| Advances in fuzzy clustering | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Maria Brigida Ferraro | Organizer: Maria Brigida Ferraro |
| E0492: M. Sato-Ilic | |
| A fuzzy clustering based data fusion method | |
| E0663: D. Fernandez, R. Arnold, S. Pledger | |
| Mixture-based clustering for the ordered stereotype model | |
| E1330: M.B. Ferraro, M. Alfo, P. Giordani | |
| Model-based and fuzzy clustering algorithms: A comparative simulation study | |
| E0888: J. Vilar, B. Lafuente-Rego | |
| Soft clustering of time series: New methods considering fuzzy, mixture models and probabilistic-D approaches |
| Session EO569 | Room: MAL 539 |
| Copula-based regression | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Ingrid Hobaek Haff | Organizer: Ingrid Hobaek Haff |
| E0548: C. Czado, D. Kraus, T. Nagler | |
| Extended D-vine quantile regression with applications | |
| E0658: T. Bouezmarni | |
| Copula-based logistic regression estimation | |
| E0595: C. Varin, G. Masarotto | |
| Gaussian copula regression | |
| E1077: L. Yang, E. Frees, G. Lee | |
| Multivariate frequency-severity regression models in insurance |
| Session EO631 | Room: MAL 540 |
| Miscellaneous results for change point analysis | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Marie Huskova | Organizer: Marie Huskova |
| E0296: W. Pouliot, L. Horvath, S. Wang | |
| Detecting at-most-m changes in linear regression model | |
| E0913: R. Killick, J.-L. Chapman, I. Eckley | |
| Nonparametric changes in variance detection using localised estimates | |
| E1329: A. Steland, R. von Sachs | |
| Change detection and inference in high-dimensional covariance matrices based on $l_1$- and $l_2$-projections | |
| E0584: M. Huskova, J. Antoch, J. Hanousek, Z. Hlavka, L. Horvath, S. Wang | |
| Some results on detection of change points in panel data |
| Session EO447 | Room: MAL 541 |
| Time series and regression models | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Marco Meyer | Organizer: Marco Meyer |
| E1237: B. Funovits | |
| Estimating non-causal VARs using multivariate all-pass filters | |
| E1232: S. Richter | |
| Adaptive bandwidth selection for M-estimators in locally stationary time series | |
| E0963: S. Subbarao | |
| Linear regression with time series regressors | |
| E1280: E. Paparoditis | |
| Extending the range of validity of autoregressive bootstrap methods |
| Session EC699 | Room: MAL 152 |
| Contributions in hypothesis testing | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Clement Marteau | Organizer: CMStatistics |
| E1048: J. Visagie, N. Henze | |
| A new class of tests for multinormality based on the moment generating function | |
| E1690: I. Zezula, D. Klein, A. Roy | |
| Multivariate mean testing under block exchangeable covariance structure | |
| E0292: N. Potas | |
| Testing the equality of coefficients of variations with right-censored data | |
| E1680: R. Leipus, A. Philippe, D. Surgailis, V. Pilipauskaite | |
| Statistical inference for random coefficient dynamic panel data models |
| Session EG026 | Room: MAL 151 |
| Contributions to time series analysis I | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Rajendra Bhansali | Organizer: CMStatistics |
| E1426: C. Cordeiro, M. Neves, M.R. Ramos | |
| A bootstrap contribution in STL decomposition | |
| E1436: J. Lopez | |
| Estimation of autoregressive models from data with measurement error | |
| E1739: F. Mies, A. Steland | |
| Nonparametric Gaussian inference for stable processes | |
| E1151: C.Y. Yau | |
| Optimal estimation of change-points in time series |
| Parallel session D: CFE2017 | Saturday 16.12.2017 | 11:25 - 13:05 |
| Session CO504 | Room: Bloomsbury |
| Nonparametric methods in microeconometrics | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Christoph Breunig | Organizer: Christoph Breunig |
| C0675: F. Dunker, T. Krivobokova, S. Klasen | |
| Simultaneous confidence bands for ratios of quantile functions and growth incidence curves | |
| C0982: A. Dzemski, R. Okui | |
| Confidence sets for group memberships | |
| C0682: M. Lechner, M. Knaus, A. Strittmatter | |
| Heterogeneous employment effects of job search programmes: A machine learning approach | |
| C1176: M. Spindler | |
| Estimation and inference of treatment effects with $L_2$-boosting in high-dimensional settings |
| Session CO512 | Room: Chancellor's Hall |
| Time series econometrics | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Antonio Montanes | Organizer: Antonio Montanes |
| C0344: L. Gadea, J. Gonzalo | |
| Polar warming | |
| C0339: M. Camarero, C. Tamarit, J. Peiro-Palomino | |
| External imbalances and economic growth across countries: A non-parametric reassessment | |
| C1266: J.L. Carrion-i-Silvestre | |
| Cointegration, cobreaking and cotrending for trending time series | |
| C1325: A. Montanes, L. Gadea | |
| Testing for cointegration under the presence broken trends |
| Session CO593 | Room: Court |
| Durham quant-fin group session: High frequency trading and econometrics | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Julian Williams | Organizer: Julian Williams |
| C0392: A. Taamouti | |
| Spanning GARCH: Pricing uncertainty in the very long run | |
| C1093: N. Paltalidis | |
| Credit, stock, commodity and shipping market interactions in a three state boom bust cycle | |
| C1030: H. Sun, J. Williams, D. Philip, J. Cook | |
| Recovering foreign exchange option volatility surface from spot price dynamics | |
| C1031: J. Williams, Y. Zhang | |
| The information content of option implied moments and co-moments |
| Session CO638 | Room: G11 |
| Financial econometrics | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Roderick McCrorie | Organizer: Roderick McCrorie |
| C1277: C.W. Cheang | |
| The fractionally cointegrated VAR model with threshold adjustment | |
| C1201: I. Figuerola-Ferretti, R. McCrorie, R. Bermejo Climent, G. Suarez | |
| Bubble migration across asset classes during the global financial crises | |
| C1205: T. Tang, I. Figuerola-Ferretti, I. Paraskevopoulos | |
| A market approach for convergence trades | |
| C0348: F. Bec, R. Boucekkine, C. Jardet | |
| On the rationality of expert's forecasts: An empirical insight from consensus economics data |
| Session CO660 | Room: G3 |
| The econometrics of market exuberance | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Florian Ielpo | Organizer: Florian Ielpo |
| C0229: A. Kornprobst, R. Douady | |
| An empirical approach to financial crisis indicators based on random matrices | |
| C1809: S. Astill | |
| Detecting end-of-sample explosive behaviour using persistence change tests | |
| C1457: E. Tolo, T. Virtanen, M. Viren, K. Taipalus | |
| On unit root methods to predict financial crises | |
| C1579: F. Ielpo, M. Kniahin | |
| Fundamental bubbles in equity markets |
| Session CO514 | Room: G4 |
| Time series models of commodities and commodities futures | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Pierre Siklos | Organizer: Claudia Wellenreuther, Pierre Siklos |
| C0861: D. Basu | |
| Economic impact of commodity financialization | |
| C1005: K. Kuck, R. Maderitsch | |
| The quantile-heterogeneous autoregressive model of realized volatility: New evidence from commodity markets | |
| C0826: C. Wellenreuther, J. Voelzke | |
| Speculation and volatility: A time-varying approach applied on Chinese commodity futures markets | |
| C1417: M. Kartsakli | |
| On crude oil as financial asset: Evidence from ten years of financialization |
| Session CO252 | Room: G5 |
| Empirical macroeconomics | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Michael Owyang | Organizer: Michael Owyang |
| C0197: N. Traum, M. Cacciatore | |
| Trade flows, trade policy, and the size of fiscal multipliers | |
| C0268: L. Jackson Young, M. Owyang, S. Zubairy | |
| Debt and stabilization policy: Evidence from a Euro area FAVAR | |
| C0295: A. Guisinger, T. Sinclair | |
| Gender differences in business cycle dynamics and policy implications | |
| C0315: M. Owyang | |
| A time-varying threshold star model of unemployment and the natural rate |
| Session CO116 | Room: Jessel |
| Regime change modeling I: Finance and forecast | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Willi Semmler | Organizer: Willi Semmler |
| C0319: J. Hanousek, J. Antoch, M. Huskova, L. Horvath, S. Wang | |
| Structural breaks in panel data: Large number of panels and short length time series | |
| C0524: J. Kotlowski, M. Brzoza-Brzezina | |
| To what extent does sentiment drive real GDP | |
| C1533: F. Jawadi | |
| Arbitrage costs and nonlinear adjustments in individual equity prices: A VSTECM modeling | |
| C1586: M. Rieth, A. Velinov, D. Bierbaumer | |
| Nonlinear intermediary asset pricing in the oil futures market |
| Session CO260 | Room: Montague |
| Financial modelling and forecasting | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Ekaterini Panopoulou | Organizer: Ekaterini Panopoulou |
| C0419: E. Panopoulou, I. Souropanis | |
| The role of technical indicators in exchange rate forecasting | |
| C0420: R. Tunaru, T. Zheng | |
| The normal before the crises: The volatility and skewness crystal ball | |
| C0417: N. Voukelatos, E. Panopoulou | |
| An examination of herd behaviour in hedge funds | |
| C0480: A. Alexandridis, H. Gzyl, E. ter Horst, G. Molina | |
| Extracting risk neutral densities for weather derivatives pricing using the maximum entropy method |
| Session CO126 | Room: Woburn |
| Network analysis and high dimensional time series models | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Christian Brownlees | Organizer: Christian Brownlees |
| C0241: R. Hipp | |
| On the architecture of financial networks | |
| C0387: G. Gudmundsson | |
| Community detection in large vector autoregressions | |
| C0616: I. Archakov, A. Lunde, P. Hansen | |
| A multi-factor realized GARCH with an application to the Fama-French model | |
| C0713: M. Hallam, J. Cotter, K. Yilmaz | |
| Mixed-frequency macro-financial spillovers |
| Session CO490 | Room: SH349 |
| Mixture models, independent components, and identification | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Markus Haas | Organizer: Markus Haas |
| C0671: J. Krause, M. Paolella, S. Broda | |
| Approximating expected shortfall for heavy-tailed distributions | |
| C0830: D. Umlandt, S. Reitz | |
| Financial intermediation and the cross-section of FX returns | |
| C0932: S. Mueller | |
| On interdependence and shift contagion between core Euro Area refinancing conditions | |
| C1204: M. Haas, S. Mueller | |
| Robust and flexible mixture models for the identification of structural shocks of financial time series |
| Session CG072 | Room: Gordon |
| Contributions in stochastic volatility | Saturday 16.12.2017 11:25 - 13:05 |
| Chair: Peter Exterkate | Organizer: CFE |
| C1517: M. Danielova Zaharieva, F. Goessling | |
| Semi-parametric Bayesian forecasting with an application to stochastic volatility | |
| C1458: A. Hansen | |
| A macro-finance term structure model with volatility-induced stationarity | |
| C0236: A. Santos | |
| Volume, durations and jumps in SV models for the evolution of intraday financial volatility | |
| C0562: S. Vahap | |
| Bayesian state-space model with time varying parameters and stochastic volatility in identification of financial shocks |
| Parallel session E: CMStatistics2017 | Saturday 16.12.2017 | 14:35 - 16:15 |
| Session EI736 | Room: CLO B01 |
| Statistical inference and machine learning | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Jelena Bradic | Organizer: Jelena Bradic |
| E0466: M. Kolar | |
| Learning structured densities without parametric assumptions | |
| E0468: S. Wager, S. Athey | |
| Efficient policy learning |
| Session EO019 | Room: MAL B18 |
| Graphical Markov models II | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Nanny Wermuth | Organizer: Nanny Wermuth |
| E1243: G.M. Marchetti | |
| Identical maximum likelihood estimates for Gaussian and Ising models defined by a chordless cycle | |
| E0635: C. Tarantola, M. Lupparelli, I. Ntzoufras | |
| Probability based independence sampler for Bayesian quantitative learning in graphical log-linear marginal models | |
| E1281: C. Uhler, Y. Wang, L. Solus, K. Yang | |
| Permutation-based causal inference algorithms with interventions | |
| E0894: P. Zwiernik | |
| Maximum likelihood estimation of the latent class model through model boundary decomposition | |
| E0436: H. Massam | |
| Precision matrix estimation in large coloured graphical Gaussian models |
| Session EO200 | Room: MAL B20 |
| Extreme value statistics | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: John Einmahl | Organizer: John Einmahl |
| E0281: L. Gardes | |
| Tail dimension reduction for extreme quantile estimation | |
| E0499: A. Guillou, V. Chavez-Demoulin | |
| Risk measure estimation for $\beta-$mixing time series and applications | |
| E0577: J. Beirlant | |
| Extreme value estimation for censored regularly varying tails | |
| E0942: C. de Valk, J. Segers | |
| Tail behaviour of a multivariate quantile based on optimal transport |
| Session EO230 | Room: MAL B30 |
| Functional data analysis | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Alicia Nieto-Reyes | Organizer: Alicia Nieto-Reyes |
| E0702: J. Berrendero, B. Bueno-Larraz, A. Cuevas | |
| Functional logistic regression: An RKHS approach | |
| E0759: G. Boente, M. Salibian-Barrera, P. Vena | |
| Robust estimators under a functional partial linear model | |
| E0906: A. Elias | |
| Prediction bands for functional data based on depth measures | |
| E1067: G. Van Bever, H. Oja, F. Critchley, R. Sabolova, B. Li | |
| Joint diagonalisation of scatter operators: Functional fourth order blind identification |
| Session EO510 | Room: MAL B33 |
| Modeling dependence for functional data | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Matthew Reimherr | Organizer: Siegfried Hormann |
| E1536: C. Cerovecki, S. Hormann, C. Francq, J.-M. Zakoian | |
| Functional GARCH models | |
| E1500: N. Salish | |
| A moment-based notion of time dependence for functional time series | |
| E1506: P. Constantinou, P. Kokoszka, M. Reimherr | |
| Testing separability of functional time series | |
| E1588: D. Poss, D. Liebl | |
| Generalized functional linear models with points of impact |
| Session EO284 | Room: MAL B34 |
| Statistics for Hilbert spaces | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Gil Gonzalez-Rodriguez | Organizer: Gil Gonzalez-Rodriguez |
| E0558: C. Goga | |
| Robust estimation of the total electricity load curve by sampling in a finite population | |
| E1071: S. Lopez Pintado | |
| Depth-based methods for sparse and complex functional data | |
| E1294: C. Ritz, A. van Delft | |
| Application of functional correlation in biology and econometrics | |
| E1134: Y. Terada | |
| Semi-supervised classification for functional data and its applications |
| Session EO142 | Room: MAL B35 |
| Statistical advances in neuroimaging | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Timothy Johnson | Organizer: Timothy Johnson |
| E0322: T. Johnson | |
| A time-varying AR coefficient model of functional near-infrared spectroscopy data | |
| E0451: N. Lazar, C. Park, C. Helms | |
| Semiparametric estimation under shape invariance for fMRI data | |
| E0637: M. Lindquist | |
| Principal directions of mediation | |
| E1202: T. Ogden, H. Park, E. Petkova, T. Tarpey | |
| Calculating a generated effect modifier (GEM) for treatment selection based on imaging data |
| Session EO067 | Room: Bloomsbury |
| Recent advances in statistical genetics | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Florian Frommlet | Organizer: Florian Frommlet |
| E1142: M. Bogdan, P. Szulc, D. Siegmund, R. Doerge | |
| Mixed model approach for QTL mapping in inbred crosses | |
| E1284: D. Edelmann, A. Benner | |
| Independence hypothesis weighting in biostatistical practice | |
| E1173: A. Futschik, S. Zehetmayer | |
| Statistical tests for genomic time series data | |
| E1795: A. Posekany | |
| Outlier detection with mixtures of Gaussian and heavy-tailed distributions |
| Session EO368 | Room: Chancellor's Hall |
| Non-stationarity and high-dimensionality in time series analysis | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Piotr Fryzlewicz | Organizer: Piotr Fryzlewicz |
| E0191: C. Brownlees, G. Mesters | |
| Detecting granular time series in large panels | |
| E0700: P. Feng, C. Lam | |
| Integrating regularized covariance matrix estimators | |
| E1019: K. Leeming, M. Knight, G. Nason, M. Nunes | |
| Network time series | |
| E0898: R. von Sachs, J. Chau | |
| Positive-definite wavelet estimation of time-varying spectral density matrices |
| Session EO382 | Room: Court |
| Recent advances on high-dimensional statistics | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Ines Wilms | Organizer: Ines Wilms |
| E0529: E. Wijler, S. Smeekes | |
| Penalized estimation of sparse high-dimensional single-equation error correction models | |
| E0729: L. Barbaglia, C. Croux, I. Wilms | |
| Volatility spillovers and heavy tails: A large t-vector autoregressive approach | |
| E0596: G. Tarr | |
| Assessing selection stability in regularised regression models | |
| E1133: I. Wilms, J. Bien, D. Matteson, S. Basu | |
| Estimation of sparse vector autoregressive moving averages |
| Session EO198 | Room: G11 |
| Nonparametric modelling of dependent data | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Tatyana Krivobokova | Organizer: Tatyana Krivobokova |
| E1844: W.B. Wu | |
| Testing for trends in high-dimensional time series | |
| E0526: F. Enikeeva, C. Chesseboeuf, H. Bierme | |
| Estimation of the change in variance for Gaussian stationary sequences | |
| E0923: P. Serra, T. Krivobokova, F. Rosales Marticorena | |
| Regression with correlated noise: Non-parametric approach | |
| E1378: T. Apanasovich | |
| Nonparametric estimation in spatial regression | |
| E0384: M. Singer, T. Krivobokova, A. Munk | |
| Kernel partial least squares for stationary data |
| Session EO162 | Room: G3 |
| Statistics for high frequency data: Theory and applications | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Nakahiro Yoshida | Organizer: Nakahiro Yoshida |
| E0546: H. Masuda, S. Eguchi | |
| Modeling time scale in high-frequency data | |
| E0556: M. Uchida | |
| Hybrid estimators for ergodic diffusion processes based on thinned data | |
| E1136: Y. Koike | |
| Lead-lag analysis of non-synchronously observed time series with R | |
| E1351: E. Guidotti, S. Iacus | |
| The Yuima framework for simulation and inference of stochastic processes and its GUI |
| Session EO031 | Room: G4 |
| New methods for analyzing complex data | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Yue Niu | Organizer: Yichao Wu |
| E0352: H. Chen, Y. Xia | |
| Gaussianity test for high-dimensional data | |
| E0345: X. Gao | |
| Weighted adaptive hard threshold signal approximation for robust change point detection | |
| E0500: Y. Cui, R. Zhu, M. Zhou, M. Kosorok | |
| Adaptive concentration and consistency of tree-based survival models | |
| E1794: Y. Niu, N. Hao, B. Dong | |
| Reduced ranked linear discriminant analysis |
| Session EO296 | Room: G5 |
| Predictive models for actuarial science | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Katrien Antonio | Organizer: Katrien Antonio |
| E1602: R. Henckaerts, K. Antonio, R. Verbelen, M. Clijsters | |
| A data driven strategy for the construction of tariff classes in P\&C insurance | |
| E1771: T. Reynkens, J. Beirlant, A. Kijko, J. Einmahl | |
| Estimating the maximum possible earthquake magnitude using extreme value methodology: The Groningen case | |
| E1614: J. Crevecoeur, K. Antonio, R. Verbelen | |
| A time change strategy to model reporting delay dynamics inclaims reserving | |
| E1770: S. Devriendt, K. Antonio, R. Verbelen, E. Frees | |
| Sparse modeling of risk factors in insurance analytics |
| Session EO471 | Room: Gordon |
| Big data: Convergence of statistics and optimization | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Stephane Chretien | Organizer: Stephane Chretien |
| E1516: L. Grigoryeva, J.-P. Ortega | |
| Machine learning with universal reservoir computers using non-homogeneous state-affine systems and forecasting tasks | |
| E1560: M. Massias, A. Gramfort, J. Salmon | |
| From safe screening rules to working sets for faster Lasso-type solvers | |
| E1830: S. Sardy | |
| New tests for generalized linear models based on lasso | |
| E1842: S. Roy, A. Gibberd | |
| Multiple change-point estimation in Gaussian graphical models |
| Session EO674 | Room: CLO 101 |
| j-ISBA session: Nonparametric Bayesian analysis of copula models | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Giovanna Jona Lasinio | Organizer: Clara Grazian |
| E0256: L. Rossini, F. Leisen, L. Dalla Valle | |
| Bayesian nonparametric conditional copula estimation of twin data | |
| E0438: S. Shaoyang Ning, N. Shephard | |
| A nonparametric Bayesian approach to copula estimation | |
| E0766: G. Mastrantonio, C. Grazian, E. Bibbona | |
| Introducing dependence among Dirichlet processes: A copula based approach | |
| E1103: A. Riva Palacio, F. Leisen | |
| Levy copulas in Bayesian non-parametric models |
| Session EO166 | Room: CLO 102 |
| Recent developments in multivariate data analysis | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Anne Ruiz-Gazen | Organizer: Klaus Nordhausen, Anne Ruiz-Gazen |
| E0816: A. Archimbaud, A. Ruiz-Gazen, K. Nordhausen | |
| ICS with singular scatter matrices | |
| E0925: V. Oellerer | |
| Application of BigVAR: Forecasting fund shares using social variables | |
| E0976: J. Virta, B. Li, K. Nordhausen, H. Oja | |
| Asymptotic comparison of tensorial and vectorial ICA methods | |
| E1230: K. Nordhausen, H. Oja, D. Tyler, J. Virta | |
| Testing the dimension of the non-Gaussian subspace in NGCA |
| Session EO407 | Room: Jessel |
| New trends in robust estimation | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Adrien Saumard | Organizer: Adrien Saumard |
| E0457: M. Lerasle, G. Lecue | |
| Learning from MOM's principle: Theoretical results | |
| E0454: G. Lecue, M. Lerasle | |
| Learning from MOM's principle | |
| E0863: M. Sart | |
| On hazard rate estimation for censored data | |
| E1408: E. Joly | |
| Concentration for robust mean estimators: Some recent results |
| Session EO017 | Room: Montague |
| Risk prediction in survival analysis | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Ingrid Van Keilegom | Organizer: Anouar El Ghouch, Ingrid Van Keilegom |
| E0221: J.-C. Pardo-Fernandez, P. Martinez-Camblor | |
| Smooth time-dependent ROC curve estimators | |
| E1060: M.X. Rodriguez-Alvarez, T. Kneib | |
| Evaluating the accuracy of prognostic biomarkers in the presence of external information | |
| E1289: X. Piulachs, M. Guillen | |
| Simultaneous modeling of counts with excess zeros and left-truncated survival data with time-varying effects | |
| E0261: P. Dupont | |
| The balance hazard ratio for evaluating prognostic factors and survival risk groups |
| Session EO216 | Room: Senate |
| Outliers and change-points in time series | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Roland Fried | Organizer: Roland Fried |
| E0677: S. Hoermann, P. Kokoszka, L. Horvath, T. Gorecki | |
| Testing normality of functional time series | |
| E0699: C. Kirch | |
| Multiple change point estimation based on moving sum statistics | |
| E0883: O. Sonmez, G. Rice, A. Aue | |
| Detecting and dating structural breaks in functional data without dimension reduction | |
| E1016: D. Vogel, C. Gerstenberger, M. Wendler | |
| Studentized U-quantile processes |
| Session EO492 | Room: Woburn |
| Modern statistical methods for complex data | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Yang Feng | Organizer: Yang Feng |
| E0727: M.-Y. Cheng | |
| Testing goodness-of-fit with complex data | |
| E1112: E. Laber | |
| Optimal treatment allocation for emerging infectious diseases | |
| E0621: T. Wang, R. Samworth | |
| High-dimensional changepoint estimation via sparse projection | |
| E1231: Y. Zhao, C. Du | |
| On the consistency of graph-based semi-supervised learning |
| Session EO023 | Room: CLO 203 |
| The Stein method in statistics: A new quantification of approximations | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Christophe Ley | Organizer: Christophe Ley |
| E0196: I. Nourdin | |
| Exact confidence intervals for the Hurst parameter of a fractional Brownian motion | |
| E0379: G. Reinert, Y. Swan | |
| Differential Stein operators for multivariate continuous distributions and applications | |
| E0443: R. Gaunt, G. Reinert | |
| The rate of convergence of some asymptotically chi-square distributed via Stein's method | |
| E0508: F. Ghaderinezhad, C. Ley | |
| Measuring the impact of priors with Stein's Method |
| Session EO152 | Room: CLO 204 |
| Empirical processes and applications | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Eric Beutner | Organizer: Henryk Zaehle, Eric Beutner |
| E0376: B. Beare, Z. Fang | |
| Weak convergence of the least concave majorant of estimators for a concave distribution function | |
| E0469: J. Carcamo | |
| The central limit theorem for empirical processes in $L^p(\mu)$ with applications | |
| E0435: A. Lachal, S. Alvarez-Andrade, S. Bouzebda | |
| Some asymptotic results for integrated empirical processes with applications to statistical tests | |
| E0523: J. Soehl, M. Trabs | |
| Adaptive confidence bands for Markov chains and diffusions: Estimating the invariant measure and the drift |
| Session EO719 | Room: SH349 |
| Recent advances for inference in latent variable models | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Estelle Kuhn | Organizer: Estelle Kuhn |
| E0607: M. Delattre, E. Kuhn | |
| Estimating the Fisher information matrix in latent variable models | |
| E1348: E. Ollier | |
| Stochastic proximal gradient algorithms for penalized mixed models | |
| E0996: E. Devijver, G. Claeskens, I. Gijbels | |
| Mixed effects modeling and warping for functional data using B-spline | |
| E0505: T. Rebafka, C. Matias, F. Villers | |
| A semiparametric extension of the stochastic block model for longitudinal networks |
| Parallel session E: CFE2017 | Saturday 16.12.2017 | 14:35 - 16:15 |
| Session CI007 | Room: Beveridge Hall |
| Inference in semiparametric generalized separable models | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Stefan Sperlich | Organizer: Stefan Sperlich |
| C0164: B. Park | |
| Smooth backfitting for errors-in-variables additive models | |
| C0166: J.M. Rodriguez-Poo, P. Moreno | |
| Semiparametric estimation of a sample selection model with binary endogenous regressors |
| Session CO272 | Room: MAL 151 |
| Contributions in liquidity | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Gaelle Le Fol | Organizer: CFE |
| C1775: G. Bauer, E. Granziera | |
| Variation in funding liquidity and financial stability risks | |
| C1777: M. Siikanen, S. Ranganathan, J. Kanniainen | |
| Liquidity taking and stock returns | |
| C1542: Y. Xu | |
| Illiquidity and volatility spillover effects in equity markets during and after a financial crisis: An MEM approach | |
| C1480: H. Zhang, A. Dufour | |
| From a quote-driven to an order-driven market: The case of the EuroMTS government bond trading platform |
| Session CO496 | Room: MAL 153 |
| Financial econometrics with R | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Leopoldo Catania | Organizer: Leopoldo Catania, David Ardia |
| C0185: K. Bluteau, D. Ardia, K. Boudt, L. Catania | |
| Forecasting performance of Markov-switching GARCH models: A large-scale empirical study | |
| C0189: L. Catania, D. Ardia, K. Boudt | |
| Value-at-risk prediction in R with the GAS package | |
| C0203: K. Boudt, D. Ardia | |
| Accounting for non-normality and luck in fund peer performance evaluation |
| Session CO180 | Room: MAL 414 |
| Recent developments and applications in the econometrics of networks | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Pierre Siklos | Organizer: Pierre Siklos |
| C0406: E. Baumohl, S. Lyocsa, T. Vyrost, E. Kocenda | |
| Networks of volatility spillovers among stock markets | |
| C1221: C. Gross, M.T. Bohl, P. Siklos | |
| The transmission of sovereign and bank credit risk to the non-financial corporate sector in Europe | |
| C0579: P. Siklos | |
| Signed spillover effects building on historical decompositions |
| Session CO246 | Room: MAL 415 |
| Volatility modeling | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Giuseppe Storti | Organizer: Giuseppe Storti |
| C0957: C. Diks, H. Fang | |
| Comparing density forecasts in a risk management context | |
| C1312: M. Marchese | |
| A conditional coverage test for forecast combination in Value at Risk prediction | |
| C1382: S. Laurent, O. Sauri, S. Acosta | |
| Estimation of realized betas in a multi-factor model in presence of noise and asynchronisity | |
| C1387: G. Storti, A. Naimoli | |
| Heterogeneous component MEM models for forecasting trading volumes |
| Session CO411 | Room: MAL 416 |
| Perturbation solutions for dynamic economic models | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Peter Zadrozny | Organizer: Peter Zadrozny |
| C0792: S. Maliar, V. Lepetyuk, L. Maliar | |
| Extended function path perturbation methods for nonstationary and unbalanced growth models | |
| C0819: A. Meyer-Gohde | |
| Risk-sensitive linear approximations | |
| C0735: J.C. Parra-Alvarez, O. Posch, H. Polattimur | |
| Risk matters: Breaking certainty equivalence | |
| C0802: P. Zadrozny, B. Chen | |
| Multi-step perturbation solution of stochastic nonlinear rational expectations models |
| Session CO516 | Room: MAL 421 |
| Labor market impact of refugee immigrants in the Nordic countries | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Christopher Baum | Organizer: Christopher Baum |
| C0924: P. Bevelander | |
| Employment assimilation of immigrant groups in Sweden: Longitudinal evidence from Swedish register data | |
| C1249: B. Bratsberg | |
| Labor market integration of refugee immigrants | |
| C1233: E. Solheim, A. Yijala | |
| The economic integration of immigrants in Finland: A register data analysis 2005-2014 | |
| C1296: H. Loof, C. Baum, A. Stephan, C. Alder | |
| Labour market integration of refugee-immigrants in Sweden |
| Session CO547 | Room: MAL 532 |
| Semi- and nonparametric methods for nonlinear regression | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Harry Haupt | Organizer: Markus Fritsch, Joachim Schnurbus, Harry Haupt |
| C0188: K. Yu | |
| Improved local quantile regression | |
| C1194: M. Fritsch, H. Haupt, J. Schnurbus | |
| Nonlinear spatial hedonic quantile regression: Housing prices, relevant characteristics, and their shadow prices | |
| C1171: R. Tschernig, C. Rust | |
| Model confidence sets for nonparametric time series models | |
| C1773: H. Haupt, J. Schnurbus | |
| Modeling and forecasting nonlinear seasonality |
| Session CO479 | Room: MAL 538 |
| Advances in behavioral macro-finance | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Christian Proano | Organizer: Christian Proano |
| C0413: C. Proano, L. Draeger | |
| Cross-border banking and macroprudential policies in asymmetric monetary unions | |
| C1174: T. Theobald | |
| Modeling credit market interactions with securitization in an agent based stock flow consistent approach | |
| C0571: E. Gasteiger | |
| Optimal constrained interest-rate rules under heterogeneous expectations | |
| C1049: M. Lengnick, C. Proano, N. Kotb, H.-W. Wohltmann | |
| Optimal monetary policy in a mixed-frequency new Keynesian macroeconomic model with animal spirits |
| Session CO320 | Room: MAL 539 |
| Time-series econometrics | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Robert Kunst | Organizer: Robert Kunst |
| C0446: U. Gunter | |
| Using a global vector autoregression to conditionally forecast tourism exports and tourism export prices | |
| C0743: R. Kunst | |
| Simulation-based selection of prediction models | |
| C1806: P. Rodrigues | |
| Scale-invariant CUSUM-based ratio tests for parameter constancy: Application to variance stability | |
| C0488: S. Arvanitis, A. Louka | |
| Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model |
| Session CO226 | Room: MAL 540 |
| Collinearity, common factors and common shocks | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Niklas Ahlgren | Organizer: Niklas Ahlgren |
| C0312: A. Netsunajev, D. Kulikov | |
| Stargazing with structural VARs: Shock identification via independent component analysis | |
| C0547: N. Ahlgren, J. Antell | |
| Strong and weak cross-sectional dependence in factor models for returns in event studies | |
| C0537: A. Jach, T. McElroy | |
| Testing collinearity of vector time series | |
| C0593: H. Nyberg | |
| Taking zero lower bound seriously: A structural vector autoregression containing positive-valued components |
| Session CO453 | Room: MAL 541 |
| Robust Bayesian econometrics | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Catherine Forbes | Organizer: Catherine Forbes |
| C1441: H. Wang, C. Forbes, B. Koo | |
| Monitoring economic linkage with a semi-parametric VAR model | |
| C1415: G. Mitrodima, J. Griffin | |
| A Bayesian quantile time series model for asset returns | |
| C0845: C. Forbes, Z. Liu, H. Anderson | |
| Robust Bayesian inference for moment condition models |
| Session CG325 | Room: MAL 152 |
| Contributions in structural VAR | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Luca Fanelli | Organizer: CFE |
| C1454: R. Braun, R. Brueggemann | |
| Identification of SVAR models by combining sign restrictions with external instruments | |
| C1563: L. Fanelli, G. Angelini, E. Bacchiocchi | |
| Uncertainty across volatility regimes | |
| C1511: M. Lanne, J. Luoto | |
| GMM estimation of structural vector autoregressions | |
| C1643: S. Maxand | |
| Identification of independent structural shocks in the presence of multiple Gaussian components |
| Session CG119 | Room: MAL 402 |
| Contributions in long memory | Saturday 16.12.2017 14:35 - 16:15 |
| Chair: Michelle Voges | Organizer: CFE |
| C0218: K. Nadarajah, G. Martin, D. Poskitt | |
| Optimal bias-correction in the log periodogram estimation of the fractional parameter: A jackknife approach | |
| C1488: L. Kristoufek | |
| Fractal methods for fractional cointegration | |
| C1537: J.E. Vera Valdes | |
| Long horizon forecasts | |
| C0263: M. Voges, C. Leschinski, P. Sibbertsen | |
| The disintegration of EMU government bond markets |
| Parallel session F: CMStatistics2017 | Saturday 16.12.2017 | 16:45 - 18:50 |
| Session EI013 | Room: CLO B01 |
| Boundary estimation and deconvolution problems | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Leopold Simar | Organizer: Leopold Simar |
| E0154: A. Kneip | |
| A novel method for panel models with jump discontinuities | |
| E0155: A. Delaigle, P. Hall, W. Zhou | |
| Nonparametric covariate-adjusted regression | |
| E0156: I. Van Keilegom, J.-P. Florens, L. Simar | |
| Estimation of the boundary of a variable observed with symmetric error |
| Session EO186 | Room: MAL B20 |
| Applied extremes | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Gilles Stupfler | Organizer: Gilles Stupfler |
| E0198: A. Ferreira, P. Friederichs, L. de Haan, C. Neves, M. Schlather | |
| Estimating space-time trend and dependence of heavy rainfall | |
| E1092: D. Castro-Camilo, R. Huser, A. Hering | |
| Towards an efficient early warning system for extreme wind speed detection | |
| E0757: E. Mitchell, G. Stupfler, A. Wood, N. Crout, P. Wilson | |
| An extreme value analysis of top performing UK winter wheat producers | |
| E1167: A. Sabourin, M. Chiapino, J. Segers | |
| Feature clustering and tests for asymptotic independence | |
| E0609: R. Towe, E. Eastoe, J. Tawn, P. Jonathan | |
| Statistical downscaling for future extreme wave heights in the North Sea |
| Session EO051 | Room: MAL B33 |
| High dimensional model selection | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Malgorzata Bogdan | Organizer: Malgorzata Bogdan |
| E0340: F. Frommlet | |
| A novel algorithmic approach to Bayesian logic regression | |
| E1165: D. Brzyski, J. Goni, J. Harezlak, B. Ances | |
| Using tensor regression to select the HIV-related connections between brain's regions | |
| E1188: A. Virouleau, S. Gaiffas, A. Guilloux, M. Bogdan | |
| Sorted-L1 norm for outliers detection and high-dimensional robust regression: Sharp oracle inequalities and FDR control | |
| E0886: P. Pokarowski, A. Prochenka, M. Frej, J. Mielniczuk | |
| Improving Lasso for sparse high dimensional GLM and Cox model selection | |
| E1038: M. Sesia, C. Sabatti, E. Candes | |
| Gene hunting with knockoffs for hidden Markov Models |
| Session EO065 | Room: MAL B34 |
| Statistics for Hilbert spaces | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Gil Gonzalez-Rodriguez | Organizer: Gil Gonzalez-Rodriguez |
| E0321: J. Gertheiss | |
| Nonparametric variable selection and screening with a large number of functional predictors | |
| E0903: G. James, X. Qiao, C. Qian | |
| Doubly functional graphical models in high dimensions | |
| E1056: M. Reimherr, A. Parodi | |
| High-dimensional function-on-scalar regression in Hilbert spaces | |
| E0973: H. Matsui | |
| Quadratic regression for functional response models | |
| E0890: D. Liebl, A. Kneip | |
| On the optimal reconstruction of partially observed functional data |
| Session EO425 | Room: MAL B35 |
| Recent advances in statistical machine learning | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Peter Radchenko | Organizer: Peter Radchenko, Rahul Mazumder |
| E0952: P. Radchenko, A. Dedieu, R. Mazumder | |
| High-dimensional regression with L0 regularization | |
| E1258: H. Hazimeh, R. Mazumder | |
| Fast L0 regression: Coordinate descent, local search, and combinatorial optimization | |
| E0516: J. Dunn, D. Bertsimas | |
| Optimal classification and regression trees | |
| E1118: P. Grigas, R. Freund, R. Mazumder | |
| Computational properties of solution methods for logistic regression through the lens of condition numbers | |
| E0564: R. Mukherjee, S. Sen | |
| Testing degree corrections in stochastic block models |
| Session EO228 | Room: CLO 101 |
| Novel Bayesian applications and methods | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Christopher Hans | Organizer: Christopher Hans |
| E0473: S. Jensen | |
| Spatio-temporal modeling of urban data: A case study in Philadelphia | |
| E0450: I. Manolopoulou, G. Ross, J. Pitkin | |
| Bayesian hierarchical modelling of sparse count processes with applications in retail analytics | |
| E0487: C. Carvalho, R. Hahn, J. Murray | |
| Bayesian regression tree models for causal inference | |
| E1017: J. Hill | |
| Partial identification of causal effects in grouped data with unobserved confounding | |
| E1066: A. Volfovsky | |
| Hierarchical array priors for ANOVA decompositions of cross-classified data |
| Session EO423 | Room: CLO 102 |
| Contributions to the estimation problem in stochastic systems | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Raquel Caballero-Aguila | Organizer: Raquel Caballero-Aguila |
| E0746: R. Caballero-Aguila, A. Hermoso-Carazo, J. Linares-Perez | |
| Signal filtering over sensor networks with random delays and loss compensations: Distributed and centralized framework | |
| E1352: I. Garcia-Garrido, R. Caballero-Aguila, J. Linares-Perez | |
| Least-squares quadratic filtering in linear stochastic systems with random parameter matrices and correlated noises | |
| E1562: M.J. Garcia-Ligero, A. Hermoso-Carazo, J. Linares-Perez | |
| A filtering algorithm for systems with random transmission delays modeled by multi-state Markov chains | |
| E1769: M.P. Frias Bustamante, M.D. Ruiz-Medina, A. Torres | |
| Spatial point processes estimation in functional spaces | |
| E0969: A. Hermoso-Carazo, R. Caballero-Aguila, J. Linares-Perez, Z. Wang | |
| Distributed estimation in networked systems with random parameter matrices and transmission packet dropouts |
| Session EO372 | Room: CLO 203 |
| Ordinal data modeling: Perspectives and applications | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Rosaria Simone | Organizer: Rosaria Simone |
| E0329: B. Gruen, S. Dolnicar | |
| Joint model-based clustering for ordinal survey data | |
| E0968: M. Kateri | |
| Measures of ordinal association in two-way contingency tables | |
| E0887: F. Pennoni | |
| A review of panel data models with a Markov dependent structure for univariate and multivariate ordinal responses | |
| E0900: D. Piccolo, S. Capecchi, M. Iannario, R. Simone | |
| A unifying perspective to model preference and evaluation data | |
| E1372: G. Tutz | |
| Modelling of dispersion and response styles in ordinal regression |
| Session EO651 | Room: MAL 414 |
| Statistical methods for mobile health applications | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Jaroslaw Harezlak | Organizer: Jaroslaw Harezlak |
| E0870: I. Gaynanova | |
| Challenges and opportunities in the analysis of continuous glucose monitoring data | |
| E1130: C. Di | |
| A functional data analysis framework for objectively measured physical activity data from accelerometry | |
| E0944: M. Kos, J. Harezlak, M. Bogdan, N. Glynn | |
| Classification of human activity via spherical representation of accelerometry signal | |
| E0994: M. Straczkiewicz, C. Sorensen, J. Urbanek, B. Ances, C. Crainiceanu, J. Harezlak | |
| Walking recognition via continuous wavelet transforms applied to the longitudinal intervention study | |
| E1050: J. Harezlak, W. Fadel, J. Urbanek, X. Li, S. Albertson | |
| Algorithm for differentiation of walking and stair climbing based on the raw accelerometry data |
| Session EO680 | Room: MAL 416 |
| Modernizing assessment and instruction in statistics | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Erin Blankenship | Organizer: Erin Blankenship |
| E0267: M. Mocko | |
| Revising the GAISE: Guidelines for Assessment \& Instruction in Statistics Education | |
| E0301: N. Tintle | |
| Reflections on best practices for teaching the algebra-based introductory statistics course | |
| E0770: E. Blankenship, J. Green | |
| Cutting through the theory: Emphasizing statistical thinking in mathematical statistics | |
| E0721: J. Green, E. Blankenship | |
| Educating educators: Developing teachers of statistical thinking | |
| E1004: W. Stroup | |
| Teaching statistical thinking to statistics graduate students |
| Session EO302 | Room: MAL 421 |
| Robustness in data science | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Valentin Todorov | Organizer: Valentin Todorov |
| E0390: P. Ruckdeschel, V. Todorov | |
| Refactoring the FORTRAN code for LTS and MCD Algorithm in R | |
| E1315: A. Mayo-Iscar, L.A. Garcia-Escudero, A. Gordaliza | |
| Finding conics in noisy images | |
| E1338: E. Sordini, V. Todorov, A. Corbellini | |
| fsdaR: making the FSDA toolbox available to R users | |
| E1490: I. Vranckx, M. Hubert, B. de Ketelaere | |
| Real-time DetMCD-based classification of NIR-spectra | |
| E1604: F. Alqallaf | |
| Robust SUR estimation under an independent contamination model |
| Session EO678 | Room: MAL 532 |
| Spatial point process models and their statistical inference | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Dominic Schuhmacher | Organizer: Dominic Schuhmacher |
| E1414: J. Mateu | |
| Point patterns in space and space-time: Linear models and change of support | |
| E1484: J. Illian | |
| Treating ecological data structures as thinned point processes | |
| E1428: M. Myllymaki, T. Mrkvicka, P. Grabarnik, U. Hahn | |
| Global envelope tests, with emphasis on spatial point processes | |
| E1446: T. Rajala | |
| Overview of anisotropic point pattern statistics | |
| E1469: E. Rubak | |
| Point processes on the sphere |
| Session EO136 | Room: MAL 538 |
| Recent developments in latent variable models | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Giuliano Galimberti | Organizer: Giuliano Galimberti |
| E0405: I. Moustaki, I. Papageorgiou | |
| Sampling of pairs in composite likelihood estimation for latent variable models for categorical responses | |
| E0568: M. Farne | |
| Factor model estimation by composite minimization | |
| E1002: C. Rampichini, F. Bassi, L. Grilli, O. Paccagnella, R. Varriale, L. Grilli | |
| Multilevel modelling with level-2 missing data: The relationship between student ratings and teacher feelings/practices | |
| E0807: G. McLachlan | |
| A multithreaded implementation of the EM algorithm for finite mixture models |
| Session EC700 | Room: MAL B18 |
| Contributions to functional data analysis | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Stanislav Nagy | Organizer: CMStatistics |
| E1711: K. Abramowicz, A. Pini, L. Schelin, S. Vantini, S. Sjostedt-de Luna | |
| Family-wise error rate on domain subsets: A unified framework for local inference in functional data analysis | |
| E1673: M. Stefanucci, D. Kraus | |
| Classification of functional fragments by regularized linear classifiers with domain selection | |
| E0200: G. Guo | |
| Hypergeometric-type bootstrap quasi-likelihood for functional longitudinal data: Inference and applications | |
| E1366: F. Nicol, S. Puechmorel | |
| A Riemannian framework for curves with velocity information: Application to detection of bad runway conditions | |
| E1377: N. Hernandez, G. Martos, A. Munoz | |
| Domain selection for functional data classification |
| Session EC692 | Room: MAL 152 |
| Contributions in computational statistics | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Keith Knight | Organizer: CMStatistics |
| E1826: P. Paoullis, A. Colubi, E. Kontoghiorghes, P. Paoullis | |
| Parallel strategies for estimating the vector generalized linear model | |
| E1663: A. Astorino, A. Fuduli, G. Giallombardo, G. Miglionico | |
| Optimization approaches for multiple instance classification | |
| E1635: L. Schlosser, T. Hothorn, A. Zeileis | |
| Distributional trees and forests | |
| E1656: E. Mathiesen, C. Ford | |
| Exploring and improving document-to-vector embeddings | |
| E0199: K. Knight | |
| Elemental estimates, influence, and algorithmic leveraging |
| Session EC698 | Room: MAL 153 |
| Contributions to time series analysis II | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: James Taylor | Organizer: CMStatistics |
| E1749: A. Shelef, E. Schechtman | |
| A Gini-based time series analysis and test for reversibility | |
| E1753: J. Tastu | |
| Multistep ahead forecasts: Parsimonious approach using varying coefficient models | |
| E1403: E. Jorge-Gonzalez, E. Gonzalez-Davila, R. Martin-Rivero, D. Lorenzo-Diaz | |
| Intervention variables and stochastic trend in state space models | |
| E1735: X. Meng, J. Taylor | |
| Forecast combining for multivariate probability distributions | |
| E1055: M. Disegna, P. Durso, R. Massari | |
| Dynamic time warping-based fuzzy clustering with spatial information |
| Session EC696 | Room: MAL 539 |
| Contributions in applied statistics | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Anne Gegout-Petit | Organizer: CMStatistics |
| E1432: D. Kirchhoff | |
| Kriging with continuous and categorical inputs in R | |
| E1440: N. Koyuncu | |
| Estimation of proportion in stratified median ranked set sampling | |
| E1668: V. Ficcadenti, R. Cerqueti | |
| Complexity of United State of America presidential speeches | |
| E1732: I. Al-Hasani | |
| Estimating the effectiveness of a digital commerce advertising campaigns using a Geo-experiment | |
| E1846: A. Buteikis, R. Leipus | |
| Application of copula-based BINAR models in loan modelling |
| Session EC704 | Room: MAL 540 |
| Contributions to biostatistics | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Joyce Niland | Organizer: CMStatistics |
| E1627: S. Sugasawa, H. Noma | |
| Mining personalized treatment effects by gradient boosting tree | |
| E1416: S. Tajima | |
| Dimensionality and topology of brain-wide attractor dynamics | |
| E1637: S. Ferrari, G. Fumes, J.E. Corrente | |
| Box-Cox t random intercept model for estimating usual nutrient intake distributions | |
| E1730: A.P. Rocha, M. Pereira | |
| Change-points in heart rate variability: application in critical care patients | |
| E1293: O. Karadag, S. Aktas | |
| The intra and interclass correlation coefficients for measuring the familial relatedness in genetic studies |
| Session EC701 | Room: MAL 541 |
| Contributions to survival analysis and reliability | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Takeshi Emura | Organizer: CMStatistics |
| E0464: A. Beretta, C. Heuchenne | |
| Variable selection in proportional hazards cure model with time-varying covariates, application to US bank failures | |
| E1642: T. Kayal, Y.M. Tripathi | |
| Estimation and prediction for a distribution with bathtub shape under progressive first failure censoring | |
| E1641: T. Sen, Y. Mani Tripathi, R. Bhattacharya | |
| Bayesian optimum warranty length under Type-II unified hybrid censoring scheme | |
| E1786: S.H. Chiou | |
| A general class of semiparametric accelerated rate models for recurrent event processes under informative censoring | |
| E1628: M. Gong | |
| A stochastic EM algorithm for maintenance modeling with random improvement factors |
| Session EG052 | Room: MAL B30 |
| Contributions in regularization | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Ana Maria Bianco | Organizer: CMStatistics |
| E1765: M. Bernardi, M. Costola | |
| Bayesian non-negative constrained regularised regresssion | |
| E1646: J.C. Laria de la Cruz, R. Lillo, M.C. Aguilera-Morillo | |
| An iterative sparse-group lasso | |
| E1725: N. Brunel, Q. Clairon | |
| Optimal control and additive perturbations help in estimating ill-posed and uncertain dynamical systems | |
| E1701: B. Sprung, T. Hohage | |
| Convergence rates for stochastic inverse problems using variational methods | |
| E1498: K. Sugiura, T. Nakatsuma, A. Shimura | |
| On regularized regression of categorical responses on categorical predictors |
| Session EG024 | Room: G21A |
| Contributions to statistical modelling I | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Melanie Birke | Organizer: CMStatistics |
| E1723: M. Birke, S. Van Bellegem, I. Van Keilegom | |
| Semi-parametric estimation in a single index model with endogenous variables | |
| E0569: I. Fabris-Rotelli, A. Stein | |
| A point process model for pulses of the DPT from an image | |
| E1337: A. Almohaimeed, J. Einbeck | |
| Box-Cox transformation for regression models with random effects | |
| E1558: K. Lee | |
| Modeling the ARMA random effects covariance matrix in logistic random effects models | |
| E1733: H. Maruri, M. Vazquez | |
| Smoothing the logistic model |
| Session EG018 | Room: MAL 151 |
| Contributions in nonparametric methods | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Mayer Alvo | Organizer: CMStatistics |
| E1589: S. Bonnini | |
| Combined permutation tests for linear regression models | |
| E1745: T. Ohnishi, T. Mizuno, T. Watanabe | |
| Use of the two-dimensional Kolmogorov-Smirnov test to measure spatial concentration in geospatial data | |
| E1494: Y. Sun, C.-C. Yeh, A. Cutler | |
| Tree-based regression for interval-valued data | |
| E0400: I. El Hattab | |
| New nonparametric estimation of entropy and applications | |
| E1605: T. Hyndman, P. Taylor, A. Delaigle | |
| How many point masses do we need for non-parametric deconvolution and maximum likelihood mixture densities? |
| Session EG654 | Room: CLO 204 |
| Contributions in incomplete data | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Clemence Leyrat | Organizer: CMStatistics |
| E1601: M. Bee, G. Espa, D. Giuliani, M.M. Dickson, E. Taufer, F. Santi | |
| An EM-type algorithm for maximum likelihood estimation of spatial models with positional errors | |
| E1624: E. Godolphin, P. Godolphin | |
| Robust assessment of cross-over designs against missing values | |
| E1759: E. Mendes, G. Azevedo | |
| Distance estimation for mixed continuous and categorical data with missing values | |
| E0916: D.K. To | |
| ROC surface analysis in presence of verification bias | |
| E0498: M.R. Yucel, T. Akkaya-Hocagil | |
| Computationally efficient sequential regression imputation for multilevel datasets |
| Session EG249 | Room: MAL 402 |
| Contributions in statistical methods for economics and finance | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Jonas Andersson | Organizer: CMStatistics |
| E1741: J. Andersson | |
| Correlations between irregularly spaced time series | |
| E1645: H. Tsukahara | |
| Backtesting in finance and prequential analysis | |
| E1267: A. Tetereva, F. Audrino | |
| Sentiment spillover effects for US and European companies | |
| E1686: J. Riccioni, R. Cerqueti | |
| Regular paths in financial markets: investigating the Benford's Law | |
| E1390: S. Ranjbar, E. Ronchetti | |
| Bias calibration for robust estimation of inequality indices in small areas |
| Session EG030 | Room: MAL 415 |
| Contributions in high dimensional statistics | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Cristian Gatu | Organizer: CMStatistics |
| E1411: T. Honda, C.-K. Ing, W.-Y. Wu | |
| Adaptively weighted group Lasso for semiparametric quantile regression models | |
| E1658: N. Tavernier, G. Dhaene | |
| Simple non-linear shrinkage estimators for large-dimensional covariance matrices | |
| E1612: V. Avagyan, S. Vansteelandt | |
| Honest data-adaptive inference for the average treatment effect using penalised bias-reduced double-robust estimation | |
| E1694: J. Bodelet, D. La Vecchia | |
| Robust sieve M-estimation with an application to dimension reduction | |
| E1834: J. Huh, S. Lee | |
| Sequential change-point detection in panel data models |
| Parallel session F: CFE2017 | Saturday 16.12.2017 | 16:45 - 18:50 |
| Session CI288 | Room: Beveridge Hall |
| Non-linear and non-stationary models | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Bent Nielsen | Organizer: Bent Nielsen |
| C0167: Q. Wang | |
| Functional-coefficient cointegrating regression with endogeneity | |
| C0168: J. Gonzalo | |
| Threshold stochastic unit root models | |
| C0169: I. Kasparis, J. Duffy | |
| Regressions with fractional d=0.5 and weakly nonstationary processes | |
| C0430: V. Berenguer Rico, Y. Guo, B. Nielsen | |
| Testing for autocorrelation in non-linear and non-stationary regressions |
| Session CO500 | Room: Bloomsbury |
| Business cycles and macroeconomic imbalances | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Lola Gadea | Organizer: Lola Gadea |
| C0507: E. Bandres, A. Gomez-Loscos, L. Gadea | |
| Regional business cycles in Europe: Dating and clustering | |
| C0540: C. Tamarit, L. Gadea, M. Camarero, A. Gomez-Loscos | |
| External imbalances and recoveries | |
| C0756: A. Gomez-Loscos, M. Camacho, L. Gadea | |
| Finite Markov mixture modeling to cluster turning points | |
| C0664: A. Fuertes | |
| Exchange rate regime and external adjustment: An empirical investigation for the U.S. | |
| C0835: I. Sanz, L. Gadea | |
| Growth and business cycle in Argentina: A long-run approach |
| Session CO244 | Room: Chancellor's Hall |
| Testing and forecasting financial time series | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Jeroen Rombouts | Organizer: Lars Stentoft, Jeroen Rombouts |
| C1154: F. Calonaci, G. Kapetanios, R. Baillie | |
| Loosening the chains on multi factor asset pricing models: Letting time varying betas speak | |
| C1211: T. Cenesizoglu | |
| Limit order book liquidity and moments of the return distribution | |
| C1140: J. Rombouts, F. Violante, L. Stentoft | |
| Individual stock variance premia properties | |
| C1213: L. Stentoft, J. Rombouts, F. Violante | |
| Pricing individual stock options using both stock and market index information | |
| C1332: M. Fernandes, W. Distaso, V. Corradi | |
| Testing for jump spillovers without testing for jumps |
| Session CO522 | Room: G11 |
| Commodity markets: Pricing and trading | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Ana-Maria Fuertes | Organizer: Ana-Maria Fuertes |
| C0518: W. Tang, A.-M. Fuertes, Z. Liu | |
| On risk-neutral skewness and commodity pricing | |
| C1320: A.-M. Fuertes, A. Fernandez-Perez, J. Miffre | |
| Harvesting commodity styles: An integrated framework | |
| C1445: A. Vivian, J. Ma, M. Wohar | |
| On what drives commodity returns: Market, sector or idiosyncratic factors | |
| C1424: I. Moutzouris, N. Nomikos | |
| The formation of FFA rates in dry bulk shipping: Spot rates, risk premia, and heterogeneous expectations | |
| C1683: A. Pantelous, I. Psaradellis, J. Laws, G. Sermpinis | |
| Pairs trading, technical analysis and data snooping: Mean reversion vs momentum |
| Session CO073 | Room: Jessel |
| Regime change modeling II: Macro and policy | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Willi Semmler | Organizer: Willi Semmler |
| C1648: W. Semmler, T. Faulwasser, M. Gross | |
| Credit cycles and inflation targeting in a regime switching model | |
| C1726: I. Tahri, H.-H. Kotz, W. Semmler | |
| Financial fragmentation and the monetary transmission mechanism in the Euro area: A smooth transition VAR approach | |
| C1655: M. Bruns, M. Piffer | |
| Sign restrictions in smooth transition VAR models | |
| C1752: M. Gallegati, M. Fratianni, F. Giri | |
| Money and price developments in a historical timescale perspective: Implications for monetary analysis | |
| C1751: J. Schnurbus, H. Haupt, W. Semmler | |
| Convergence clubs in the European Union |
| Session CO158 | Room: Montague |
| Modeling and forecasting in financial econometrics | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Helena Veiga | Organizer: Helena Veiga |
| C0882: C. Amado | |
| On testing financial contagion and modelling time-varying volatility interactions | |
| C0889: J. Hambuckers | |
| On conditional dynamic skewness and directional forecast of currency exchange rates | |
| C1011: A. Virbickaite, H. Lopes | |
| Dynamic mixed frequency pooled copula | |
| C1822: R. Hizmeri, M. Izzeldin, R. Hizmeri, A. Murphy, M. Tsionas | |
| Volatility forecasting gains from jumps: On the effect of the nature of the jumps | |
| C1009: H. Veiga, I. Casas, X. Mao | |
| Variance risk premium: Implications for financial and economic predictability |
| Session CO190 | Room: Senate |
| Robustness, contagion, dependence, extremes and heavy tails | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Rustam Ibragimov | Organizer: Rustam Ibragimov |
| C1119: R. Ibragimov | |
| Robustness, market (non-)efficiency, volatility slustering, stock return predictability and beyond | |
| C0527: A. Skrobotov, R. Ibragimov | |
| New robust inference for predictive regressions | |
| C1054: A. Ankudinov, O. Lebedev | |
| The determinants of heavy-tailedness of stock returns in the Russian market | |
| C0656: O. Lebedev, A. Ankudinov | |
| Extreme returns in the Russian stock market: Unexpected tails in risk measures | |
| C0960: A. Prokhorov, I. Medovikov | |
| A new measure of vector dependence, with applications to financial risk and contagion |
| Session CO738 | Room: Woburn |
| Risks and fintech | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Dominique Guegan | Organizer: Dominique Guegan |
| C0771: J. Chevallier, B. Zhu, S. Ma, Y.M. Wei | |
| Forecasting inflection points: Hybrid methods with machine learning algorithms | |
| C1252: D. Guegan | |
| Bitcoins and challenges for financial regulation | |
| C1185: K. Li, D. Guegan, B. Hassani | |
| Impact of multimodality of distributions on VaR and ES calculations | |
| C1539: B. Hassani, D. Guegan | |
| Regulatory learning: How to supervise machine learning models with an application to credit scoring | |
| C1713: S. Blemus | |
| Blockchain towards legal recognition in the major economic countries |
| Session CO104 | Room: SH349 |
| Volatility models and their applications | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Yasuhiro Omori | Organizer: Yasuhiro Omori |
| C0811: N. Awaya, Y. Omori | |
| Particle rolling MCMC with forward and backward block sampling: Conditional sequential Monte Carlo update approach | |
| C0854: T. Nakatsuma, M. Nakakita | |
| Bayesian analysis of intraday stochastic volatility models with leverage and skew heavy-tailed error | |
| C0991: T. Watanabe, M. Ubukata, Y. Ueno | |
| Predictability of excess bond premium and variance risk premium for business cycles and recession risk | |
| C0962: Y. Yamauchi, Y. Omori | |
| Factor multivariate realized stochastic volatility model | |
| C1762: M. Takahashi, Y. Omori, T. Watanabe | |
| Realized stochastic volatility with skew-t error |
| Session CC707 | Room: G5 |
| Contributions in time series analysis | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Richard Luger | Organizer: CFE |
| C1478: E. Whitehouse | |
| Explosive asset price bubble detection with unknown bubble length and initial condition | |
| C1640: B. Russ, T. Aziz | |
| The impact of moving holidays on official statistics time series | |
| C1585: J. Nyholm | |
| Maximum likelihood estimation for noninvertible ARMA processes with stable distribution innovation process | |
| C1451: J. de Vicente Maldonado, E. Ruiz | |
| Resampling uncertainty of principal components factors | |
| C1792: J. Davies | |
| An evaluation of automatic outlier detection methods |
| Session CG074 | Room: Court |
| Contributions in spatial econometrics | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Arnab Bhattacharjee | Organizer: CFE |
| E1617: A. Carvalho | |
| Spatial dependence and unobserved heterogeneity in stochastic frontier models: A Bayesian approach | |
| C1714: C. Jiang, D. La Vecchia, E. Ronchetti, O. Scaillet | |
| Saddlepoint techniques for spatial panel data models | |
| C0245: Y. Perevyshin | |
| Determinants of price differences in Russian regions | |
| C0646: X. Ren, Z. Lu | |
| Semiparametric spatio-temporal energy data analysis | |
| C1661: T. Sato, Y. Matsuda | |
| Spatio-tempral autoregressive conditional heteroskedasticity model |
| Session CG004 | Room: G3 |
| Contributions in credit and systemic risk | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Genevieve Gauthier | Organizer: CFE |
| C1350: P. Chodnicka - Jaworska | |
| Nonlinear decomposition banks credit ratings | |
| C0775: A.-M. Dumitru, T. Holden | |
| Market credit risk in Europe | |
| C1523: M.R. Nieto Delfin | |
| Credit risk model applied to the agricultural sector | |
| C1691: J.-A. Jimenez-Martin, M. Caporin, L. Garcia-Jorcano | |
| Forecasting systemic risk | |
| C1592: A. Petreski, A. Stephan, U. Osterlund | |
| The impact of mandatory amortization of mortgage loans on the housing market |
| Session CG159 | Room: G4 |
| Contributions in return predictability | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Cees Diks | Organizer: CFE |
| C1584: J. Becker, C. Leschinski | |
| Directional predictability of daily stock returns | |
| C1700: H. Li, C. Diks, V. Panchenko | |
| Predicting intraday returns based on overnight returns for the US stock market | |
| C1638: K. Jorgensen | |
| How learning from macroeconomic experiences shapes the term structure of interest rates | |
| C1630: L. Kraicova, J. Barunik | |
| Common cycles in volatility and cross section of stock returns | |
| C0289: A. Shamsi Zamenjani | |
| On the usefulness of financial variables to predict the conditional distribution of the market portfolio |
| Session CG076 | Room: Gordon |
| Contributions in vector autoregression | Saturday 16.12.2017 16:45 - 18:50 |
| Chair: Ralf Brueggemann | Organizer: CFE |
| C1538: H. Reuvers | |
| Residual bootstrap for VAR models estimated by least absolute deviations | |
| C1761: K. Trinh, R. Strachan | |
| Reduced rank regression in a large VAR model | |
| C1431: R. Brueggemann, C. Kascha | |
| Directed graphs and variable selection in large vector autoregressive models | |
| C1634: S. Ankargren, Y. Yang, M. Unosson | |
| A mixed-frequency Bayesian vector autoregression with a steady-state prior |
| Parallel session G: CMStatistics2017 | Sunday 17.12.2017 | 08:40 - 10:20 |
| Session EI011 | Room: Beveridge Hall |
| Time series and spatial data: Scalability and applications | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Michele Guindani | Organizer: Michele Guindani |
| E0161: S. Banerjee | |
| High-dimensional Bayesian geostatistics on modest computing environments | |
| E0163: J. Morris, L. Zhang, H. Yang, W. Lee, H. Zhu, V. Baladandayuthapani | |
| Bayesian regression models for big spatially or longitudinally correlated functional data | |
| E0162: J. Guinness, M. Katzfuss | |
| A general framework for Vecchia approximations of Gaussian processes |
| Session EO443 | Room: CLO B01 |
| Bayesian model selection of graphical models | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Francesco Stingo | Organizer: Francesco Stingo |
| E0410: R. Mohammadi, H. Massam | |
| Bayesian structure learning in high-dimensional graphical models with application to brain connectivity | |
| E1250: M.J. Ha, F. Stingo, V. Baladandayuthapani | |
| Bayesian multi-layered Gaussian graphical models | |
| E0979: S. Liverani, J. Smith | |
| Bayesian selection of graphical regulatory models | |
| E1800: F. Stingo, V. Baladandayuthapani | |
| Bayesian graphical regression |
| Session EO350 | Room: MAL B18 |
| Causal inference in theory and practice I | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Joris Mooij | Organizer: Marloes Maathuis |
| E0846: M. Eigenmann, M. Maathuis, P. Nandy | |
| Structure learning of linear Gaussian structural equation models with weak edges | |
| E1187: T. Claassen | |
| Multi-source causal discovery from real-world experiments with extended JCI | |
| E1305: B. Frot, P. Nandy, M. Maathuis | |
| Learning directed acyclic graphs with hidden variables via latent Gaussian graphical model selection | |
| E1309: I. Shpitser, T. Richardson, R. Evans, J. Robins | |
| Nested Markov models |
| Session EO587 | Room: MAL B20 |
| Statistical methods for multiple risks | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Holger Rootzen | Organizer: Holger Rootzen |
| E0769: Y. He, Y. He, L. Peng, Y. Hou, J. Sheng | |
| Statistical inference for a relative risk measure | |
| E0696: A. Janssen | |
| Regularly varying time series and max-stable processes | |
| E0760: S. Padoan, E. Hashorva, S. Rizzelli | |
| On the random number of multivariate risks | |
| E1349: F. Lindskog | |
| The value of a liability cash flow in discrete time subject to capital requirements |
| Session EO619 | Room: MAL B30 |
| Advances in statistical methods in survival analysis and missing data | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Sebastien Haneuse | Organizer: Lihong Qi |
| E0790: Y. Shen | |
| Regression analyses of survival data subject to biased sampling | |
| E1168: L. Tian | |
| Exact inference on the restricted mean survival time | |
| E1339: C. Hu, J. Taylor, C.-H. Hsu | |
| Survival analysis with presence of informative censoring via nonparametric multiple imputation | |
| E1307: Y. Li | |
| Inference for high-dimensional models |
| Session EO138 | Room: MAL B33 |
| Recent advances in FDA, high dimensional and spatial statistics | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Graciela Boente | Organizer: Graciela Boente |
| E0314: J. Raymaekers, P. Rousseeuw, M. Hubert | |
| A measure of directional outlyingness with applications to image data and video | |
| E0829: S. Van Aelst, Y. Wang | |
| Screening for ultrahigh-dimensional regression with cellwise outliers | |
| E0763: A.M. Bianco, G. Boente, G. Chebi | |
| Penalized M-estimators in logistic regression | |
| E0698: P. Llop, L. Forzani, M.A. Gieco, A.F. Yao | |
| Prediction based on multivariate spatial data: A sufficient dimension reduction approach |
| Session EO178 | Room: MAL B34 |
| Advances in functional and high-dimensional data analysis | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Jeng-Min Chiou | Organizer: Jeng-Min Chiou |
| E0575: H.-G. Mueller | |
| Dynamic modeling of conditional quantile trajectories, with application to longitudinal snippets | |
| E0194: X. Qiao, S. Guo | |
| A functional dependence measure for large curve time series with an application to autoregressions | |
| E0431: K. Chen | |
| Weak separability and L-separability for multi-way functional data | |
| E1169: J. Park, J. Ahn, Y. Jeon | |
| Linear classification for functional data with direct estimation |
| Session EO605 | Room: Bloomsbury |
| Recent development in genetic epidemiology | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Malka Gorfine | Organizer: Malka Gorfine |
| Session EO043 | Room: Chancellor's Hall |
| Theoretical foundations of big data | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Will Wei Sun | Organizer: Guang Cheng |
| E0557: B. Nadler | |
| Unsupervised ensemble learning | |
| E0583: P. Song, L. Luo | |
| Renewable maximum likelihood estimation in generalized linear models for streaming data | |
| E0787: Q. Zhou, B. Aragam, A. Amini, J. Gu | |
| Learning large-scale Bayesian networks | |
| E1831: A. Shojaie, A. Safikhani | |
| Consistent change-point detection and parameter estimation in high-dimensional piecewise-stationary VAR models |
| Session EO132 | Room: Court |
| Dependence models and copulas for climate and environment | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Fabrizio Durante | Organizer: Wolfgang Trutschnig, Fabrizio Durante |
| E0178: R. Huser, J. Wadsworth | |
| Modeling spatial processes with unknown extremal dependence class | |
| E0273: M. Coblenz, O. Grothe, R. Dyckerhoff | |
| Nonparametric estimation of multivariate quantiles in small sample sizes | |
| E0258: F. Pellerey, L. Raffaele, L. Bruno, L. Preziosi | |
| An application of copulae in the analysis of sand transport phenomena | |
| E0980: E. Perrone, L. Solus, C. Uhler | |
| Discrete copulas for weather forecasting: Theoretical and practical aspects |
| Session EO332 | Room: G11 |
| Advanced computational methods for statistical modeling | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Tsung-I Lin | Organizer: Tsung-I Lin |
| E0184: L. Matos, T.-I. Lin, M. Castro, V.H. Lachos Davila | |
| Heavy-tailed longitudinal regression models for censored data: A likelihood based perspective | |
| E0550: C.E. Galarza Morales, V.H. Lachos Davila, T.-I. Lin, W.-L. Wang | |
| On moments of truncated multivariate Student-t distribution: A recurrence approach | |
| E0804: M. Castro, F. Schumacher, V.H. Lachos Davila, G. Ferreira | |
| Censored time series analysis for responses on the unit interval: An application to acid rain modeling | |
| E0780: C.-J. Lin | |
| A pattern-clustering method for longitudinal data on heroin users receiving methadone |
| Session EO591 | Room: G3 |
| Computational statistics in distribution theory | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Filipe Marques | Organizer: Andriette Bekker, Filipe Marques |
| E0278: F. Marques, C. Coelho | |
| The simultaneous test of equality and circularity of several covariance matrices | |
| E0449: A. Bekker, B. Rowland, J. Ferreira, M. Arashi | |
| A more general framework for the skew normal distributions | |
| E1304: J. Allison, M. Huskova, S. Meintanis | |
| Testing the adequacy of semiparametric transformation models | |
| E0852: T. Loots, A. Bekker, F. Marques | |
| Development and computational implementation of approximations for the product of independent random variables |
| Session EO520 | Room: G4 |
| Recent advances in research synthesis methods | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Yinghui Wei | Organizer: Yong Chen |
| E1827: C. Schmid | |
| Hierarchical models for combining N-of-1 trials | |
| E1828: O. Efthimiou, D. Mavridis, A. Nikolakopoulou, G. Rucker, S. Trelle, M. Egger, G. Salanti | |
| A model for meta-analysis of correlated binary outcomes: The case of split-body interventions | |
| E1833: I. Marshall, B. Wallace | |
| Towards automated biomedical evidence synthesis: RobitReviewer | |
| E1824: Y. Chen | |
| Multivariate network meta-analysis made simple |
| Session EO662 | Room: G5 |
| Epigenetic Data | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Qi Zhang | Organizer: Qi Zhang |
| E1028: V. Baladandayuthapani, J. Morris, F. Stingo, K.-A. Do | |
| Integrative Bayesian models for precision oncology | |
| E0193: C. Wiuf | |
| Statistical inference on epi-allelic patterns and profiling of DNA methylation from WGBS data | |
| E1058: Q. Zhang | |
| Nonparametric empirical Bayes mixture models in Hi-C peak calling and Allelic Imbalance detection from ChIP-seq | |
| E1535: Y. Zheng, F. Ay, S. Keles | |
| Statistical methods for profiling 3-dimensional chromatin interactions from repetitive regions of genomes |
| Session EO715 | Room: Gordon |
| Bioinformatics pipelines: From data collection to statistical analysis | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Ekaterina Smirnova | Organizer: Ekaterina Smirnova |
| E0538: A. Alekseyenko | |
| Sample size guided strategies for analysis of human microbiome data | |
| E0644: E. Smirnova, L. Hoyles, J. Abbott, E. Holmes, J. Nicholson, M.-E. Dumas, S. Butcher | |
| ScAMP: Scalable automated metagenomics pipeline | |
| E1214: E. Jackson | |
| Assessing the ability of two recent algorithms to infer structure in longitudinal vaginal microbiome data | |
| E0806: J. Chen | |
| A robust and powerful statistical framework for differential abundance analysis of microbiome data |
| Session EO342 | Room: CLO 101 |
| Regularization-/hyper-/smoothing-parameters selection methods | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Sylvain Sardy | Organizer: Sylvain Sardy |
| E0217: S. Arlot, A. Celisse, M. Lerasle | |
| Cross-validation for estimator selection | |
| E1541: P. Descloux, S. Sardy | |
| Lasso-zero: Model selection by thresholding the $\ell_1$-minimal solution | |
| E1608: Y. El Bachir, A. Davison | |
| Fast automatic smoothing in multiple generalized additive models | |
| E1702: A. Saumard, F. Navarro | |
| Model selection as a multiple hypothesis testing procedure: Improving Akaike's information criterion |
| Session EO402 | Room: CLO 102 |
| Semiparametric transformation models in health and social sciences | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Jan De Neve | Organizer: Jan De Neve |
| E0415: F. Eriksson, T. Scheike, L. Jianing, Z. Mei-Jie | |
| The proportional odds cumulative incidence model for competing risks | |
| E0338: O. Thas, J. De Neve, S. Vansteelandt, K. Vermeulen, G. Amorim, J. Meys | |
| Probabilistic index models for flexible and efficient rank based inference | |
| E0674: S. Sokullu | |
| Semiparametric analysis of two-sided markets | |
| E0334: J. De Neve | |
| Semiparametric regression models for indirectly observed outcomes |
| Session EO184 | Room: Jessel |
| Model assessment | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Maria Dolores Jimenez-Gamero | Organizer: Maria Dolores Jimenez-Gamero |
| E0274: D. Bagkavos, P. Patil | |
| Mean integrated squared error comparison between kernel and maximum likelihood density estimates of normal mixtures | |
| E0832: V. Alba-Fernandez, M.D. Jimenez-Gamero | |
| Penalized minimum phi-divergence estimators in multinomial models | |
| E0817: M.D. Jimenez-Gamero, S. Meintanis, S. Lee | |
| Goodness-of-tit tests for GARCH models |
| Session EO212 | Room: Montague |
| Statistical boosting | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Andreas Mayr | Organizer: Andreas Mayr |
| E1008: T. Hepp, J. Thomas, A. Mayr, B. Bischl | |
| Tuning model-based gradient boosting algorithms with focus on variable selection | |
| E0513: D. Ruegamer, S. Greven | |
| Selective inference for L2-boosting | |
| E0599: T. Adam, A. Mayr, T. Kneib | |
| Statistical boosting in Markov-switching generalized additive models for location, scale and shape | |
| E0601: J.W. Messner, A. Zeileis | |
| Regularized censored regression with conditional heteroskedasticity |
| E1391: V. Todorov, M. Gallo, M.A. Di Palma | |
| Visual tools for 3-way analysis in R | |
| E1734: F. Dotto, A. Farcomeni | |
| A robust clustering procedure with unknown number of clusters | |
| E1355: E. Cabana, H. Laniado Rodas, R. Lillo | |
| Outlier detection in multivariate data with robust Mahalanobis distance based on shrinkage estimators | |
| E1839: M. Riani, A. Atkinson, A. Cerioli, A. Corbellini | |
| The power of monitoring: How to make the most of a contaminated multivariate sample |
| Session EO396 | Room: Woburn |
| Statistical inference in networks | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Tengyao Wang | Organizer: Tengyao Wang |
| E0782: D. Choi | |
| A semidefinite program for structured blockmodels | |
| E0810: F. Gao | |
| Maximum likelihood estimation of preferential attachment network models | |
| E1269: S. Lunagomez, E. Airoldi | |
| Sampling on social networks from a decision theoretic perspective | |
| E1240: M. Xu, P.-L. Loh, V. Jog | |
| Optimal rates for community estimation in the weighted stochastic block model |
| Session EO549 | Room: CLO 203 |
| Statistics for data with geometric structure | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Stephan Huckemann | Organizer: Stephan Huckemann |
| E0484: J. Schulz, B. Kim, S. Huckemann, S. Jung | |
| Small-sphere distributions for directional data with application to rotationally deformed objects | |
| E1262: A. Kume, I. Dryden, P. Paine, A. Wood | |
| Maximum likelihood estimation for general models in size and shape space | |
| E1265: N. Miolane | |
| Geometric statistics for template shape estimation in computational anatomy | |
| E0970: B. Eltzner, S. Huckemann | |
| Inferential PCA and RNA structure analysis |
| Session EO318 | Room: CLO 204 |
| Optimal and efficient designs | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Chang-Yun Lin | Organizer: Po Yang, Chang-Yun Lin |
| Session EO623 | Room: SH349 |
| Recent developments in mixture models | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Salvatore Ingrassia | Organizer: Paul McNicholas, Salvatore Ingrassia |
| E1110: V.H. Lachos Davila | |
| Finite mixture modeling of censored data using the multivariate Student-t distribution | |
| E1027: M. Nai Ruscone | |
| Model based clustering via pair copula and applications | |
| E1076: V. Vandewalle, T. Mottet | |
| Model-based clustering of variables | |
| E0578: Y. Tang, P. McNicholas | |
| Clustering airbnb reviews |
| Parallel session G: CFE2017 | Sunday 17.12.2017 | 08:40 - 10:20 |
| Session CO459 | Room: MAL B35 |
| Topics in macroeconometrics | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Alessia Paccagnini | Organizer: Alessia Paccagnini |
| C1025: D. Cascaldi-Garcia, A. Galvao | |
| News and uncertainty shocks | |
| C0776: V. Colombo | |
| Uncertainty shocks and monetary policies | |
| C0570: H. Mumtaz, K. Theodoridis | |
| The federal reserve's implicit inflation target and macroeconomic dynamics: A SVAR analysis | |
| C1095: A. Paccagnini | |
| Forecasting with FAVAR: Macroeconomic versus financial factors |
| Session CO742 | Room: MAL 402 |
| Central bank forecasting II | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Knut Are Aastveit | Organizer: Knut Are Aastveit |
| C0774: C. Foroni, M. Marcellino, D. Stevanovic | |
| Mixed frequency models with MA components | |
| C1183: M. Modugno | |
| Nowcasting earnings | |
| C1206: E. Tallman, S. Zaman, E. Tallman | |
| Combining long-run survey forecasts and nowcasts with VAR forecasts using relative entropy | |
| C0948: K.A. Aastveit, K. McAlinn, J. Nakajima, M. West | |
| Multivariate Bayesian predictive synthesis in macroeconomic forecasting |
| Session CO506 | Room: MAL 414 |
| Advances in dynamic macroeconomic modeling | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Matteo Fragetta | Organizer: Marco Maria Sorge |
| C1270: M. Fragetta, E. Gasteiger, M. Di Serio | |
| The government spending multiplier at the zero lower bound: Evidence from the United States | |
| C0772: T. Holden | |
| Tractable estimation and smoothing of highly non-linear dynamic state-space models | |
| C0672: V. Ajevskis | |
| Nonlocal solutions to dynamic equilibrium models: The approximate stable manifolds approach | |
| C0311: F. Langot, F. Karame, S. Adjemian, F. Karame | |
| On nonlinearities in unemployment |
| Session CO124 | Room: MAL 415 |
| Advances in volatility modelling | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Genaro Sucarrat | Organizer: Genaro Sucarrat |
| C0291: D. Kyriakopoulou, C. Hafner | |
| Exponential-type GARCH models with linear-in-variance risk premium | |
| C0647: A. Dufays, M. Augustyniak, L. Bauwens | |
| A new approach to volatility modeling: The factorial hidden Markov volatility model | |
| C0408: H. Raissi | |
| Testing normality for unconditionally heteroscedastic macroeconomic variables | |
| C0403: G. Sucarrat | |
| Equation-by-equation estimation of multivariate periodic electricity price volatility |
| Session CO075 | Room: MAL 416 |
| Volatility modeling and derivatives pricing | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Juan-Pablo Ortega | Organizer: Juan-Pablo Ortega |
| C1395: J.-P. Ortega, A. Badescu, L. Grigoryeva | |
| Option pricing and hedging with one-step Kalman filtered factors in non-affine stochastic volatility models | |
| C1362: F.Z. R Hasinavonizaka, C. Chorro | |
| Two step modified-QML estimation for NIG-GARCH Processes | |
| C1801: G. Bormetti, G. Livieri, F. Corsi | |
| GAMM style volatility modeling | |
| C0697: M.M. Vich Llompart, A. Vaello Sebastia | |
| On the forecasting ability of option implied risk-neutral distributions |
| Session CO089 | Room: MAL 421 |
| Advances in time series modelling, forecasting, and forecast evaluation | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Richard Luger | Organizer: Richard Luger |
| C1096: C. Saunders | |
| Forecast evaluation and dynamic panels | |
| C0695: S. Gungor, R. Luger | |
| Comparing out-of-sample forecasts against a random walk: Exact tests with application to exchange rates | |
| C0657: X. Liu, R. Luger | |
| Modelling higher moments and density forecasting: A comprehensive look | |
| C1098: R. Luger | |
| Dynamic interaction between sovereign credit rating events and credit default swaps |
| Session CO110 | Room: MAL 532 |
| Topics in financial econometrics | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Joern Sass | Organizer: Joern Sass, Leopold Soegner |
| C0686: L. Vana | |
| Dynamic modeling of measures of credit quality | |
| C0694: L. Veraart, A. Gandy | |
| Adjustable network reconstruction with applications to CDS exposures | |
| C0824: S. Voigt, N. Hautsch | |
| Large scale portfolios under transaction costs and model uncertainty: Mixing of high and low frequency information |
| Session CO502 | Room: MAL 538 |
| Nowcasting methods in macroeconometrics | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Clement Marsilli | Organizer: Clement Marsilli |
| C0458: D. Leiva-Leon | |
| Markov-Switching three-pass regression filter | |
| C1041: D. Bragoli, J. Fosten | |
| Nowcasting Indian GDP | |
| C1181: C. Marsilli, M. Mogliani | |
| Forecasting with Bayesian adaptive penalized mixed-frequency regressions | |
| C1622: A. Kostrov, F. Audrino, J.-P. Ortega | |
| Improving the classification accuracy of the logit model: The case of US bank failures |
| Session CO314 | Room: MAL 539 |
| Energy markets | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Marco Lorusso | Organizer: Francesco Ravazzolo |
| C0683: J. Lips | |
| Leverage and the oil industry: Analysis on the firm and production level | |
| C0907: M. Moro | |
| On energy labels for dwellings and retrofitting: Some evidence from the English energy performance certificate | |
| C0999: B. Xu, J. Byrne, M. Lorusso | |
| Oil prices and informational frictions: The time-varying impact of fundamentals and expectations | |
| C0966: M. Lorusso, F. Ravazzolo, R. Casarin, H. Bjornland | |
| Oil and fiscal policy: Panel regime-switching country analysis |
| Session CO242 | Room: MAL 540 |
| High frequency financial modelling | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Vitali Alexeev | Organizer: Vitali Alexeev |
| C1045: R. Borghi | |
| High-frequency quoting and liquidity commonality | |
| C0357: A. Atak, Y. Sun, Y. Zhang | |
| Quantile regression models with factor-augmented predictors and time-varying factor loadings | |
| C0447: S. Boffelli, G. Urga | |
| Daily vs intraday risk assessment using asynchronous tick-by-tick data | |
| C0327: V. Alexeev, G. Urga | |
| Warping time: Improving efficiency of tick-by-tick data in portfolio optimisation |
| Session CO176 | Room: MAL 541 |
| Funds performance measurement | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Spyros Vrontos | Organizer: Spyros Vrontos |
| C1573: C. Argyropoulos, C. Argyropoulos, E. Panopoulou, S. Vrontos | |
| Unveiling the risk profile of funds of hedge funds | |
| C1667: S. Vrontos | |
| Funds performance evaluation: A review and a comparison | |
| C1483: E. Ipatova, K. Doctor | |
| Examination of hedge fund performance persistence over long-term period using a non-parametric approach |
| Session CG123 | Room: MAL 151 |
| Contributions in GARCH | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Alan Hawkes | Organizer: CFE |
| C0239: A. Hawkes, J. Chen, S. Yang | |
| A GARCH-Hawkes jump model: Self-excitation and calibration | |
| C0386: H.S. Mahamat, R. Mestre, M. Terraza | |
| Simultaneous estimations of the parameters regression with Realized-GARCH errors | |
| C1728: A. Algaba, K. Boudt, S. Vanduffel | |
| Minimum variance hedging when using implied covariances | |
| C1791: A. Masuhr | |
| Volatility transmission in multiply overlapping trading zones |
| Session CG008 | Room: MAL 152 |
| Contributions in nonlinear time series | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Cristina Amado | Organizer: CFE |
| C1513: G. Buccheri, G. Bormetti, F. Corsi, F. Lillo | |
| A score-driven smoother for general state-space models | |
| C1582: S. Groenneberg, B. Holcblat | |
| On partial-sum processes of ARMAX residuals | |
| C1626: N. Kanazawa | |
| Time series analysis using the radial basis functions: Application to the US economy | |
| C0347: I. Perera, M. Silvapulle | |
| New methods for model diagnostics in multiplicative error models |
| Session CG255 | Room: MAL 153 |
| Contributions in quantitative investing | Sunday 17.12.2017 08:40 - 10:20 |
| Chair: Romeo Tedongap | Organizer: CFE |
| C0209: R. Bermejo Climent | |
| Quantitative investing a stock selection system for Europe | |
| C0873: A. Vaello Sebastia, I. Figuerola-Ferretti, P. Serrano, T. Tang | |
| Supercointegrated | |
| C1811: A. Rutkowska, M. Bartkowiak | |
| Linguistic views in portfolio selection: Black-Litterman model extension |
| Parallel session H: CMStatistics2017 | Sunday 17.12.2017 | 10:50 - 12:55 |
| Session EO613 | Room: CLO B01 |
| Scalable Bayesian methods for large data problems | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Mattias Villani | Organizer: Mattias Villani |
| E0931: J. Bierkens | |
| Exact subsampling in MCMC using piecewise deterministic Markov processes | |
| E1123: R. Kohn, M. Quiroz, M. Villani, M.-N. Tran | |
| Exact subsampling MCMC | |
| E1271: M. Pitt | |
| Efficient particle filter methods for diffusions | |
| E0937: P. Siden, M. Villani | |
| Fast and scalable Bayesian spatial 3D priors for brain imaging | |
| E1814: A. Wilson | |
| Bayesian generative adversarial networks |
| Session EO352 | Room: MAL B18 |
| Causal inference in theory and practice II | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Jonas Peters | Organizer: Jonas Peters |
| E0271: R. Silva, M. Kusner, J. Loftus, C. Russell | |
| Counterfactual fairness | |
| E0288: J. Runge | |
| Large-scale causal discovery from nonlinear time series datasets | |
| E0921: N. Pfister, J. Peters, P. Buehlmann | |
| Inference of instantaneous causal relations in multivariate linear time series by stabilizing conditional distributions | |
| E1813: J. Peters, R.D. Shah | |
| Low priced lunch in conditional independence testing | |
| E1704: M. Josefsson, M. Daniels | |
| Binary exposure and longitudinal cognition outcomes in the presence of non-ingorable dropout and death |
| Session EO188 | Room: MAL B20 |
| Extreme value theory and risk modeling | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Ivette Gomes | Organizer: Ivette Gomes |
| E0394: F. Caeiro, L. Henriques-Rodrigues | |
| Reduced bias kernel value-at-risk estimation | |
| E0891: M. Brilhante, I. Gomes, D. Pestana, S. Mendonca | |
| Population dynamics: Risk modeling and extremes in the generalized Verhulst model | |
| E0749: A. Dias, I. Ismail, A. Zhang | |
| Insurance portfolio risk minimization | |
| E0615: S. Girard, A. Daouia, G. Stupfler | |
| Extreme M-quantiles as risk measures | |
| E1279: I. Serra | |
| The effect of global warming in catastrophic risk caracterization |
| Session EO429 | Room: MAL B30 |
| Advances in statistical methods for survival analysis | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Marialuisa Restaino | Organizer: Hongsheng Dai, Marialuisa Restaino |
| E0502: G. Hickey, P. Philipson, A. Jorgensen, R. Kolamunnage-Dona | |
| Dynamic survival prediction for multivariate joint models using the R package joineRML | |
| E0649: F. Ambrogi, T. Scheike | |
| Penalised competing risks regression | |
| E1083: G. Cortese | |
| Restricted residual mean lifetime and competing risks | |
| E0954: J.E. Ruiz-Castro, M. Zenga | |
| General discrete non-homogeneous Markov models with multiple absorbing states: Application to breast cancer | |
| E0590: Y. Wei | |
| Restricted mean survival time in time-to-event analysis: From individual level data to aggregate data |
| Session EO150 | Room: MAL B33 |
| Semi- and non- parametric methods for functional statistics | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Enea Bongiorno | Organizer: Enea Bongiorno |
| E0324: K. Hron, A. Menafoglio, P. Filzmoser | |
| Logratio approach to modeling of densities with application to multivariate functional principal component analysis | |
| E0560: A. Pini, H. Sorensen, A. Tolver, S. Vantini | |
| Local inference for functional-on-scalar mixed models | |
| E1022: A. de Moliner, H. Cardot, C. Goga | |
| Estimation of mean electricity consumption curves for small areas | |
| E1782: B. Bueno-Larraz, J. Berrendero, A. Cuevas | |
| On the functional Mahalanobis distance | |
| E1621: M.-H. Descary, V. Panaretos | |
| Recovering covariance from functional fragments |
| Session EO553 | Room: MAL B34 |
| Recent developments in functional time series analysis | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Siegfried Hoermann | Organizer: Alexander Aue |
| E0214: S. Tavakoli, V. Panaretos | |
| Detecting and localizing differences in functional time series dynamics: A case study in molecular biophysics | |
| E0246: A. Canale, S. Vantini | |
| Constrained functional time series: Applications to the Italian gas market | |
| E0794: D. Kowal, D. Matteson, D. Ruppert | |
| Functional autoregression for sparsely sampled data | |
| E0591: A. van Delft, P. Bagchi, V. Characiejus, H. Dette | |
| A nonparametric test for stationarity in functional time series |
| Session EO449 | Room: MAL B35 |
| Risk quantification and extremes | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Sebastian Engelke | Organizer: Sebastian Engelke |
| E0610: T. Mikosch, J. Heiny | |
| Eigenstructure of sample covariance matrices for high-dimensional heavy-tailed stochastic volatility models | |
| E1223: A. Hitz, S. Engelke, R. Evans | |
| Graphical modelling of extremes | |
| E1208: A. Krajina | |
| A test for Frechet domain of attraction and estimation of the extreme value index | |
| E1236: H. Lam | |
| Robust extreme event analysis | |
| E1850: M. Kratz | |
| A self-calibrating method for heavy-tailed data modeling: Applications in finance and insurance |
| Session EO220 | Room: CLO 101 |
| Advances in Bayesian methodology | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: David van Dyk | Organizer: David van Dyk |
| E0472: D. Rossell, F.J. Rubio | |
| Bayesian variable selection under misspecified errors | |
| E1043: C. Hans | |
| Empirical Bayes model averaging with influential observations | |
| E1085: L. House | |
| Using Bayesian visual analytics to conceptualize uncertainty and explore data | |
| E1111: J. Murray, C. Carvalho | |
| Interpreting complex models: Efficient, valid posterior inference for meaningful quantities | |
| E1172: D. Stenning, D. Bingham, K. Myers, E. Lawrence, J. Coleman, A. Mondal, J.M. Loh, D. Lee, R. Wolpert | |
| Computer model calibration to enable disaggregation of chemical spectra |
| Session EO445 | Room: CLO 203 |
| Characterizations of probability distributions | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Efoevi Angelo Koudou | Organizer: Efoevi Angelo Koudou |
| E0445: J. Wesolowski | |
| Independencies for Kummer and gamma distributons | |
| E0459: B. Kolodziejek | |
| A Matsumoto-Yor characterization for Kummer and Wishart random matrices | |
| E0522: T. Abe, Y. Miyata, T. Shiohama | |
| On transformation of scale distributions on the circle | |
| E0586: R. Simone, C. Ley | |
| Modelling earthquakes: Characterizing inter-arrival times and magnitude | |
| E0928: P. Vallois | |
| A characterization of the Kummer distributions on symmetric matrices |
| Session EO634 | Room: CLO 204 |
| Recent advances in optimal experimental designs | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Alexander Donev | Organizer: Alexander Donev |
| E1399: H. Grossmann | |
| A review of optimal and efficient designs for choice experiments with partial profiles | |
| E0358: Y. Englezou, D. Woods, T. Waite | |
| New methods for approximating the expected utility in Bayesian design for nonlinear models | |
| E0361: T. Waite, D. Woods | |
| Random designs for misspecified regression models | |
| E1175: K. Tvermosegaard, J. Whittaker, D. Woods | |
| Comparison of methods for D-optimal design for nonlinear mixed effects models | |
| E0223: A. Donev | |
| Optimum designs for generalised linear models for bivariate response |
| Session EO649 | Room: MAL 414 |
| Statistical evaluation of medical diagnostic tests | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Maria del Carmen Pardo | Organizer: Maria del Carmen Pardo |
| E0252: M.D.C. Pardo, A. Franco-Pereira, C.T. Nakas | |
| The length of the ROC curve as a summary measure under the binormal model | |
| E0368: L. Bantis, C.T. Nakas, B. Reiser | |
| Parametric and non-parametric confidence intervals for the maximum of the Youden index and its associated threshold | |
| E0632: R. Kolamunnage-Dona | |
| Evaluating efficacy of a longitudinal biomarker for clinical endpoint: A joint modelling approach | |
| E0642: C. Proust-Lima, L. Ferrer | |
| Individual dynamic predictions using landmarking and joint modelling: Validation of estimators and robustness assessment | |
| E1521: A. Alonso Abad, W. Van der Elst, G. Molenberghs | |
| An information-theoretic approach for the evaluation of surrogate endpoints based on causal inference |
| Session EO380 | Room: MAL 415 |
| Recent advances in tree-based methods | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Ruoqing Zhu | Organizer: Ruoqing Zhu |
| E0183: L. Mentch, G. Hooker | |
| Inference and consistent variable selection for random forests and other tree-based ensembles | |
| E0355: R. Genuer, L. Capitaine, R. Thiebaut | |
| Random forests for high dimensional longitudinal data | |
| E0501: A. Linero, Y. Yang | |
| Bayesian tree ensembles that adapt to smoothness and sparsity | |
| E1322: C. Weng, L. Diao | |
| Regression Tree Credibility Model | |
| E1393: R. Friedberg, J. Tibshirani, S. Athey, S. Wager | |
| Locally linear forests |
| Session EO224 | Room: MAL 416 |
| High dimensional data analysis with applications to biomedical studies | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Hongyuan Cao | Organizer: Hongyuan Cao |
| Session EO033 | Room: MAL 421 |
| New advances in statistical depth | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Davy Paindaveine | Organizer: Davy Paindaveine |
| E1148: J. Josse, P. Mozharovskyi, F. Husson | |
| Nonparametric imputation by data depth | |
| E0688: A. Nieto-Reyes, H. Battey | |
| A functional depth example satisfying the axiomatic properties of functional depth | |
| E0179: D. Paindaveine, G. Van Bever | |
| Halfspace depths for scatter, concentration and shape matrices | |
| E1710: J. Chau, R. von Sachs, H. Ombao | |
| Data depth for covariance and spectral density matrices |
| Session EO130 | Room: MAL 532 |
| Dependence models and copulas: Theory and applications | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Fabrizio Durante | Organizer: Wolfgang Trutschnig, Fabrizio Durante |
| E0287: G. Marra, R. Radice | |
| Copula bivariate generalized survival models | |
| E0306: T. Vatter, T. Nagler | |
| Generalized additive models for pair-copula constructions | |
| E1073: S. Fuchs, F.M.L. Di Lascio, F. Durante | |
| Dissimilarity functions for copula-based hierarchical clustering of continuous variables | |
| E1577: P. Jaworski | |
| On Sklar's theorem with multivariate marginals | |
| E0795: H. Sloot | |
| Exogenous shock models: Characterization and hierarchical construction |
| Session EO232 | Room: MAL 538 |
| Clustering/classification and mixtures I | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Geoffrey McLachlan | Organizer: Geoffrey McLachlan |
| E0300: F. Greselin, L.A. Garcia-Escudero, A. Mayo-Iscar, G. McLachlan | |
| Advances in robust estimation of skew normal mixtures | |
| E1126: S. Lee | |
| Flexible mixtures of factor models based on skew component distributions | |
| E0708: L. Anderlucci, A. Montanari, C. Viroli | |
| The importance of being clustered: Uncluttering the trends of statistics from 1970 to 2015 | |
| E1452: H. Nguyen, G. McLachlan, G. McLachlan | |
| Mixtures of locally-mapped support vector machines | |
| E1121: K. Leemaqz | |
| Distributed and private model-based clustering |
| Session EO366 | Room: MAL 539 |
| New advances for complex data | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Eric Laber | Organizer: Eric Laber, Pengsheng Ji |
| E1255: R. Martin | |
| Posterior concentration rates using new empirical priors | |
| E1210: N.N. Narisetty | |
| Scalable computation with skinny Gibbs sampler for high dimensional Bayesian models | |
| E1248: K. Linn, R. Shinohara, S. Vandekar | |
| Inter-modal coupling: A class of measurements for studying local covariance patterns among multiple imaging modalities | |
| E0784: C. Chen, S. Guo, X. Qiao | |
| Functional linear model with dependent regressors in high dimensions | |
| E1468: C. Butucea, N.A. Stepanova | |
| Variable selection in sparse additive models |
| Session EO025 | Room: MAL 540 |
| Spatiotemporal data analysis and its application | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Jian Qing Shi | Organizer: Catherine Chunling Liu |
| E0385: E.J. Zhang, Y. Guan | |
| A new clustered temporal point process model with application to social media user data | |
| E0580: C.T. Ng, W. Lee, Y. Lee | |
| Clustering and pairwise multiple comparison of spatial-temporal data based on L1 penalty | |
| E1703: F.J. Esquivel, J.M. Angulo, F.J. Alonso | |
| Spatio-temporal analysis of seismic data using entropy-based complexity measures in the multifractal domain | |
| E1583: S. Pereira, K. Turkman, L. Correia, H. Rue | |
| Spatio-temporal models for georreferenced unemployment data | |
| E1504: M.K.H. Khan, B.T. Wilson, A. Chakraborty, G. Petris | |
| A Bayesian spatio-temporal model for map reconstruction of remote sensing observations and forest inventory prediction |
| Session EO571 | Room: MAL 541 |
| Recent results in change point analysis of multivariate data | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Zuzana Praskova | Organizer: Zuzana Praskova |
| E0213: M. Wendler | |
| Bootstrap in Hilbert spaces and the detection of changes in distribution | |
| E0285: D. Jaruskova | |
| Properties of change point estimates for short time series with missing data | |
| E0497: Z. Hlavka, M. Huskova, S. Meintanis | |
| Change point detection in VAR models based on characteristic functions | |
| E0226: M. Pesta, B. Pestova | |
| Change point analysis in panel data without boundary issue | |
| E0798: Z. Praskova | |
| Sequential break detection in panel data |
| Session EC695 | Room: MAL 402 |
| Contributions in robust statistics | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Peter Rousseeuw | Organizer: CMStatistics |
| E1709: J. Rendlova, K. Facevicova, K. Hron, P. Filzmoser | |
| Principal component analysis of compositional tables using classical and robust methods | |
| E1707: M. Schindler, J. Picek | |
| L-moments in linear regression model | |
| E1754: N. Stefelova, A. Alfons, J. Palarea-Albaladejo, P. Filzmoser, K. Hron | |
| Robust regression on compositional variables including cell-wise outliers | |
| E1812: R. Da-ano | |
| Robust estimation of multilevel models with sufficient sample sizes | |
| E1632: M. Zhelonkin | |
| Robust estimation of treatment effects in a latent-variable framework |
| Session EP002 | Room: Macmillan Hall and Crush Hall |
| Poster Session | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Marios Fyrillas | Organizer: Cmstatistics Wg |
| Parallel session H: CFE2017 | Sunday 17.12.2017 | 10:50 - 12:55 |
| Session CI003 | Room: Beveridge Hall |
| Simulation-based methods in economics and finance | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: David Frazier | Organizer: Veronika Czellar |
| C0176: D. Frazier, D. Zhu | |
| Derivative-based optimization with a non-smooth simulated criterion | |
| C0175: C. Gourieroux, A. Monfort | |
| Composite indirect inference with application to corporate risks | |
| C0331: G. Martin, D. Frazier, W.O. Maneesoonthorn, B. McCabe | |
| Approximate Bayesian forecasting |
| Session CO114 | Room: Bloomsbury |
| Recent advance in nonparametric and semiparametric econometrics | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Degui Li | Organizer: Degui Li |
| C0412: B. Koo, D. Frazier | |
| Indirect inference for locally stationary models | |
| C0409: L. Wei | |
| Nonparametric homogeneity pursuit in functional-coefficient models | |
| C0624: F. Bravo | |
| Higher order properties of estimators in nonparametric moment conditions models with weakly dependent data | |
| C0833: S. Kanaya, D. Kristensen, Y. Zu | |
| Adaptive inference in continuous-time asset pricing factor models | |
| C0755: Y. Zu, D. Harvey, S. Leybourne | |
| Estimating spot variance in possibly explosive AR(1) model: Application to testing bubble with heteroscedastic data |
| Session CO419 | Room: Chancellor's Hall |
| Inference for high-dimensional econometric time series | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Stephan Smeekes | Organizer: Stephan Smeekes |
| C0489: T. Boot, D. Nibbering | |
| Inference in high-dimensional linear regression models | |
| C0711: M. Avarucci, S. Smeekes | |
| Penalized quasi-maximum likelihood estimation in extended constant conditional correlation GARCH models | |
| C0555: C. Schiavoni, S. Smeekes, J. van den Brakel, F. Palm | |
| Real-time estimation of unemployment with dynamic factor and time-varying state space models | |
| C1052: P. Pedroni, L. Lieb | |
| A nonlinear panel structural VARs approach to state dependent fiscal multipliers | |
| C0465: S. Smeekes, L. Lieb, M. Staudigl | |
| Structured regularization of high-dimensional panel vector autoregressions |
| Session CO077 | Room: Court |
| Central bank forecasting I | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Knut Are Aastveit | Organizer: Knut Are Aastveit |
| C0210: S. Eraslan, K. Hauzenberger | |
| Forecasting industrial production in Germany | |
| C0411: A. van Vlodrop, M. Banbura | |
| Forecasting with VARs with time-variation in the mean | |
| C0611: A. Halka, G. Szafranski | |
| On core inflation indicators: Evidence from the European Union countries | |
| C1116: E. Knotek, S. Zaman | |
| Financial nowcasts and their usefulness in macroeconomic forecasting | |
| C0949: A. Anundsen, K.A. Aastveit | |
| Residential construction activity and recession predictability |
| Session CO524 | Room: G11 |
| Behavioural and emotional finance: Theory and evidence | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Richard Fairchild | Organizer: Richard Fairchild |
| C0240: C. Scarampi, R. Fairchild, A. Palermo, N. Hinvest | |
| Age differences in the effects of metacognition on financial decision-making | |
| C0253: Y. Zeng | |
| A revisit on government ownership: Evidence from China after the secondary privatisation | |
| C1274: M. Alsharman, R. Fairchild, N. Hinvest | |
| Analysing financial herding through network analysis | |
| C0964: R. Fairchild | |
| Information cascades, herding and emotional investors in an IPO: Rational decision-making distorted by phantasy | |
| C0997: W. Abdallah, Y. Zhao | |
| Culture and executive compensation |
| Session CO304 | Room: G4 |
| Uncertainty and central banks | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Svetlana Makarova | Organizer: Wojciech Charemza, Svetlana Makarova |
| C0950: C. Diaz | |
| Measuring the effect of expected inflation uncertainty on the UK economy | |
| C0275: K. Istrefi | |
| On Fed watchers' eyes: Hawks, doves and monetary Policy | |
| C0943: S. Lee | |
| Central bank transparency and inflation uncertainty: Evidence for South Korea | |
| C1061: S. Makarova, W. Charemza, C. Diaz | |
| Quasi ex-ante inflation forecast uncertainty |
| Session CO721 | Room: G5 |
| Advanced topics in macroeconometric modeling | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Florian Huber | Organizer: Florian Huber |
| C0366: P. Piribauer, F. Huber | |
| Common versus country-specific factors in Euro Area output gap estimation | |
| C0840: C. De Luigi, F. Huber | |
| Debt regimes and the effectiveness of monetary policy | |
| C1193: A. Fichet de Clairfontaine, H. Badinger | |
| Dynamics of the trade balance: In search of the J-curve using a structural gravity approach | |
| C0831: T. Krisztin | |
| Estimating global crop price elasticities: A VAR approach | |
| C0640: T. Zoerner | |
| Equilibrium credit growth in the euro area: A non-linear model approach |
| Session CO398 | Room: Gordon |
| Dynamics of risk premia | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Elise Gourier | Organizer: Elise Gourier |
| C0297: H. Langlois | |
| Time-varying risk premia in large international equity markets | |
| C0517: I. Piatti, A. Buraschi, P. Whelan | |
| Expected term structures | |
| C0941: C. Heyerdahl-Larsen, P. Ehling, A. Graniero | |
| Asset prices and portfolio choice with learning from experience | |
| C0752: A. Kontoghiorghes | |
| Pricey puts and return predictability | |
| C0626: R. Tedongap, B. Feunou, R. Lopez Aliouchkin, L. Xu | |
| A cross-sectional analysis of the variance risk premium |
| Session CO376 | Room: CLO 102 |
| Small-sample asymptotics | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Benjamin Holcblat | Organizer: Benjamin Holcblat |
| C0270: E. Ronchetti, D. La Vecchia | |
| Saddlepoint approximations for short and long memory time series: A frequency domain approach | |
| C0407: F. Sowell, B. Holcblat | |
| The empirical saddlepoint estimator | |
| C0402: R. Kan, S. Broda | |
| Higher order saddlepoint approximations | |
| C0432: A. Ullah, T.-H. Lee, H. Wang | |
| The second-order bias and MSE of quantile estimators | |
| C0754: A. Almudevar | |
| Approximation methods for the Rice formula, with applications to small sample asymptotics |
| Session CO494 | Room: Jessel |
| Latest developments in risk modeling and forecasting | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Roxana Halbleib | Organizer: Roxana Halbleib |
| C0190: D. Veredas, Y. Dominicy, M. Heikkila | |
| Flexible multivariate Hill estimators | |
| C0216: T. Fissler, J.F. Ziegel, T. Gneiting | |
| Elicitability: The quest of comparing risk measure estimates in a meaningful way | |
| C0692: T. Dimitriadis, S. Bayer | |
| Regression based expected shortfall backtesting | |
| C0736: I. Nolte, S. Nolte, Y. Li | |
| Intraday variance-covariance matrix estimation: A point process approach | |
| C1818: R. Halbleib, G. Calzolari | |
| Modelling realized covariance matrices by means of factor models |
| Session CO112 | Room: Montague |
| Regime switching, filtering, and portfolio optimization | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Leopold Soegner | Organizer: Joern Sass, Leopold Soegner |
| C0953: C. Erlwein-Sayer, T. Sayer, G. Mitra | |
| Enhancing trading strategies under regime shifts | |
| C0685: K. Poetzelberger | |
| Local alternatives of signal detection tests | |
| C0680: J. Reynolds, L. Soegner, M. Wagner, D. Wied | |
| Analyzing and testing the triangular arbitrage parity | |
| C0967: J. Sass | |
| Model reduction and filtering for portfolio optimization in hidden Markov models | |
| C0758: D. Westphal, J. Sass, R. Wunderlich | |
| Expert opinions and their approximation for multivariate stock returns with Gaussian drift |
| Session CO526 | Room: Senate |
| Co-integration, trend breaks, and mixed frequency data | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Robert Taylor | Organizer: Robert Taylor |
| C1200: P. Boswijk, G. Cavaliere, I. Georgiev, A. Rahbek | |
| Bootstrapping non-stationary stochastic volatility | |
| C1159: M. Chambers | |
| Frequency domain estimation of cointegration vectors with mixed frequency and mixed sample data | |
| C0762: L. De Angelis, R. Taylor, G. Cavaliere, P. Boswijk | |
| Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models | |
| C0836: D. Harris | |
| Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem | |
| C1158: R. Taylor, G. Cavaliere, D. Harris, S. Price | |
| Testing for co-integration rank in VAR models allowing for multiple breaks in trend and variance |
| Session CO565 | Room: Woburn |
| Modeling and estimating business and financial cycles | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Andrea Silvestrini | Organizer: Andrea Silvestrini |
| C1014: A. Silvestrini, G. Bulligan, L. Burlon, D. Delle Monache | |
| Real and financial cycles: Estimates using unobserved component models for the Italian economy | |
| C1472: P. Welz, J.H. Lang | |
| Semi-structural credit gap estimation | |
| E0869: T. Cesaroni, L. Monteforte | |
| Business confidence indicators across (similar) surveys | |
| C1526: M. Scharnagl, M. Mandler | |
| Financial cycles in the euro area: A wavelet analysis | |
| C1473: D. Maia | |
| Financial frictions and business cycles: A wavelet analysis |
| Session CO400 | Room: SH349 |
| Computational econometrics and modelling I | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Gareth Peters | Organizer: Gareth Peters |
| C1487: M. Ames, G. Bagnarosa, G. Peters, P. Shevchenko, T. Matsui | |
| Which risk factors drive oil futures price curves: Speculation and hedging in the short and long-term | |
| C1386: M. Marowka, G. Peters, N. Kantas, G. Bagnarosa | |
| Bayesian inference for dynamic cointegration models with application to soybean crush spread | |
| C1380: G. Bagnarosa, S. Gao, G. Peters, M. Ames, T. Matsui | |
| Spatio-temporal modeling of yield-weather dependence | |
| C1647: Y. Kanazawa, Y. Kanazawa | |
| Asymptotics for differentiated product demand/supply systems with many markets in the presence of national micro moments | |
| C1368: G. Peters, D. Toczydlowska, P. Shevchenko | |
| Robust probabilistic PCA and dynamic factor models in mortality |
| Session CC705 | Room: MAL 152 |
| Contributions in computational econometrics | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Ana Escribano | Organizer: CFE |
| C1699: A. Escribano, M. Maggi | |
| Intersectorial default contagion: A multivariate Poisson auto-regression analysis | |
| C1708: M. Galvani, S. Figini | |
| Optimal model selection in binary predictive data science models | |
| C1764: J. Dufek, M. Smid | |
| Joint estimation of parameters of mortgage portfolio and the factor process | |
| C1465: E. Senra, P. Poncela, J. Bogalo | |
| Factor models by frequency by multivariate circulant singular spectrum Analysis - MCSSA | |
| C1662: C. Charalambous, S. Martzoukos, Z. Taoushianis | |
| Maximizing discriminatory power of bankruptcy prediction models: Empirical evidence over short and long-term horizons |
| Session CC713 | Room: MAL 153 |
| Contributions in empirical finance | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Robert Jung | Organizer: CFE |
| C1611: J. Barunik, C.Y.-H. Chen, W.K. Haerdle | |
| A tale of sentiment driven tail events: A dynamic quantile model for asset pricing with sentiment | |
| C1720: K. Yamada, T. Mizuno | |
| Estimation of market impact cost using high frequency execution and order book data | |
| C0237: D. McMillan | |
| The information content of stock market factors | |
| C1160: S. Schraeder | |
| Confirming signals are hard to resist: Blessing and curse of information under confirmation bias | |
| C0238: A. Liu, J. Chen, S. Yang | |
| Detecting market irrationality using news sentiment and information entropy |
| Session CG245 | Room: G3 |
| Contributions in testing and forecasting financial time series | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Laurent Pauwels | Organizer: CFE |
| C0818: A. Heinemann, E. Beutner, S. Smeekes | |
| Justifying conditional confidence intervals using sample splitting | |
| C1278: L. Pauwels, F. Chan | |
| Optimal combination of forecasts under mean absolute deviation | |
| C1567: G. Mirone | |
| Inference from the futures: Ranking the noise cancelling accuracy of realized measures | |
| C1461: T. Kutzker, D. Wied | |
| Testing the correct specification of a spatial panel model for stock returns | |
| C1574: I. Kheifets | |
| Multivariate specification tests based on a dynamic Rosenblatt transform |
| Session CG082 | Room: MAL 151 |
| Contributions in financial econometrics I | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Fulvio Corsi | Organizer: CFE |
| C0280: L. Symeonidis, I. Oikonomou, A. Stancu, C. Wese | |
| The information content of short-term options | |
| C1514: F. Corsi, G. Buccheri | |
| Realized volatility modelling with measurement errors and nonlinear effects | |
| C1207: T. Kobayashi | |
| Global bond market interaction using regime-switching dynamic term structure model | |
| C1532: E. Pavlidis, K. Vasilopoulos | |
| On speculative bubbles in the Chinese stock market: Evidence from cross-listed stocks | |
| C1552: G. Gauthier, J.-F. Begin, D. Amaya | |
| Extracting latent states from high frequency option prices |
| Session CP001 | Room: Macmillan Hall and Crush Hall |
| Poster Session | Sunday 17.12.2017 10:50 - 12:55 |
| Chair: Christos Savva | Organizer: CFE |
| C0946: T. Ito | |
| Bayesian approach to the multivariate Fay-Herriot model | |
| C1580: N. Jawadi, A. Idi cheffou, F. Jawadi | |
| A statistical analysis of uncertainty for conventional and ethic investments | |
| C1778: A. Czapkiewicz, A. Zaremba | |
| Effects of some indicators on existence of anomalies in frontier stock markets | |
| C1664: M. Nevrla, J. Barunik | |
| Asset pricing in the quantile-frequency domain | |
| C1681: L. Vacha, J. Barunik | |
| Dynamic quantile models, rational inattention, and asset prices | |
| C1615: A. Dionisio, W. Mohti, I. Vieira | |
| Frontier markets efficiency: Mutual information and DFA analyses | |
| C0330: A. Boateng, L.A. Gil-Alana | |
| Modelling persistence in the conditional mean of inflation using an ARFIMA process with GARCH and GJR-GARCH innovations | |
| C1857: M. Kim | |
| Robust on-line portfolio selection via adaptive conditional volatility estimation | |
| C1856: J. Kurka | |
| On the cross-influence of cryptocurrencies and traditional asset classes | |
| C1864: M. Hronec, J. Barunik | |
| Portfolio diversification in the spectral domain |
| Parallel session I: CMStatistics2017 | Sunday 17.12.2017 | 14:25 - 16:05 |
| Session EO208 | Room: CLO B01 |
| Bayesian semi- and nonparametric modelling II | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Matteo Ruggiero | Organizer: Raffaele Argiento, Matteo Ruggiero, Li Ma |
| E1346: F. Caron, G. Di Benedetto, Y.W. Teh | |
| Non-exchangeable random partition model for microclustering | |
| E0927: I. Bianchini, R. Argiento, J. Griffin | |
| Exploiting conjugacy to build time dependent completely random measures | |
| E1114: R. Ranganath, D. Blei | |
| Correlated random measures | |
| E0828: J. Arbel, S. Favaro | |
| Investigating predictive probabilities of Gibbs-type priors |
| Session EO740 | Room: MAL B18 |
| Graphical Markov models III | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Elena Stanghellini | Organizer: Elena Stanghellini |
| E1288: S. Lauritzen | |
| A generic algorithm for estimation in undirected graphical models | |
| E1063: J. Mooij | |
| Markov and other properties of cyclic structural causal models | |
| E1195: A. Gottard | |
| Graphical models based on trees | |
| E0442: K. Sadeghi | |
| On Finite Exchangeability and Conditional Independence |
| Session EO210 | Room: MAL B20 |
| Multivariate extreme value | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Armelle Guillou | Organizer: Armelle Guillou |
| E0247: V. Asimit, R. Gerrard, Y. Hou, L. Peng | |
| Tail dependence measure for examining financial extreme co-movements | |
| E0731: S. Rizzelli, S. Padoan, A. Guillou | |
| Inference methods for dependent and asymptotically independent extremes | |
| E0728: C. Zhou, S. Engelke, P. Naveau, C. Zhou | |
| The Kullback-Leibler divergence in testing multivariate extreme value models | |
| E0747: J. Einmahl, J. Einmahl, L. de Haan | |
| Limits to human life span through extreme value theory |
| Session EO356 | Room: MAL B30 |
| Time series and extremes | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Thomas Mikosch | Organizer: Thomas Mikosch |
| E1241: B. Basrak | |
| On records of stationary heavy tailed sequences | |
| E0858: J. Heiny, T. Mikosch | |
| A comparison of high-dimensional sample covariance and correlation matrices of a heavy-tailed time series | |
| E0659: R. Kulik | |
| Limit theorems for empirical cluster functionals with applications to statistical inference | |
| E0633: O. Wintenberger, T. Mikosch, M. Rezapour | |
| Heavy tails for an alternative stochastic perpetuity model |
| Session EO670 | Room: MAL B33 |
| Recent developments for complex data | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Juan Romo | Organizer: Juan Romo |
| E0328: C. Euan | |
| Spectra-based clustering methods for visualizing spatio-temporal patterns of winds and waves in the Red Sea | |
| E0947: F. Ieva, J. Romo, F. Palma | |
| A bootstrap approach to the inference on dependence in a multivariate functional setting | |
| E0598: A. Ruiz-Gazen | |
| The ELFE survey and its complex survey design | |
| E0778: J.L. Torrecilla, J. Berrendero, A. Cuevas | |
| Functional variable selection based on RKHS |
| Session EO555 | Room: MAL B34 |
| High-dimensional functional data analysis | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Matthew Reimherr | Organizer: Matthew Reimherr |
| E1012: A. Stoecker, S. Brockhaus, S. Schaffer, B. von Bronk, M. Opitz, S. Greven | |
| Boosting functional response models for location, scale and shape with an application to bacterial competition | |
| E0706: S. Vantini, A. Pini, L. Spreafico, A. Vietti | |
| Non-parametric multi-aspect local null hypothesis testing for functional data: Analysis of articulatory phonetics data | |
| E1245: L. Xiao | |
| Some theoretic results on functional data analysis with penalized splines | |
| E1595: M. Cremona, F. Chiaromonte | |
| Probabilistic K-mean with local alignment for functional motif discovery |
| Session EO672 | Room: MAL B35 |
| Understanding brain functional connectivity | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Hernando Ombao | Organizer: Jane-Ling Wang |
| E0391: J.-L. Wang, H.-G. Mueller, Y. Zhou, O. Carmichael | |
| Gradient synchronization as a measure for brain functional connectivity | |
| E1409: C.M. Ting, H. Ombao | |
| Estimating dynamic connectivity states in fMRI | |
| E1736: A. Petersen, H.-G. Mueller, S. Deoni | |
| Fr\'echet estimation of dynamic covariance matrices, with application to regional myelination in the developing brain | |
| E1644: D. Bowman, J. Kim, B. Cheng, D. Drake | |
| Time varying brain functional connectivity: Change-point estimation and testing |
| Session EO682 | Room: Bloomsbury |
| Advances in the analysis of microbiome data | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Michele Guindani | Organizer: Snehalata Huzurbazar, Michele Guindani |
| E1156: S. Bacallado | |
| Training black-box models for de novo reconstruction in metagenomic data | |
| E1268: J. OBrien | |
| Understanding microbiome meta-community structure through a hierarchical Dirichlet process | |
| E1091: I. Ugrina | |
| On current challenges in the analysis of microbiome data from both academic and non-academic perspectives | |
| E0880: J. Zhou, J. Zhai, H. Zhou | |
| Variance component selection with microbiome taxonomic data |
| Session EO668 | Room: Chancellor's Hall |
| Time series | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Andrew Walden | Organizer: Andrew Walden |
| E0396: S. Olhede | |
| Complex oceanic time series observations | |
| E0363: A. Walden | |
| Time series graphical modelling via partial coherence and lessons from EEG analysis | |
| E0461: R. Bhansali, D. Natsios | |
| A dual parameter long memory time series model | |
| E0788: A. Sykulski | |
| Complex-valued stochastic process modelling with some physical applications |
| Session EO182 | Room: Court |
| Copula modeling for partly discrete data or data with ties | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Ivan Kojadinovic | Organizer: Ivan Kojadinovic |
| E1610: O. Faugeras | |
| Inference for copula modeling of discrete data: A cautionary tale and some facts | |
| E0554: D. Kurowicka | |
| Vine copula regression with mixed discrete and continuous predictors | |
| E0186: G. Salvadori, F. Durante, R. Pappada | |
| Assessing the structural risk accounting for ties | |
| E0588: I. Kojadinovic | |
| Some copula specification tests adapted to ties |
| Session EO029 | Room: G11 |
| Recent advances in high dimensional statistics | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Ali Shojaie | Organizer: Moulinath Banerjee |
| E1261: A. Giessing | |
| Predictive risk estimation in high-dimensional misspecified quantile regression | |
| E0909: P. Nandy, H. Li | |
| Estimating and testing individual mediation effects in high-dimensional settings | |
| E0933: R.D. Shah, P. Buehlmann, N. Meinshausen | |
| Double estimation friendly inference in high-dimensional statistics | |
| E1429: G. Michailidis | |
| Intelligent sampling for change point analysis problems |
| Session EO045 | Room: G21A |
| Regularisation and model choice for duration time analysis | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Thomas Kneib | Organizer: Andreas Groll, Thomas Kneib |
| E0643: A. Bender | |
| Penalized estimation of cumulative effects | |
| E1072: F. Gude, I. Guler, C. Faes, C. Cadarso Suarez | |
| Recent developments on joint modelling for longitudinal and survival data: Applications to biomedicine | |
| E0837: E. Bergherr, A. Mayr, C. Griesbach | |
| Variable selection and allocation in joint models for longitudinal and time-to-event data via boosting | |
| E0201: A. Groll, T. Kneib, T. Hastie, G. Tutz | |
| Selection of effects in Cox frailty models by regularization methods |
| Session EO461 | Room: G3 |
| Model selection and inference | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Ulrike Schneider | Organizer: Ulrike Schneider |
| E1120: K. Johnson | |
| Controlling FWER in Stepwise Regression Using Multiple Comparisons | |
| E1868: U. Schneider, K. Ewald | |
| On the distribution and model selection properties of the Lasso in low and high dimensions | |
| E0998: L. Steinberger, H. Leeb | |
| Hypothesis testing when fitting simple models to high-dimensional data | |
| E0628: D. Preinerstorfer, F. Bachoc, L. Steinberger | |
| Uniformly valid confidence intervals post-model-selection |
| Session EO636 | Room: G4 |
| Repurposing drugs using electronic health records | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Roy Welsch | Organizer: Roy Welsch |
| E1253: R. Betensky | |
| Statistical considerations for synthetic clinical trials | |
| E1192: C. Fogarty | |
| Studentized sensitivity analysis in paired observational studies | |
| E1499: I. Tzoulaki | |
| Investigating anticipated and un-anticipated effects of drugs in large biobanks | |
| E1841: V. Acha, A. Towse | |
| Repurposing evidentiary standards and evaluation in practice |
| Session EO164 | Room: G5 |
| Computational aspects in inference for stochastic processes | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Hiroki Masuda | Organizer: Hiroki Masuda |
| E1089: K. Kamatani | |
| Curse of dimensionality of MCMC | |
| E0679: L. Mercuri | |
| New classes and methods in YUIMA | |
| E0370: I. Muni Toke | |
| Intensities ratios models with applications to the modelling of limit order books | |
| E0974: N. Yoshida | |
| Penalized methods for stochastic processes |
| Session EO559 | Room: Gordon |
| Advances in high-dimensional data analysis | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Hao Chen | Organizer: Lan Wang, Hao Chen |
| E0367: Y. Xia | |
| A general framework for information pooling in two-sample sparse inference | |
| E0803: X. Li, J. Chen | |
| Memory efficient low-rank approximation from incomplete entries via nonconvex optimization | |
| E0639: Y. Zhu, X. Shen, W. Pan | |
| Maximum likelihood inference for a large precision matrix | |
| E0920: W. Zhou, C. Zheng, W. Zhou, L. Zhang | |
| A unified nonparametric procedure on detecting spurious discoveries under sparse signals |
| Session EO206 | Room: CLO 101 |
| Higher moments in multivariate analysis | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Nicola Loperfido | Organizer: Nicola Loperfido |
| E0308: J. Martin Arevalillo, H. Navarro-Veguillas | |
| Maximal skewness projections for scale mixtures of skew-normal vectors | |
| E0797: F. Javed, N. Loperfido, S. Mazur | |
| Fourth cumulant for multivariate aggregate claim models | |
| E0665: N. Loperfido | |
| Linear projections for kurtosis removal | |
| E1384: K. Podgorski, S. Mazur, T. Kozubowski | |
| Gamma distributed covariance matrices and their moments |
| Session EO360 | Room: CLO 102 |
| Inference in semi- and nonparametric models | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Christopher Parmeter | Organizer: Christopher Parmeter |
| E1069: R. Liu | |
| Accelerated failure time models with logconcave errors | |
| E1000: C. Martins-Filho | |
| Unified estimation of densities on bounded and unbounded domains | |
| E1075: D. Henderson, A. Sheehan | |
| Departures from symmetry and testing for heteroskedasticity in nonparametric regression | |
| E0984: C. Parmeter, N. McCloud | |
| Calculating degrees of freedom in multivariate local polynomial regression |
| Session EO354 | Room: Jessel |
| Provable tensor methods in machine learning | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Will Wei Sun | Organizer: Will Wei Sun |
| E0284: E. Chi | |
| Tensor canonical correlation analysis | |
| E0371: X. Zhang | |
| Covariate-adjusted tensor classification in high-dimensions | |
| E0975: A. Benson, D. Gleich, L.-H. Lim | |
| Spacey random walks | |
| E1161: T. Suzuki | |
| Estimation accuracy and computational efficiency of non-parametric kernel tensor estimators |
| Session EO717 | Room: Montague |
| Model selection and classification for very large scale data | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Maria-Pia Victoria-Feser | Organizer: Maria-Pia Victoria-Feser |
| E1283: F. Schroeder, P. Filzmoser | |
| On an exact nonparametric test for class separability for the purpose of filter-type model selection | |
| E0908: M.-P. Victoria-Feser, S. Guerrier, M. Avella Medina | |
| A prediction divergence criterion for model selection in high dimensional settings | |
| E1273: H. Wang | |
| A scalable frequentist model averaging method | |
| E1374: R. Molinari, S. Guerrier, Y. Ma, M. Avella Medina, S. Orso, M. Nabil | |
| A prediction-based algorithm for variable selection with applications in genomics |
| Session EO258 | Room: Senate |
| Robustness for high-dimensional and functional data | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Stefan Van Aelst | Organizer: Stefan Van Aelst |
| E0543: K. Peremans, S. Van Aelst | |
| Fast and robust model selection criterion in generalized linear models | |
| E1300: M. Avella Medina, F. Parise, M. Schaub, S. Segarra | |
| Centrality measures for graphons | |
| E1401: P. Rousseeuw, J. Raymaekers | |
| Fast robust correlations with application to cellwise outliers | |
| E1455: S. Chenouri | |
| Performance analysis and robustness for dimension reduction |
| Session EO174 | Room: Woburn |
| Recent avances in network modeling | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Veronica Vinciotti | Organizer: Harry Crane |
| E0549: R. Rastelli, P. Latouche, N. Friel | |
| Estimating the number of clusters in a stochastic block model for temporal networks | |
| E1153: B. Bloem-Reddy | |
| Preferential attachment and arrival times | |
| E0734: V. Vinciotti, E. Tosetti, F. Moscone | |
| Credit risk modelling via efficient network-based inference | |
| E1397: V. Veitch, E. Sharma, Z. Naulet, D. Roy | |
| Machine learning insights from sparse exchangeable graphs |
| Session EO027 | Room: CLO 203 |
| Recent applications and methods in directional statistics | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Eduardo Garcia-Portugues | Organizer: Eduardo Garcia-Portugues |
| E0865: L. Holmstrom, V. Vuollo, H. Aarnivala, V. Harila, T. Heikkinen, P. Pirttiniemi, A.M. Valkama | |
| Analyzing infant head flatness and asymmetry using directional surface normal data from a craniofacial 3D model | |
| E0791: M. Golden, E. Garcia-Portugues, M. Sorensen, K. Mardia, T. Hamelryck, J. Hein | |
| A generative angular model of protein structure evolution | |
| E0847: S. Kato, I. Leguey, C. Bielza, P. Larranaga | |
| A Bayesian network model for linear-circular data | |
| E0864: T. Verdebout, D. Paindaveine, E. Garcia-Portugues | |
| On some tests for rotational symmetry |
| Session EO621 | Room: CLO 204 |
| Mixed linear models with applications to small area estimation | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Dietrich von Rosen | Organizer: Dietrich von Rosen |
| E0333: D. Morales, I. Molina, Y. Marhuenda, J. Rao | |
| Poverty mapping in small areas under a two-fold nested error regression model | |
| E0812: T. von Rosen | |
| On estimation and prediction in multivariate mixed linear models | |
| E1557: T. Nummi | |
| Testing of multivariate spline growth model | |
| E1319: D. von Rosen, M. Singull, J. Nzabanita, I. Ngaruye | |
| Small area estimation via a multivariate linear model for repeated measures data |
| Session EO096 | Room: SH349 |
| Measure transportation and statistics | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Eustasio del Barrio | Organizer: Marc Hallin |
| E0235: J.-M. Loubes | |
| Transport based kernel for GP models | |
| E0619: E. del Barrio | |
| Robust clustering tools based on optimal transportation | |
| E0627: H. Valdes, C. Bea, E. del Barrio | |
| Tools for clustering based on k-barycenters in the Wasserstein space | |
| E1376: T. Le Gouic, Q. Paris | |
| k-means and optimal transport |
| Parallel session I: CFE2017 | Sunday 17.12.2017 | 14:25 - 16:05 |
| Session CO294 | Room: MAL 414 |
| Multivariate volatility models | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Jean-Michel Zakoian | Organizer: Jean-Michel Zakoian |
| C0395: C. Conrad | |
| On the economic determinants of optimal stock-bond portfolios: International evidence | |
| C1308: C. Francq, J.-M. Zakoian | |
| Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models | |
| C1059: B. Sanhaji, T. Chuffart | |
| Misspecification tests in conditional covariances for large cross-sectional dimensions | |
| C1817: J.-M. Zakoian, C. Gourieroux, A. Monfort | |
| Consistent pseudo-maximum likelihood estimators and groups of transformations |
| Session CO091 | Room: MAL 416 |
| Networks and causality | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Monica Billio | Organizer: Monica Billio |
| C0800: M. Billio, R. Casarin, L. Rossini | |
| Business shock transmission: A multilayer network perspective | |
| C1155: M. Costola, M. Bernardi | |
| Sparse causality networks through regularised regressions | |
| C0785: L. Frattarolo, M. Billio, R. Casarin, M. Costola | |
| Complexity and disagreement in financial networks: A digraph Laplacian approach | |
| C0875: R. Panzica, M. Caporin, G. Bonaccolto | |
| Estimation and model-based combination of causality networks |
| Session CO071 | Room: MAL 421 |
| Topics in non-stationary time series | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Martin Wagner | Organizer: Martin Wagner |
| C1298: L. Soegner, M. Wagner | |
| Residual based detection of market dislocations | |
| C1578: M. Wagner, O. Stypka, P. Grabarczyk, R. Kawka | |
| The asymptotic validity of ``standard'' FM-OLS estimation and inference in cointegrating polynomial regressions | |
| C1620: J.A. Afonso-Rodriguez | |
| Testing for a stochastic unit root-type process using Chebyshev time polynomials approximation | |
| C1581: Y. Lin, E. Beutner, S. Smeekes | |
| GLS estimation and confidence sets for the date of a single break in models with trends |
| Session CO310 | Room: MAL 532 |
| Topics in nonparametrics | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Artem Prokhorov | Organizer: Artem Prokhorov |
| C0566: D. Becker, A. Kneip, V. Patilea | |
| Smooth minimum distance inference for semiparametric partially linear regressions with Box-Cox transformation | |
| C0896: M. Burda, R. Daviet | |
| Inference with Hamiltonian sequential Monte Carlo | |
| C0805: M. Hirukawa, I. Murtazashvili, A. Prokhorov | |
| Two-sample estimation as an alternative to instrumental variable estimation in the presence of omitted variables |
| Session CO518 | Room: MAL 538 |
| Robust portfolio analysis | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Winfried Pohlmeier | Organizer: Winfried Pohlmeier |
| C0224: S. Manganelli | |
| Deciding with judgment | |
| C0219: E. Kazak, W. Pohlmeier | |
| Portfolio pretest estimation with machine learning | |
| C0603: A. Martin Utrera | |
| A portfolio perspective on the multitude of firm characteristics | |
| C1619: P. Walker, M. Paolella, P. Polak | |
| A new non-Gaussian factor GARCH model |
| Session CO348 | Room: MAL 539 |
| Econometrics and its application | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Yong Song | Organizer: Xiaohui Zhang, Bin Peng |
| C0244: D.-H. Kim | |
| Information disclosure discounts in takeover auctions | |
| C0255: Y. Song, J. Maheu, Q. Yang | |
| Real economic growth and oil price shocks: A Bayesian approach | |
| C0318: H. Zhu | |
| High dimensional M-estimation for large panel data models | |
| C1410: Z. Li, Y. Song, Q. Yang | |
| On the Model Uncertainty of Infinite Hidden Markov Models with Application to Taylor Rule Characterization |
| Session CO254 | Room: MAL 540 |
| Quantitative investing | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Serge Darolles | Organizer: Serge Darolles |
| C0382: A. Al Wakil | |
| The smart vega factor-based investing: Disentangling risk premia from implied volatility smirk | |
| C1379: S. Darolles, G. Roussellet | |
| Managing hedge fund liquidity risks | |
| C1021: E. Jurczenko, J. Teiletche | |
| Risk-based allocation for illiquid and alternative investments | |
| C0961: E. Gourier, L. Phalippou, W. Goetzmann | |
| Styles of private equity funds |
| Session CO108 | Room: MAL 541 |
| Computational methods in financial econometrics | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Sandra Paterlini | Organizer: Sandra Paterlini, Dietmar Maringer, Peter Winker |
| C1042: P. Stolfi, M. Bernardi, L. Petrella | |
| Sparse indirect inference | |
| C1062: G. Torri, S. Paterlini, R. Giacometti | |
| Sparse precision matrices for minimum variance portfolios | |
| C0703: C. Funk, J. Lips | |
| Modeling the U.S. oil market using heterogeneous interacting agents | |
| C1354: S. Paterlini, B. Craig, D. Maringer | |
| Creating (parsimonious) banking networks |
| Session CC710 | Room: MAL 151 |
| Contributions in macroeconometrics | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Frederic Karame | Organizer: CFE |
| C0332: F. Karame, S. Adjemian | |
| Particle filtering with Dynare | |
| C1370: S. Zakipour-Saber | |
| Monetary policy regime shifts and inflation persistence in the UK | |
| C1365: L. Onorante, S. Zakipour-Saber, L. Moretti | |
| Phillips curves | |
| C1528: A. Afonso | |
| Sovereign credit rating mismatches |
| Session CC708 | Room: MAL 152 |
| Contributions in Bayesian methods | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Jim Griffin | Organizer: CFE |
| C1531: K. Kakamu, M. Feldkircher | |
| On the effects of the monetary policy on the income inequality in Japan: Evidence from grouped data | |
| C1808: H. Tamae, S. Sugasawa, T. Kubokawa | |
| Nested error regression model with non ignorable missing values | |
| C1671: E. Mise, A. Garratt, E. Mise | |
| Exchange rate predictive densities: An application of stochastic model specification search | |
| C1449: B. Gribisch, J.P. Hartkopf, R. Liesenfeld | |
| Factor state-space models for high-dimensional realized covariance matrices of asset returns |
| Session CG006 | Room: MAL 402 |
| Contributions in nowcasting and big data | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Juan-Pablo Ortega | Organizer: CFE |
| C1551: A. Galli, R. Scheufele, C. Hepenstrick | |
| A real time investigation of short-term forecasting | |
| C1596: T. Mizuno, K. Yamada | |
| Nowcasting firm's financial standing using global inter-firm relationships | |
| C1766: L. Monteforte, G. Ardizzi, S. Emiliozzi, J. Marcucci | |
| News and consumer card payments | |
| C1433: A. Urtasun, J.J. Perez | |
| Nowcasting private consumption: Traditional indicators, uncertainty measures, and the role of internet search query data |
| Session CG080 | Room: MAL 415 |
| Contributions in value-at-risk | Sunday 17.12.2017 14:25 - 16:05 |
| Chair: Alexandra Dias | Organizer: CFE |
| C1618: K. Bien-Barkowska | |
| Multivariate extensions of the ACD peaks-over-threshold method for forecasting value at risk | |
| C1629: F. Cech, J. Barunik | |
| Measurement of common risk factors: A panel quantile regression model for returns | |
| C1598: M. Maggi, S. Figini, P. Uberti | |
| New indicators in systemic risk analytics: Theory and applications |
| Parallel session J: CMStatistics2017 | Sunday 17.12.2017 | 16:35 - 18:15 |
| Session EI690 | Room: CLO B01 |
| Current issues in causal inference for multiple mediators | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Bernard Rachet | Organizer: Bernard Rachet |
| E0187: L. Valeri | |
| Explaining the total effect in the presence of multiple mediators and interactions | |
| E0171: S. Vansteelandt | |
| Time-to-event mediation analysis with repeatedly measured mediators | |
| E0172: R. Daniel | |
| Mediation analysis with high-dimensional mediators |
| Session EO734 | Room: MAL B18 |
| Graphical Markov models IV | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Kayvan Sadeghi | Organizer: Kayvan Sadeghi |
| E0848: D. Rothenhaeusler, P. Buehlmann, J. Ernest | |
| Causal inference in partially linear structural equation models with Gaussian noise | |
| E0793: M. Scutari | |
| Bayesian Dirichlet Bayesian network scores and the maximum entropy principle | |
| E1276: N. Wermuth | |
| On the attractive properties for estimating and generating distributions of special palindromic Ising models | |
| E0705: V. Didelez | |
| Identification with graphical models for time-dependent data |
| Session EO508 | Room: MAL B20 |
| Modeling and dimension reduction of extreme events in high dimensions | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Raphael Huser | Organizer: Raphael Huser |
| E0257: E. Thibaud, D. Cooley | |
| Principal component decomposition and completely positive decomposition of dependence for multivariate extremes | |
| E0604: M. de Carvalho, R. Huser, R. Rubio | |
| Similarity-based clustering of extreme losses from the London stock exchange | |
| E0765: R. de Fondeville, A. Davison | |
| Peaks-over-threshold inference for spatio-temporal processes, with an application to European windstorms | |
| E1088: S. Vettori, R. Huser, J. Segers, M. Genton | |
| Bayesian model averaging over tree-based dependence structures for multivariate extremes |
| Session EO154 | Room: MAL B30 |
| Survival analysis with dependent endpoints | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Takeshi Emura | Organizer: Takeshi Emura |
| E0364: C. Geerdens, E. Acar, P. Janssen | |
| The analysis of diabetic retinopathy data: A conditional copula approach | |
| E0374: J. Ning | |
| Measure, model and estimation on the dependence structure of bivariate recurrent event processes | |
| E0983: R. Braekers, L. Prenen, L. Duchateau | |
| Investigation and interpretation of the correlation structure in udder infection times by nested Archimedean copulas | |
| E0573: T. Emura | |
| Dynamic prediction for time-to-death under the joint frailty-copula model |
| Session EO603 | Room: MAL B33 |
| Functional data | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Philip Reiss | Organizer: Phil Reiss |
| E0905: P. Reiss | |
| Penalized covariance smoothing and its impact on functional principal component analysis | |
| E1129: A. Srivastava | |
| Recent advances in elastic functional data analysis | |
| E0709: F. Telschow, A. Schwartzman | |
| Simultaneous confidence bands and testing for functional data using the GKF with Applications to DTI fibers | |
| E0761: J. Wrobel, J. Goldsmith | |
| Registration for exponential family functional data |
| Session EO059 | Room: MAL B34 |
| Functional data analysis | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Jane-Ling Wang | Organizer: Jane-Ling Wang |
| E0225: K. Kato, M. Imaizumi | |
| A simple method to construct confidence bands in functional linear regression | |
| E0504: J.-M. Chiou, Y.-T. Chen | |
| Dynamical segmentation of a functional data sequence | |
| E0608: A. Cuevas, R. Fraiman | |
| Detection and identification in functional settings |
| Session EO599 | Room: MAL B35 |
| Statistical inference for fMRI data | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Armin Schwartzman | Organizer: Armin Schwartzman |
| E0423: A. Eklund | |
| Ironing out the wrinkles in the cluster failure | |
| E1371: M. Fiecas | |
| A Bayesian credible subgroups approach to statistical inference in fMRI | |
| E1353: J. Rosenblatt | |
| A hypothesis testing view of searchlight pattern analysis (MVPA) | |
| E1398: A. Schwartzman, D. Cheng, F. Telschow, R. Adler | |
| Error control in fMRI using the (nonstationary) Gaussian kinematic formula |
| Session EO404 | Room: Bloomsbury |
| Statistical modelling in insurance | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Vali Asimit | Organizer: Vali Asimit |
| E1102: E. Biffis, D. Benedetti | |
| Security posture assessment in conflict areas: The value of spatial-temporal information | |
| E0630: V. D Amato, S. Haberman | |
| Modelling longevity trends and longevity risk | |
| E1190: M. Hiabu | |
| In-sample forecasting: Continuous chain ladder and extensions | |
| E0750: A. Tsanakas, P. Millossovich, S. Pesenti | |
| Sensitivity analysis without repeated model runs |
| Session EO435 | Room: G3 |
| Stochastic modelling of energy markets | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Almut Veraart | Organizer: Almut Veraart |
| E1327: B. Lopez Cabrera, A. Melzer, W. Haerdle | |
| Pricing wind power futures | |
| E0678: R. Kiesel | |
| Empirics and analytics for intraday power markets | |
| E0670: N. Lange, N. Nomikos, J. Lager | |
| Risk premia in cash-settled forward contracts | |
| E0343: F. Ziel, R. Steinert | |
| Mid-term electricity price forecasting using future data |
| Session EO240 | Room: CLO 101 |
| Bayesian semi- and nonparametric modelling III | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Michele Guindani | Organizer: Raffaele Argiento, Matteo Ruggiero, Li Ma |
| E1373: S. Deshpande, V. Rockova, E. George | |
| Simultaneous variable and covariance selection with the multivariate spike-and-slab lasso | |
| E1321: M. De Iorio, P. Giorgio, A. Guglielmi, F. Ieva | |
| Joint modelling of recurrent events and survival: A Bayesian nonparametric approach | |
| E1260: M. Li, L. Ma | |
| Multidimensional wavelets with adaptive random partitioning and its application to probabilistic image process | |
| E0303: D. Durante, A. Canale, D. Dunson | |
| Convex mixture regression for quantitative risk assessment |
| Session EO358 | Room: CLO 102 |
| Semi- and nonparametric frontier estimation | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Paul Wilson | Organizer: Paul Wilson |
| E0422: C. Mastromarco, L. Simar, V. Zelenyuk | |
| Predicting recessions in Italy: A nonparametric discrete choice model for time series | |
| E1044: C. Daraio, R. Fare, S. Grosskopf, M.G. Izzo, L. Leuzzi, G. Ruocco, M. Bostian | |
| Inference for nonparametric productivity networks: A pseudo-likelihood approach | |
| E0895: L. Simar, A. Kneip, P. Wilson | |
| Statistical inference in nonparametric frontier estimation: Recent developments and dynamic extensions | |
| E1033: P. Wilson, D. Wheelock | |
| Nonparametric estimation of Lerner indices for measuring bank competition |
| Session EO055 | Room: CLO 203 |
| Circular models and their statistical inference | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Toshihiro Abe | Organizer: Toshihiro Abe |
| E0444: Y. Miyata, T. Abe, T. Shiohama | |
| On estimating finite mixtures of sine-skewed wrapped Cauchy distributions | |
| E0440: T. Shiohama, T. Abe, Y. Miyata | |
| Bayesian inference for mode preserving distributions on the circle | |
| E0506: C. Ley, J. Ameijeiras-Alonso, A. Pewsey, T. Verdebout | |
| Optimal tests for circular reflective symmetry | |
| E1026: K. Mulder, I. Klugkist, I. Visser, D. van Renswoude | |
| Fitting mixtures of flexible circular distributions with an application to eye tracking data |
| Session EO627 | Room: CLO 204 |
| Small area estimation | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Domingo Morales | Organizer: Domingo Morales |
| E0605: M. Boubeta, M.J. Lombardia, M. Marey-Perez, D. Morales | |
| Area-level Poisson mixed models for estimating forest fire occurrences | |
| E0955: T. Hobza, Y. Marhuenda, D. Morales | |
| An application of unit-level gamma mixed model to SLCS data | |
| E0645: S. Sperlich | |
| Bootstrap methods for multiple comparison in small areas statistics |
| Session EO536 | Room: MAL 402 |
| Modelling complex data | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Garth Tarr | Organizer: Garth Tarr |
| E0592: T. Fung | |
| Semiparametric observation-driven models for time-series of count | |
| E0918: E. Tanaka | |
| Outlier detection in a complex linear mixed model: An application in plant breeding trial | |
| E0614: C. You, F. Hui, S. Mueller, H.L. Shang | |
| Semiparametric regression using variational approximations |
| Session EO039 | Room: MAL 414 |
| New advances in analysis of complex cohort studies | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Hyokyoung Grace Hong | Organizer: Hyokyoung Grace Hong |
| Session EO477 | Room: MAL 416 |
| Inference for time-varying networks | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Tom Snijders | Organizer: Tom Snijders |
| E0893: V. Amati, F. Schoenenberger, T. Snijders | |
| Comparing estimation methods for stochastic actor-oriented models | |
| E0617: I. Gollini, I. Gollini, A. Caimo, P. Campana | |
| Latent variable modelling of interdependent ego-networks | |
| E0654: H. Shappell, E. Kolaczyk | |
| Accounting for uncertainty in stochastic actor-oriented models for dynamic network analysis | |
| E0985: T. Snijders, J. Koskinen | |
| Hierarchical multilevel analysis of network dynamics: Bayesian estimation and prior sensitivity |
| Session EO577 | Room: MAL 421 |
| Robust ranking, voting, and comparisons | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Jochen Einbeck | Organizer: Nick Sofroniou, Jochen Einbeck |
| E1328: T.B. Murphy, L. Small | |
| Model-selection for ranking data models | |
| E0751: S. Rusa, A. Komarek, E. Lesaffre, L. Bruyneel | |
| Identifying influential observations in complex Bayesian mediation models with ordinal outcome | |
| E1086: C. Mollica, L. Tardella | |
| Bayesian mixture of extended Plackett-Luce models for the analysis of preference rankings | |
| E0878: J. Einbeck, N. Sofroniou | |
| Assessing uncertainty in posterior intercepts from random effect models |
| Session EO148 | Room: MAL 532 |
| Recent advances in quantile regression | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Carlos Lamarche | Organizer: Carlos Lamarche |
| E0491: Y.-Y. Lee | |
| Nonparametric weighted average quantile derivative | |
| E1090: J. Gu, S. Volgushev | |
| Quantile regression for longitudinal data: A convex clustering approach | |
| E1179: C. Lamarche, M. Harding, H. Pesaran | |
| Common correlated effects estimation of heterogeneous dynamic panel quantile regression models | |
| E1247: S. Volgushev, S.-K. Chao, G. Cheng | |
| Distributed computing for quantile regression: A statistical analysis |
| Session EO106 | Room: MAL 538 |
| Cluster analysis with R | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Sebastian Fuchs | Organizer: F Marta L Di Lascio |
| E0623: L. Scrucca, M. Fop, T.B. Murphy, A.E. Raftery | |
| The mclust R package for clustering, classification and density estimation using Gaussian finite mixture models | |
| E0251: P. Spurek | |
| Cross-entropy clustering | |
| E1829: P. Tellaroli, M. Donato, M. Bazzi, A.R. Brazzale, S. Draghici | |
| Cross-Clustering: A partial clustering algorithm with automatic estimation of the number of clusters | |
| E0773: E. Vigneau, V. Cariou, E.M. Qannari | |
| Clustering of variables around latent variables, with the R package ClustVarLV |
| Session EO037 | Room: MAL 539 |
| Doubly stochastic counting processes | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Paula Bouzas | Organizer: Paula Bouzas |
| E0587: A.C. Cebrian | |
| Different approaches for testing the independence between point processes | |
| E0651: U. Hahn | |
| Spatial cluster point processes with marks depending on clusters | |
| E0842: N. Ruiz-Fuentes, P. Bouzas, C. Montes-Gijon | |
| Compound Cox processes applied to extreme meteorological events | |
| E1010: P. Bouzas, N. Ruiz-Fuentes, C. Montes-Gijon | |
| Phase type process |
| Session EO579 | Room: MAL 540 |
| Advances in joint modelling | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Elisabeth Bergherr | Organizer: Elisabeth Bergherr |
| E1493: A. Rappl, E. Bergherr | |
| A comparison of different R routines for joint modelling | |
| E0868: C. Griesbach, E. Bergherr, A. Mayr | |
| Extending joint models in terms of boosting algorithms | |
| E0821: J. Barrett, P. Diggle, R. Henderson, D. Taylor-Robinson | |
| Joint modelling of longitudinal and discrete time-to-event data | |
| E0987: I. Guler, C. Faes, C. Cadarso Suarez, F. Gude | |
| Flexible two-stage model proposal for multivariate longitudinal and survival data using spline smoothing |
| Session EO053 | Room: MAL 541 |
| Change-point detection in time series | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Herold Dehling | Organizer: Herold Dehling |
| E0753: A. Betken | |
| Robust change-point estimation in the presence of long-range dependence | |
| E0938: M.-C. Dueker | |
| Limit theorems for multivariate long-range dependent processes | |
| E0866: C. Gerstenberger | |
| Robust change-point estimation | |
| E0815: A. Schnurr, H. Dehling, J. Woerner, J. Buchsteiner | |
| Detecting structural breaks via ordinal pattern probabilities: The short- and the long-range dependent framework |
| Session EC694 | Room: MAL 153 |
| Contributions in methodological statistics | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Silvia Cagnone | Organizer: CMStatistics |
| E1481: Y. Hirose | |
| A decision-theoretic property of conditional normalized maximum likelihood distribution | |
| E1544: T. Lando, L. Bertoli-Barsotti | |
| Parametric dominance relations for distributions obtained by composition | |
| E1623: M. Schumann | |
| Second-order analytic bias reduction for nonlinear panel data models with fixed effects | |
| E1489: M. Mandel, N. Kaplan-Damary, Y. Yekutieli, S. Wiesner, Y. Shor | |
| Estimation of two-dimensional rate functions using incomplete data |
| Session EC697 | Room: MAL 415 |
| Contributions in Bayesian methods | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Alexandros Beskos | Organizer: CMStatistics |
| E1482: V. Potashnikov, O. Lugovoy, A. Polbin | |
| Probabilistic, Bayesian updating of input-output tables: Application to WIOD | |
| E1616: C. Gutierrez Perez, M. Gonzalez Velasco, R. Martinez Quintana | |
| Bayesian inference in two-sex branching processes with mutations: ABC approach | |
| E0336: M. Pihlak | |
| Applying Bayesian methods on confidence intervals for quantile estimation | |
| E1540: K. Okada, D. Hojo, Y. Takahashi | |
| Assessing the stability of response styles by using Bayesian item response modeling |
| Session EG016 | Room: MAL 151 |
| Contributions in confidence regions | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Jelle Goeman | Organizer: CMStatistics |
| E1636: J. Klaschka, J. Reiczigel, M. Thulin | |
| On avoiding inconsistencies between confidence intervals and tests for parameters of some discrete distributions | |
| E1660: Z. Szkutnik, B. Cmiel, J. Wojdyla | |
| Asymptotic confidence bands in the Spektor-Lord-Willis problem via kernel estimation of intensity derivative | |
| E0738: L. Voncken, C. Albers, M. Timmerman | |
| Combining confidence intervals: Uncertainty in normed test scores due to test unreliability and sampling variability | |
| E1495: D. Kurisu, K. Kato | |
| Bootstrap confidence bands for spectral estimation of Levy densities under high-frequency observations |
| Session EG012 | Room: MAL 152 |
| Contributions in control charts | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Schalk Human | Organizer: CMStatistics |
| E1659: S. Human, N. Chakraborty, B. Narayanaswamy | |
| Generally weighted moving average control charts | |
| E1357: D. Marcondes Filho, L.P. Luna de Oliveira | |
| Multivariate statistical process control using STATIS method | |
| E1760: M.R. Ramos, E. Carolino, C. Viegas, S. Viegas | |
| Monitoring occupational exposure data with joint control charts | |
| E1369: A. Santanna | |
| Process monitoring for manufacturing attribute data using model-based approach |
| Parallel session J: CFE2017 | Sunday 17.12.2017 | 16:35 - 18:15 |
| Session CO723 | Room: Chancellor's Hall |
| Cointegration analysis and state space models | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Martin Wagner | Organizer: Martin Wagner |
| C1724: D. Bauer, L. Matuschek, P. de Matos Ribeiro, M. Wagner | |
| A parameterization of MFI(1) and I(2) processes: Structure theory with an eye to hypothesis testing | |
| C1737: P. de Matos Ribeiro, D. Bauer, L. Matuschek, M. Wagner | |
| Pseudo maximum likelihood analysis of multiple frequency I(1) processes: Parameter estimation | |
| C1740: L. Matuschek, D. Bauer, P. de Matos Ribeiro, M. Wagner | |
| Pseudo maximum likelihood analysis of multiple frequency I(1) processes: Inference on cointegrating ranks | |
| C1633: Y. Li, D. Bauer | |
| Long VAR approximation in I(2) context: Asymptotic theory and simulations |
| Session CO069 | Room: Court |
| Latest development of dependence modeling | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Jean-David Fermanian | Organizer: Jean-David Fermanian |
| C0316: F. Spanhel, M. Kurz | |
| Testing the simplifying assumption in high-dimensional vine copulas | |
| C0534: A. Derumigny, J.-D. Fermanian | |
| About the estimation of the conditional Kendall's tau and Kendall's Regression | |
| C0551: J.-D. Fermanian | |
| Simplified estimations of conditional copulas | |
| C0612: O. Lopez | |
| Censored copula modeling for micro-level reserving in non life insurance |
| Session CO081 | Room: G11 |
| Econometric models for high dimensional scoring | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Alessandra Amendola | Organizer: Paolo Giudici, Alessandra Amendola |
| C0428: R. Calabrese, R. Stine | |
| Contagion effects in small business failures: A spatial multilevel autoregressive model | |
| C0369: G. Polinesi, P. Giudici | |
| Scoring models for roboadvisory platforms: A network approach | |
| C0825: V. Candila, A. Amendola, G. Gallo | |
| On the asymmetric impact of macro-variables on volatility | |
| C1367: P. Cerchiello, J. Marcucci, G. Nicola, G. Bruno | |
| On possible causal links between Twitter sentiment and banks financial ratios |
| Session CO338 | Room: G5 |
| Empirical macroeconomics | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Christopher Otrok | Organizer: Kirstin Hubrich |
| C0512: C. Baumeister, J. Hamilton | |
| Structural interpretation of vector autoregressions with incomplete identification | |
| C0515: M. McCracken | |
| An empirical investigation of direct and iterated multistep approaches to producing conditional forecasts | |
| C0559: M. Ciccarelli | |
| Mending the broken link: Heterogeneous bank lending and monetary policy pass-through | |
| C0541: C. Otrok | |
| A comprehensive view of income inequality |
| Session CO102 | Room: Gordon |
| Computational econometrics and modelling II | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Gareth Peters | Organizer: Gareth Peters |
| C0553: K.-A. Richards | |
| Modelling the limit order book using marked Hawkes self-exciting point processes. | |
| C0722: W. Dunsmuir | |
| Efficiently estimating discrete and continuous time GARCH models with irregularly spaced observations | |
| C1313: M. Campi, G. Peters, N. Azzaoui, T. Matsui | |
| An enhance empirical mode decomposition | |
| C1317: A. Zaremba, G. Peters | |
| Framework for detecting statistical causality in warped Gaussian processes |
| Session CO300 | Room: Jessel |
| New approaches to macroeconomic analysis and forecasts | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Deborah Gefang | Organizer: Deborah Gefang |
| C1141: A. Burda | |
| Investigating strong-form purchasing power parity for EUR/PLN within STVECM framework | |
| C1186: C. Cakmakli, R. Paap | |
| Synchronization of cycles in a data-rich environment | |
| C1272: D. Gefang | |
| Bayesian Lasso for large vector autoregression models | |
| C0691: Y. Wang | |
| Optimal window selection for forecasting in the presence of recent structural breaks |
| Session CO543 | Room: Montague |
| Recent developments in econometrics of asset pricing | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Guillaume Roussellet | Organizer: Guillaume Roussellet |
| C1422: L. Coroneo, S. Pastorello | |
| European spreads at the interest rate lower bound | |
| C1820: P. Pederzoli | |
| Crash risk in individual stocks | |
| C1787: G. Schwenkler, F. Guay | |
| Efficient parameter estimation for multivariate jump-diffusions | |
| C1802: G. Roussellet, A. Monfort, J.-P. Renne, F. Pegoraro | |
| Affine modelling of credit risk, pricing of credit events and contagion |
| Session CO417 | Room: Senate |
| Model selection facing shifts | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: David Hendry | Organizer: David Hendry |
| C0427: J.L. Castle, D. Hendry | |
| Robust model selection: A review | |
| C0377: A. Martinez | |
| On the ability to adapt to changes: An assessment of hurricane damage mitigation efforts using forecast uncertainty | |
| C0437: B. Nielsen, S. Johansen | |
| Asymptotic theory of M-estimators for linear regression in time series | |
| C0380: D. Hendry | |
| First-in, first-out: Modelling the UK's CO2 emissions, 1860--2016 |
| Session CO087 | Room: Woburn |
| Multivariate modelling of economic and financial time series | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Alain Hecq | Organizer: Gianluca Cubadda, Alain Hecq |
| C0248: T. van Gemert, L. Lieb | |
| The empirical effects of anticipated and unanticipated government spending shocks in the United States | |
| C0310: T. del Barrio Castro, G. Cubadda, D. Osborn | |
| On cointegration for processes integrated at different frequencies | |
| C1394: A. Hecq | |
| A vector index-augmented heterogeneous autoregressive model for forecasting realized covariance matrices | |
| C1838: J.V. Issler, W. Gaglianone, R. Giacomini, V. Skreta | |
| Incentive-driven inattention |
| Session CO346 | Room: SH349 |
| Non standard inference problems in econometrics | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Lionel Truquet | Organizer: Lionel Truquet |
| C0958: V. Patilea, J. Racine | |
| A simple and practical approach towards testing global restrictions on general functions | |
| C1219: P. Tuvaandorj, S. Auray, N. Lepage-Saucier | |
| Robust inference in differentiated products demand models | |
| C1036: S. Martin, C. Breunig | |
| Response error and transformation models | |
| C1402: C.-A. Liu, X. Zhang | |
| Inference after model averaging in linear regression models |
| Session CG247 | Room: G4 |
| Contributions in volatility modeling | Sunday 17.12.2017 16:35 - 18:15 |
| Chair: Francesco Audrino | Organizer: CFE |
| C1419: A. Shah | |
| Asymmetric and symmetric volatility models for exchange rates in India | |
| C1669: A. Cesa-Bianchi, H. Pesaran, A. Rebucci | |
| Uncertainty and economic activity: Identification through cross-country correlations | |
| C1698: X. Li, J. Davidson | |
| Asymptotic theory of the QMLE of the EGARCH-type models | |
| C1675: T. Morimoto, Y. Kawasaki | |
| Volatility forecasting with empirical similarity: Japanese stock market case |
| Parallel session L: CMStatistics2017 | Monday 18.12.2017 | 08:40 - 10:20 |
| Session EO498 | Room: CLO B01 |
| Recent advances of Bayesian methods for complex data analysis | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Weining Shen | Organizer: Weining Shen |
| E0533: B. Szabo, H. Zanten | |
| On distributed Bayesian computation | |
| E1099: W. Li, P. Fearnhead | |
| Validating approximate Bayesian computation on posterior convergence | |
| E1177: B. Nipoti, I. Pruenster, A. Lijoi, A. Canale | |
| On the Pitman-Yor process with spike and slab prior specification | |
| E1013: Y. Yang, D. Pati, A. Bhattacharya | |
| Frequentist coverage and sup-norm convergence rate in Gaussian process regression |
| Session EO196 | Room: MAL B18 |
| New development in causal inference | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Xavier De Luna | Organizer: Xavier De Luna |
| E0965: E. Persson, X. de Luna, P. Johansson | |
| Tests for the unconfoundedness assumption using quasi-instruments | |
| E1264: B.L. De Stavola, R. Daniel, N. Micali, G. Ploubidis | |
| Multiple questions for multiple mediators | |
| E0902: M. Daniels, J. Roy | |
| Bayesian nonparametric generative models for causal inference with missing at random covariates | |
| E0720: J. Zubizarreta, M. Bennett, D. Hirshberg, J.P. Vielma | |
| New matching methods for causal inference using integer programming |
| Session EO413 | Room: MAL B20 |
| Spatial extremes | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Marco Oesting | Organizer: Marco Oesting |
| E0814: S. Engelke, T. Opitz, J. Wadsworth | |
| Extremal (in)dependence structures of copulas with multiplicative constructions | |
| E1150: E. Koch, C. Dombry, C.Y. Robert | |
| A central limit theorem for functions of stationary max-stable processes on $\mathbb{R}^d$ | |
| E1132: C. Dombry, O.Z.W. Ho | |
| Multivariate regular variations and the Husler-Reiss Pareto model | |
| E0710: K. Strokorb, M. Oesting | |
| Efficient simulation of Brown-Resnick processes by means of locally equivalent log-Gaussian representations |
| Session EO657 | Room: MAL B30 |
| Functional data analysis, methods and applications | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Donatello Telesca | Organizer: Donatello Telesca |
| E0307: D. Senturk, A. Scheffler, D. Telesca, Q. Li, C. Sugar, C. DiStefano, S. Jeste | |
| Hybrid principal components analysis for region-referenced longitudinal functional EEG data | |
| E0648: D. Gervini | |
| Multiplicative component models for replicated point processes | |
| E0655: J.Q. Shi | |
| A robust t-process regression model with independent errors | |
| E0676: V. Vitelli | |
| Joint sparse curves clustering and alignment |
| Session EO144 | Room: MAL B35 |
| Statistics in neuroscience | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Jeff Goldsmith | Organizer: Jeff Goldsmith |
| E0313: R. Shinohara | |
| Inter-modal coupling changes through development and in neuropathology | |
| E0849: J. Goldsmith, D. Backenroth, M. Harran, J. Cortes, J. Krakauer, T. Kitago | |
| Modeling motor learning using heteroskedastic functional principal components analysis | |
| E1406: H. Ombao, A. Althobaiti | |
| Spectral causality: Exploring lead-lag dependence structure between oscillatory activities in multivariate signals | |
| E1496: T. Nichols | |
| Challenges and opportunities in population neuroimaging |
| Session EO248 | Room: Woburn |
| Statistical methods for business and finance | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Tim Verdonck | Organizer: Tim Verdonck |
| E1340: K. Bastiaensen | |
| Monetary policy transmission under changing heterogeneous population | |
| E0389: S. Hoeppner, E. Stripling, B. Baesens, S. vanden Broucke, T. Verdonck | |
| Profit driven decision trees for churn prediction | |
| E0453: S. Serneels, T. Verdonck, S. Hoppner | |
| Cellwise robust M estimation based on sparse outlyingness | |
| E0820: D. Cornilly, K. Boudt, T. Verdonck | |
| Shrinkage approaches for the estimation of higher order comoments |
| Session EO528 | Room: MAL 402 |
| Sufficient dimension reduction and inverse regression | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Xin Zhang | Organizer: Xin Zhang |
| E0503: Y. Dong | |
| Model-free variable selection for the regression mean | |
| E1334: B. Li | |
| Copula Gaussian graphical models for functional data | |
| E1407: E. Slate, J. Geng | |
| Biomarker discovery in heterogeneous populations |
| Session EO378 | Room: MAL 414 |
| Advanced methods in Biostatistics | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Yuko Araki | Organizer: Yuko Araki |
| E1216: Y. Araki | |
| Functional path analysis with composite basis expansions | |
| E0936: C. Happ, S. Greven | |
| Identifiability and multicollinearity in scalar-on-functions regression | |
| E0661: S. Hattori | |
| Time-dependent summary receiver operating characteristics for meta-analysis of prognostic studies | |
| E0914: K. Hirose, Y. Terada | |
| Estimation of well-clustered structure via penalized maximum likelihood method in factor analysis model |
| Session EO629 | Room: MAL 415 |
| Recent developments in hypothesis testing for high dimensional data | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Ping-Shou Zhong | Organizer: Ping-Shou Zhong |
| E1423: P.-S. Zhong, H. Wang, Y. Cui | |
| Tests for coefficients in high dimensional heteroscedastic linear models | |
| E1427: K. Liang | |
| Detecting adverse drug reactions from pharmacovigilance databases | |
| E1448: A. Touloumis | |
| Dependence tests in high-dimensional settings under a Kronecker product covariance decomposition | |
| E1456: A. Solari, J. Hemerik, J. Goeman | |
| Simultaneous confidence bounds for the false discovery proportion: A permutation approach |
| Session EO168 | Room: MAL 416 |
| Discrete-valued processes and dynamic networks | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Carsten Jentsch | Organizer: Carsten Jentsch |
| E0477: J. Krampe | |
| Time series modeling on dynamic networks | |
| E0463: A. Kreiss, E. Mammen, W. Polonik | |
| Nonparametric inference for continuous-time event counting and link-based dynamic network models | |
| E1145: L. Reichmann, C. Jentsch | |
| Generalized binary time series models | |
| E1001: C. Jentsch, L. Reichmann, S.T. Hossain | |
| Modeling and prediction of dynamic networks using binary autoregressive time series processes |
| Session EO330 | Room: MAL 421 |
| Advances in robust statistical learning | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Mihye Ahn | Organizer: Guan Yu, Yufeng Liu |
| E0325: G. Li, I. Gaynanova | |
| A general framework for association analysis of heterogeneous data | |
| E0372: M. Markatou | |
| Discrete smoothing kernels | |
| E0326: D. Zeng, Y. Wang, X. Zhou | |
| Multicategory classification via forward-backward support vector machine | |
| E0741: M. Ahn | |
| Spatially weighted reduced-rank framework for functional MRI data |
| Session EO433 | Room: MAL 532 |
| Statistical challenges for spatial epidemiological data | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Veronica Berrocal | Organizer: Veronica Berrocal, Andrew Lawson |
| E1244: A. Biggeri | |
| Uncertainty in pollutant concentration surface under preferential sampling | |
| E0715: C. Calder, C. Browning | |
| Latent space models for ecological networks | |
| E1023: E. Chacon Montalvan | |
| Spatio-temporal models to evaluate the effect of extreme hydro-climatic events on birth wight | |
| E0874: G. Puggioni | |
| Spatiotemporal modeling of vector-borne disease risk |
| Session EO437 | Room: MAL 538 |
| Bayesian models for clustering | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Maria De Iorio | Organizer: Alessandra Guglielmi |
| E1047: R. Argiento | |
| Bayesian nonparametric covariate-driven clustering: An application to blood donors data | |
| E1018: A. Cremaschi, R. Argiento | |
| A hierarchical nonparametric approach for robust graphical modelling | |
| E1080: R. Loschi, J. Alves Ferreira, F. Ruggeri | |
| Bayesian robustness in product partition models | |
| E1157: G. Page, F. Quintana | |
| Accommodating missing covariates via product partition models |
| Session EO306 | Room: MAL 539 |
| Latent variable models with applications | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Sara Taskinen | Organizer: Sara Taskinen |
| E0536: S. Taskinen, F. Hui, J. Niku, D. Warton | |
| Comparing estimation methods for generalized linear latent variable models | |
| E1137: G. Tikhonov, O. Ovaskainen | |
| Making more out of ecological community data: A conceptual framework and its implementation as models and software | |
| E0732: S. Cagnone, S. Bianconcini | |
| Generalized linear latent variable models for the analysis of cognitive functioning over time | |
| E0901: M. Matteucci, S. Mignani | |
| Item response theory model fit assessment via posterior predictive checking: Two case studies |
| Session EO744 | Room: MAL 540 |
| Optimal experimental design for big data problems | Monday 18.12.2017 08:40 - 10:20 |
| Chair: HaiYing Wang | Organizer: Kent Eskridge, HaiYing Wang |
| E1566: B. Parker | |
| Optimal design of experiments for networked data | |
| E1548: C. Tommasi, L. Deldossi | |
| Optimal design theory: A device to select a good sample from big data | |
| E1556: S. Xiong | |
| Orthogonalizing EM: A design-based least squares algorithm | |
| E1866: W. Li | |
| An easy-to-implement variable selection method for models following heredity |
| Session EO597 | Room: MAL 541 |
| New developments in time series analysis | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Stanislav Volgushev | Organizer: Stanislav Volgushev |
| E0399: N. Zou, D. Politis | |
| Bootstrap seasonal unit root test under seasonal heterogeneity | |
| E1037: T. Kley, P. Fryzlewicz | |
| Sequential detection of trend changes in irregularly observed panel data | |
| E1343: X. Zhang, G. Cheng | |
| Gaussian approximation for high dimensional vector under physical dependence | |
| E1485: S. Sengupta, X. Shao, S. Volgushev | |
| Two novel resampling strategies for dependent data |
| Session EC693 | Room: MAL 153 |
| Contributions in statistical modelling II | Monday 18.12.2017 08:40 - 10:20 |
| Chair: George Tzougas | Organizer: CMStatistics |
| E1678: J. Ferreira, A. Bekker | |
| Bivariate power- and envelope distributions originating from the elliptical class | |
| E1554: G. Tzougas, J.M. Lim, W.L. Hoon | |
| The negative binomial inverse Gaussian regression model with an application to insurance ratemaking | |
| E1331: C. Unal, C. Kadilar | |
| A new family of estimators for the population mean using exponential functions in simple random sampling | |
| E0521: A. Muhammad, S.H. Bhatti | |
| Exploring the possibility of non-parametric estimation in the first stage of IV2SLS estimation |
| Session EG010 | Room: MAL 151 |
| Contributions in copulas | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Enrique de Amo | Organizer: CMStatistics |
| E1466: A. Bere | |
| Evaluating the power and significance levels of tests of copula symmetry | |
| E0202: T. Coolen-Maturi | |
| Predictive inference for bivariate data using nonparametric copula | |
| E1364: E. de Amo, J. Fernandez Sanchez, M. Ubeda Flores | |
| Sklar's theorem and extension of copulas | |
| E1746: P. Wiemann | |
| Bayesian structured additive distribution regression with non-random sample selection |
| Session EG718 | Room: MAL 152 |
| Contributions in clustering | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Christian Hennig | Organizer: CMStatistics |
| E1529: M. G M S Cardoso | |
| Clustering aggregated data: The use of distances on distribution laws | |
| E1717: J. Strandberg, K. Abramowicz, L. Schelin, S. Sjostedt-de Luna | |
| Multi-resolution clustering of time dependentfunctional data with applications to climatereconstruction | |
| E1715: M. Takagishi, H. Yadohisa | |
| Visualization of clustering on multiple data | |
| E1425: N. Crato, P. Poncela, J. Caiado | |
| A clustering procedure for studying financial integration with big data time series |
| Parallel session L: CFE2017 | Monday 18.12.2017 | 08:40 - 10:20 |
| Session CO467 | Room: Chancellor's Hall |
| Machine learning techniques for time series forecasting | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Lyudmila Grigoryeva | Organizer: Lyudmila Grigoryeva |
| C1512: S. Chretien | |
| Adaptive online model selection for linear and non-linear AR | |
| C1823: M. Binkowski | |
| Neural networks for asynchronous time series | |
| C1594: G. Anderson, A. Audzeyeva | |
| Predicting emerging market sovereign credit spreads with machine learning/data science techniques | |
| C1572: B. Veliyev, A. Kock, D. Preinerstorfer | |
| Welfare maximizing dynamic treatment allocation and recommendation |
| Session CO732 | Room: Court |
| Time series copula modelling | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Michael Smith | Organizer: Michael Smith, Richard Gerlach |
| C1302: R. Gerlach | |
| Inversion copulas for realized GARCH models | |
| C1301: O. Karagedikli, S. Vahey, L. Wakerly | |
| Bernanke vs Taylor: US monetary policy rules with non-Gaussian marginal distributions | |
| C1282: M. Smith | |
| Real-time macroeconomic forecasting with a heteroskedastic inversion copula |
| Session CO194 | Room: G11 |
| Cyclical properties of financial and economic data | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Jozef Barunik | Organizer: Jozef Barunik |
| C0809: G. Xyngis | |
| Low-frequency macroeconomic risks and asset prices: A critical appraisal of Epstein-Zin preferences | |
| C0424: B. Gehrke, F. Yao | |
| On the importance of supply shocks for real exchange rates: A fresh view from the frequency-domain | |
| C0511: M. Ellington | |
| On simple sum monetary statistics | |
| C0977: L. Hanus, L. Vacha | |
| Frequency response analysis of monetary policy transmission |
| Session CO079 | Room: G5 |
| New developments in macro and financial econometrics | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Claudio Morana | Organizer: Claudio Morana |
| C1816: A. Canepa | |
| Time varying persistence in GARCH-in-mean models with time-dependent coefficients | |
| C1400: F. Menla Ali | |
| Financial crises and the dynamic linkages between stock and bond returns | |
| C1435: M. Karanasos, A. Paraskevopoulos | |
| On a number of time series econometric issues of some importance | |
| C0206: C. Morana | |
| Semiparametric estimation of multivariate GARCH models |
| Session CO120 | Room: Jessel |
| Spatial econometric modelling | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Maria Kyriacou | Organizer: Zudi Lu, Maria Kyriacou |
| C0859: A. Kourtellos, A. Konstantinidi, Y. Sun | |
| Threshold regression with social interactions | |
| C1143: M. Kyriacou, Z. Lu, P.C. Phillips | |
| Spatial heterogenous autoregression with varying-coefficient covariate effects | |
| C1164: Z. Lu, D. Alsulami, Z. Jiang, J. Zhu | |
| On a data-driven semiparametric nonlinear model with penalized spatio-temporal lag interactions | |
| C1290: F. Martellosio | |
| Adjusted maximum likelihood inference for spatial panel data models |
| Session CO545 | Room: Montague |
| Financial econometrics | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Wei Wei | Organizer: Wenying Yao |
| C0972: P. Exterkate, O. Knapik | |
| A regime-switching stochastic volatility model for forecasting electricity prices | |
| C1299: S. Jurkatis | |
| A noise-robust trade classification algorithm | |
| C1218: D. Osterrieder, B. Eraker, I. Shaliastovich | |
| Market maker inventory, bid/ask spreads, and the computation of option implied risk measures | |
| C0915: W. Wei, A. Lunde | |
| Identifying uncertainties from multiple factors: A study on electricity price |
| Session CO312 | Room: Senate |
| Recent advance for non-linear time series | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Weining Wang | Organizer: Weining Wang |
| C0302: J. Chen, D. Li, O. Linton, Z. Lu | |
| Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear DynamicTime Series | |
| C1149: T. Kitagawa, E. Bacchiocchi | |
| SVARs with breaks: Identification and inference | |
| C0823: C. Breunig | |
| Varying random coefficient models | |
| C0290: D. Li, P. Robinson, H.L. Shang | |
| Long-range dependent curve time series |
| Session CO655 | Room: SH349 |
| Design of real-time filters for economic monitoring and financial trading | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Marc Wildi | Organizer: Marc Wildi |
| C0490: S. van Norden, M. Wildi | |
| Basel III and the prediction of financial crises | |
| C0799: T. McElroy, M. Wildi | |
| Real-time signal extraction of vector time series via multivariate direct filter analysis | |
| C0567: J. Osterrieder | |
| Momentum and trend-following: Combining academia and industry | |
| C0594: M. Wildi | |
| Customized signal extraction: An application to FX-trading |
| Session CG088 | Room: Bloomsbury |
| Contributions in multivariate modelling of time series | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Alain Hecq | Organizer: CFE |
| C0401: M.C. Pham, H. Anderson, H.N. Duong, P. Lajbcygier | |
| Time and the price impact of trades in Australian banking stocks around interest rate announcements | |
| C1755: N. Bouamara, K. Boudt, D. Ardia | |
| Low volatility of alternative UCITS: Fact or fiction | |
| C1712: J. Bruha, M. Andrle | |
| Forecasting and policy analysis with trend-cycle bayesian VARs | |
| C1774: B.A. Eroglu | |
| Wavelet variance ratio test and wavestrapping for the determination of the cointegration rank |
| Session CG078 | Room: G4 |
| Contributions in uncertainty and forecastings in central bank | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Svetlana Makarova | Organizer: CFE |
| C1418: L.J. Alvarez, I. Sanchez | |
| A suite of inflation forecasting models | |
| C1522: R.B. Carmona Benitez, M.R. Nieto Delfin | |
| Measuring the productivity and the efficiency of the Mexican Central Bank | |
| C1609: L. Rompolis | |
| The effectiveness of unconventional monetary policiy on risk aversion and uncertainty |
| Session CG339 | Room: Gordon |
| Contributions in empirical macroeconomics | Monday 18.12.2017 08:40 - 10:20 |
| Chair: Jonas Dovern | Organizer: CFE |
| C0215: S. Mouabbi, J.-G. Sahuc | |
| Evaluating the macroeconomic effects of the ECBs unconventional monetary policies | |
| C1546: A. Schloesser, J. Prueser | |
| The effects of economic policy uncertainty on European economies: Evidence from a TVP-FAVAR | |
| C1650: H. Morita | |
| Empirical analysis on the effect of the fiscal policy in the zero lower bound of nominal short-term interest rate | |
| C0478: F. Busetti | |
| Low frequency drivers of the real interest rate: A band spectrum regression approach |
| Parallel session M: CMStatistics2017 | Monday 18.12.2017 | 10:50 - 12:55 |
| Session EI009 | Room: Beveridge Hall |
| Recent advances in the design of experiments | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Steven Gilmour | Organizer: Steven Gilmour |
| E0173: D. Woods | |
| Bayesian optimal design of experiments: Review, challenges and examples | |
| E0174: L. Trinca, S. Gilmour | |
| Some advances in designing multi-stratum experiments | |
| E0192: F.K.H. Phoa, C.-Y. Sun, S.-W. Cheng | |
| Geometric orthogonal arrays: Multidimensional space filling property and construction via factor collapse |
| Session EO021 | Room: CLO B01 |
| Modern applications of functional data analysis | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Wenceslao Gonzalez-Manteiga | Organizer: Ana-Maria Staicu |
| E1178: T. Garcia, K. Marder, Y. Wang | |
| Time-varying proportional odds model for mega-analysis of clustered event times with functional covariates | |
| E0912: D. Jones, S. Ghosh, A.-M. Staicu, A. Mahabal | |
| Constructing probabilistic templates for astronomical lightcurves | |
| E1074: X. Zhang, R. Wong | |
| Operator-regularized covariance function estimation for functional data |
| Session EO686 | Room: MAL B20 |
| Stochastic processes and extremes | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Simone Padoan | Organizer: Simone Padoan |
| E0260: M. Thomas, H. Rootzen | |
| Predicting extreme influenza epidemics | |
| E1184: A. Khorrami Chokami, M. Falk, S. Padoan | |
| Some results on joint record events | |
| E0768: F. Laurini | |
| The extremal index for IGARCH(p,q) processes with skewed innovations | |
| E0652: L. Mhalla, V. Chavez-Demoulin, T. Opitz | |
| Exceedance-based nonlinear regression of residual dependence in extremes | |
| E1257: H. Rootzen, D. Zholud | |
| Human life is unlimited -- but short |
| Session EO431 | Room: MAL B30 |
| Advances in statistical analysis of complex functional data | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Jian Qing Shi | Organizer: Jian Qing Shi |
| E1104: S. Alghamdi, S. Ray | |
| Analysis of spatially correlated functional data objects | |
| E0707: E. Arnone, L. Azzimonti, F. Nobile, L. Sangalli | |
| A time-dependent PDE regularization to model functional data defined over spatio-temporal domains | |
| E0839: E. Konzen, J.Q. Shi | |
| Modelling covariance structure of multi-dimensional function-valued processes using convolved Gaussian processes | |
| E0838: D. Pigoli | |
| Functional data in forensic entomology: Estimation of temperature dependent growth processes | |
| E1665: R. Talska, A. Menafoglio, K. Hron | |
| Effects of changing the reference measure in statistical processing of density functions |
| Session EO146 | Room: MAL B35 |
| Recent development in neuroimaging research | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Tingting Zhang | Organizer: Tingting Zhang |
| E0177: P. Zeidman, K. Friston | |
| Recent developments in Bayesian modelling of brain dynamics | |
| E0207: T. Zhang | |
| Bayesian inference of the brain's effective connectivity | |
| E0613: J. Aston, E. Lila | |
| Geometry and registration in functional neuroimaging studies | |
| E0618: J. Peng | |
| White matter fiber estimation, smoothing and tracking | |
| E1256: J. Rodu | |
| Calcium imaging: State-of-the-art and future challenges |
| Session EO140 | Room: Bloomsbury |
| Statistical inference using electronic health records | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Michael Daniels | Organizer: Michael Daniels |
| E0230: M. Yu | |
| Statistical modeling for heterogeneous populations with application to hospital admission prediction | |
| E0421: J. Haggstrom, C. Ju, R. Wyss, J.M. Franklin, S. Schneeweiss, M. van der Laan | |
| Collaborative-controlled LASSO for constructing propensity score-based estimators in high-dimensional data | |
| E0572: S. Haneuse, S. Peskoe, D. Arterburn, M. Daniels | |
| Adjusting for selection bias due to missing data in EHR-based research | |
| E0745: J. Roy, B. Zeldow | |
| Bayesian functional clustering for laboratory data from electronic medical records | |
| E1738: C. Ogbonnaya, S. Preston, A. Wood, K. Bharath | |
| Classification of heart conditions using functional data analysis |
| Session EO386 | Room: Chancellor's Hall |
| Vast time series analysis and applications | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Clifford Lam | Organizer: Clifford Lam |
| E0470: P. Fryzlewicz, M. Barigozzi, H. Cho | |
| Simultaneous multiple change-point and factor analysis for high-dimensional time series | |
| E0995: M. Knight, R. Killick, G. Nason, I. Eckley | |
| The local partial autocorrelation function and its application to forecasting | |
| E0781: H. Maeng, P. Fryzlewicz | |
| Regularised forecasting via smooth-rough partitioning of the regression coefficients | |
| E0589: C. Qian, C. Lam | |
| Spatial lag model with time-lagged effects and spatial weight matrix estimation |
| Session EO640 | Room: Court |
| Advances in theory and modeling of spatial and spatio-temporal data | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Chae Young Lim | Organizer: Chae Young Lim |
| E0351: Z. Mullen, W. Kleiber | |
| Score function approximation for Gaussian processes using equivalent kernels | |
| E0552: J. Du | |
| Isotropic variogram models on all spheres | |
| E0917: A. Bhattacharjee | |
| Variable selection with spatially autoregressive errors: A generalized moments LASSO Estimator | |
| E0808: W.-Y. Wu | |
| Tail estimation for the cross-spectral density of a bivariate stationary Gaussian random field |
| Session EO057 | Room: G11 |
| Statistical analysis of complex data | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Antonio Cuevas | Organizer: Xinyuan Song |
| E0418: T.F. Schaffland, A. Kelava, M. Kohler, A. Krzyzak | |
| Nonparametric estimation of a latent variable model - a new approach | |
| E0542: X. Wang, X. Feng, X. Song | |
| Bayesian two-level model for partially ordered repeated responses | |
| E0636: S. Dai | |
| Consistent test on semiparametric functional coefficient models with integrated covariates | |
| E0779: Q. Yang, X. Song | |
| Bayesian quantile scale on image regression | |
| E1460: W. Liu | |
| Robust inference for subgroup analysis with general transformation models |
| Session EO409 | Room: G3 |
| Scalable methods for complex data | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Po-Ling Loh | Organizer: Po-Ling Loh |
| E1342: S. Negahban | |
| On approximation guarantees for greedy low rank optimization | |
| E1381: G. Raskutti | |
| High-dimensional classification with positive and unlabeled data | |
| E1772: J. Lederer | |
| A general framework for uncovering dependence networks | |
| E1776: V. Rockova, S. van der pas | |
| Posterior concentration for Bayesian regression trees and their ensembles | |
| E1510: J.-M. Poggi, R. Genuer, N. Villa-Vialaneix, C. Tuleau-Malot | |
| Random forests for big data |
| Session EO128 | Room: G4 |
| Advances in survival and reliability | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Juan Eloy Ruiz-Castro | Organizer: Mariangela Zenga, Juan Eloy Ruiz-Castro |
| E0286: J. Antoch | |
| Statistical testing of availability for mining technological systems | |
| E0317: M. Dawabsha, J.E. Ruiz-Castro | |
| Modeling a complex multi-state warm standby system with loss of units through a D-MMAP | |
| E0493: M. Restaino, H. Dai, H. Wang | |
| Non-parametric estimators for estimating bivariate survival function under randomly censored and truncated data | |
| E1405: M. Zenga, M. Mazzoleni | |
| Joint models for survival and multivariate longitudinal data | |
| E1462: L. Doyen, R. Drouilhet | |
| A generic framework for recurrent event data based on virtual age models and implemented in the R package VAM |
| Session EO170 | Room: Gordon |
| Non/semi parametric methods for statistical learning | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Wei Qian | Organizer: Xiangrong Yin |
| E1003: S. Ding, Z. Su, G. Zhu, L. Wang | |
| Envelope quantile regression | |
| E1170: Y. She | |
| An inherent clustering paradigm for supervised and unsupervised learning | |
| E1084: J. Wang | |
| Free-knot splines for generalized linear models | |
| E1341: W. Luo, B. Li | |
| On order determination using augmentation predictor |
| Session EO218 | Room: Jessel |
| Recent development in statistical learning and modeling of complex data | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Yanqing Sun | Organizer: Yanqing Sun |
| E1486: Y. Sun, L. Qi, P. Gilbert | |
| A hybrid method for the stratified mark-specific proportional hazards models with missing data with applications | |
| E1653: K.C.G. Chan, M.-C. Wang | |
| Semiparametric modeling and estimation of the terminal behavior of recurrent marker processes before failure events | |
| E1356: Y. Sun, M.-C. Wang | |
| Dynamic risk prediction with rank-based survival trees | |
| E0563: P. Gilbert, B. Price, M. van der Laan | |
| Estimation of the optimal surrogate endpoint based on a randomized trial | |
| E1438: O. Oyebamiji, D. Wilkinson | |
| A surrogate-based approach to modelling the impact of hydrodynamic shear stress on biofilm deformation |
| Session EO653 | Room: Montague |
| Analysis of incomplete data | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Shaun Seaman | Organizer: Shaun Seaman |
| E0212: S. Seaman, R. Hughes | |
| Relative efficiency of joint-model and full-conditional-specification multiple imputation when models are compatible | |
| E0276: T. Morris | |
| Multiple imputation and multivariable model building | |
| E1212: W. Jiang, J. Josse, E. Scornet | |
| Logistic regression with missing continuous and categorical data | |
| E1144: C. Leyrat, J. Carpenter, E. Williamson | |
| Propensity score analysis with partially observed confounders: Multiple imputation and the missingness pattern approach | |
| E1108: D. Tompsett | |
| The not at random fully conditional specification procedure |
| Session EO455 | Room: Senate |
| Recent developments on program evaluation methods | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Sebastian Calonico | Organizer: Sebastian Calonico |
| E1197: M. Bertanha | |
| Regression discontinuity with many thresholds | |
| E1229: S. Calonico, Y.-Y. Lee, W. Ao | |
| Multivalued treatments and decomposition analysis: An application to the WIA program | |
| E1117: X. Ma, M. Cattaneo, M. Jansson | |
| Two-step estimation and inference with possibly many included covariates | |
| E1097: Z. Pei, P. Leung | |
| Schooling and training for unemployed workers |
| Session EO035 | Room: Woburn |
| Statistical network analysis | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Chenlei Leng | Organizer: Chenlei Leng |
| E0857: Y. Feng | |
| Community detection with covariates | |
| E0714: K. Jochmans, M. Weidner | |
| Fixed-effect regressions on network data | |
| E0719: M. Schweinberger, J. Stewart | |
| Consistent maximum likelihood estimation of random graph models with local dependence and growing neighborhoods | |
| E1785: S. Paul, Y. Chen | |
| A random effects stochastic block model for community detection in multiple networks with applications to neuroimaging | |
| E1697: R. Cerqueti | |
| Community structures in (socially) connected systems |
| Session EO390 | Room: SH349 |
| Advanced statistics for understanding the evolution of cancer | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Andrew Roth | Organizer: Wenyi Wang |
| E1235: S. Dentro, D. Wedge, P. Van Loo | |
| Statistical approaches to unravel the life history of cancers | |
| E1285: I. Martincorena | |
| Reliable detection of selection in cancer | |
| E1147: A. Roth, A. Bouchard | |
| PhyClone: A forest structured Chinese restaurant process for inferring tumour phylogenies | |
| E1819: A. Deshwar | |
| Reconstructing cancer phylogenies with a small number of pairwise haplotypes and bulk tumour sequencing data | |
| E1722: E. Duarte, C. Cadarso Suarez, B. de Sousa, G. Marra, R. Radice, V. Rodrigues | |
| Modelling the early menarche and late menopause in breast cancer screening through CGAMLSS models |
| Session EG020 | Room: G21A |
| Contributions in variable selection | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Jan Gertheiss | Organizer: CMStatistics |
| E1476: R. De Bin, A.-L. Boulesteix, W. Sauerbrei | |
| Detection of influential points as a byproduct of resampling-based variable selection procedures | |
| E1840: C. Gatu, G.-E. Pascaru, E. Kontoghiorghes | |
| Combinatorial strategies for greedy regression selection | |
| E0299: M.A. Ibrahim, A. Verhasselt | |
| Variable selection in quantile varying coefficient models with heteroscedastic error | |
| E1654: Y. Ninomiya | |
| Regularization parameter selection for sparse methods via AIC | |
| E1631: S. Kawano, H. Fujisawa, T. Takada, T. Shiroishi | |
| Principal component regression for generalized linear models via L1-type regularization |
| Session EG014 | Room: G5 |
| Contributions in HMM and MCMC | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Robert Kohn | Organizer: CMStatistics |
| E1652: C. Koki, I. Vrontos, L. Meligkotsidou | |
| Bayesian analysis of predictive non-Homogeneous hidden Markov models using Polya-Gamma data augmentation | |
| E0853: K. Martens, M. Titsias, C. Yau | |
| Rejection-free ensemble MCMC with applications to factorial hidden Markov models | |
| E1439: R. Ragas | |
| Estimation of a Poisson autoregressive hidden Markov process with Poisson regression-type measurement errors | |
| E1748: L. Truquet | |
| Markov chains models with time-varying parameters | |
| E1549: M. Rizzo | |
| Evolutionary computation and multiple chains MCMC sampling: An overview |
| Parallel session M: CFE2017 | Monday 18.12.2017 | 10:50 - 12:55 |
| Session CO374 | Room: MAL B18 |
| New development on nonlinear time series and its applications | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Jia Chen | Organizer: Tingting Cheng, Jia Chen |
| C0309: J. Tosasukul | |
| Factor-augmented time series models with functional coefficients | |
| E1843: W. Wang, W.B. Wu, L. Chen | |
| Dynamic semiparametric factor model with structural breaks | |
| C0690: C. Weng | |
| Enhanced Sharpe ratio via eigen portfolios selection | |
| C1849: M.R. Yeganegi, R. Chinipardaz | |
| State space approach to online learning and forecasting in mixture autoregressive model |
| Session CO611 | Room: MAL 414 |
| Quantitative and statistical methods in finance | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Jan Vecer | Organizer: Jan Vecer |
| C1287: N. Packham, F. Woebbeking | |
| A factor-model approach to correlation stress testing | |
| C1502: S. Taylor | |
| Hierarchical clustering of equities with the Fischer information metric | |
| C1803: J. Vecer | |
| Performance of volatility maximization strategies | |
| C1825: T. Ichiba | |
| Detecting mean-field in a financial network model | |
| C1613: J. Tyrcha, T. Bodnar, S. Mazur, K. Podgorski | |
| Inference for tangency portfolio weights for small sample and singular covariance matrix |
| Session CO539 | Room: MAL 415 |
| Consumer credit risk | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Tony Bellotti | Organizer: Tony Bellotti |
| C0789: T. Fitzpatrick | |
| Profit scoring in peer to peer lending | |
| C0881: Y. Li, N. Adams, T. Bellotti | |
| Clustering methods for consumer credit risk modelling | |
| C1361: B. Baesens | |
| Social networks analytics using GOTCHA: Theory and applications | |
| C0867: M. Kesina, R. Calabrese | |
| A binary spatial autoregressive sample selection approach for modeling access to finance for UK SMEs | |
| C1832: J. Crook, V. Djeundje | |
| Incorporating heterogeneity and macroeconomic variables into multistate delinquency models for credit cards |
| Session CO324 | Room: MAL 416 |
| Macroeconometrics | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Toshiaki Watanabe | Organizer: Toshiaki Watanabe |
| C0272: R. Strachan, J. Chan, E. Eisenstat | |
| Reducing dimensions in a large TVP-SVAR | |
| C0474: J. Nakajima, T. Fueki, H. Higashi, N. Higashio, S. Ohyama, Y. Tamanyu | |
| Identifying oil price shocks and their consequences: Role of expectations and financial factors in the crude oil market | |
| C0899: M. Shintani, T. Mukoyama, K. Teramoto | |
| Cyclical part-time employment in an estimated new Keynesian model with search frictions | |
| C0693: E. Shioji | |
| Fiscal confidence shocks and the market for the Japanese government bonds | |
| C0940: Y. Ueno, K. Suganuma | |
| Effects of corporate bond purchases and their transmission mechanism: The case of Japan |
| Session CO274 | Room: MAL 539 |
| Uncertainty in macro-economic nowcasting and forecasting | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Gian Luigi Mazzi | Organizer: Gian Luigi Mazzi |
| C0222: R. Golinelli, J. Easaw, S. Heravi | |
| Inflation forecasts, inattentiveness and uncertainty | |
| C0530: B. Chen | |
| Improving accuracy of early quarterly estimates of GDP components in the U.S. national accounts | |
| C0871: P. Hauber, C. Schumacher | |
| Nowcasting with large, international data sets: On sparse priors | |
| C0211: K. Glass | |
| Predictability of Euro area revisions |
| Session CC711 | Room: MAL 152 |
| Contributions in risk analysis | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Enrico Biffis | Organizer: CFE |
| C1508: M. Pfeuffer | |
| Parameter estimation and bias correction in the Vasicek credit portfolio model | |
| C1550: A. Ristig, O. Okhrin, J. Sheen, S. Trueck | |
| Quantifying effects of extreme events with applications to financial crises | |
| C0180: E. Iglesias, C. Dahl | |
| The tail behaviour due to the risk premium in AR-GARCH-in-mean, GARCH-AR and double-autoregressive-in-mean models | |
| C1559: M. Sahamkhadam, A. Stephan, R. Ostermark | |
| Portfolio optimization based on dynamic factor and dynamic conditional correlation GARCH models | |
| C0204: M. Jahan-Parvar, S. Aramonte | |
| The impact of news on firm-specific risk-neutral higher moments |
| Session CC709 | Room: MAL 402 |
| Contributions in forecasting | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Frederique Bec | Organizer: CFE |
| C0388: G. Creamer, C. Lee | |
| Non-linear causality test based on partial distance correlation: Application to energy futures | |
| C1471: A.J. Sanchez Fuentes, J.J. Perez, E. Yilmaz | |
| Forecasting fiscal aggregates in an emerging market economy: The role of macro variables and fiscal plans | |
| C1797: R. Scheufele, A. Galli, M. Marcellino | |
| Modelling and forecasting Euro area GDP growth using a hierarchical factor model based 3PRF | |
| C1565: J. Prueser | |
| Forecasting US inflation using Markov dimension switching | |
| C1561: Y. Zeng | |
| Exploit market microstructure noise in volatility forecasting |
| Session CC712 | Room: MAL 421 |
| Contributions in applied econometrics | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Thomas Beissinger | Organizer: CFE |
| C1835: M. Marczak, T. Beissinger | |
| Reassessing competitiveness at the sectoral level: A new unit labor cost indicator based on value-added chains | |
| C1503: B. Sy, S.J. Villejo | |
| An analysis of ASEANs logistics performance and its impact on regional trade: An extended gravity model approach | |
| C1781: M. Ben Salem, C. Zaki | |
| Revisiting the impact of trade openness on informal and irregular employment in Egypt | |
| E1721: J. Leite, J.C. Dias, J.P. Nunes | |
| Computation of three discrete mixtures of continuous distributions: Stability analysis | |
| C1590: R. Lacaza, S.J. Villejo | |
| Dynamics of foreign direct investment in ASEAN-5: A vector autoregressive analysis |
| Session CC706 | Room: MAL 538 |
| Contributions in financial econometrics II | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Arvid Raknerud | Organizer: CFE |
| C0356: R. Mestre, M. Terraza | |
| Multidimensional time-frequency analysis of the CAPM | |
| C0582: C.-C. Wu, C.-C. Wu | |
| The asymmetry in carry trade and the U.S. dollar | |
| C1527: S. Borodachev | |
| Monthly forecasting of the dollar to the ruble exchange rate. Adaptive Kalman filter | |
| C1718: A. Raknerud, B.H. Vatne, P. Mizen | |
| Modeling interest rate pass through with heterogeneous bank loans | |
| C1848: S. Mukhoti, P. Ranjan | |
| On lead-lag correlations in stochastic volatility models with jump |
| Session CC714 | Room: MAL 540 |
| Contributions in financial applications | Monday 18.12.2017 10:50 - 12:55 |
| Chair: William Dunsmuir | Organizer: CFE |
| C1443: C.D. Kim | |
| Evaluation and analysis of the value of German real estate following the financial crisis of 2007 | |
| C1564: G. Nguyen, D. Ardia, K. Boudt, S. Hartmann | |
| Properties of the Margrabe best-of-two strategy to tactical asset allocation | |
| C1747: H. Yener | |
| Anatomy of the Eurozone crisis: A survival approach | |
| C1688: T. Isogai | |
| Dynamic correlation network analysis of financial asset returns with network clustering | |
| C0279: A. Monteiro, A. Santos | |
| Hypergeometric functionals and kernel regression in risk neutral density estimation |
| Session CG113 | Room: MAL 151 |
| Contributions in portfolio optimization | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Nikolas Topaloglou | Organizer: CFE |
| C1568: F. Severino, F. Ortu, C. Tebaldi, D. Di Virgilio | |
| Optimal asset allocation with heterogeneous persistence of shocks | |
| C0520: S. Anyfantaki, N. Topaloglou, S. Arvanitis | |
| Stochastic spanning and investment opportunities | |
| C1716: C. Keribin, T. Prochwicz | |
| Aggregating strategies for online portfolio optimization | |
| C1545: A. Stephan, M. Sahamkhadam, A. Stephan, R. Ostermark | |
| Portfolio optimization based on forecasts from vine copula GARCH models using external regressors | |
| C1497: S. Aldahmani, H. Dai, Q. Zhang | |
| Hybrid graphical least square estimation and its application in portfolio selection |
| Session CG482 | Room: MAL 153 |
| Contributions in monetary policy | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Matteo Ciccarelli | Organizer: CFE |
| C1467: S. Jiang | |
| Financial crises and optimal unconventional policies in international business cycles | |
| C0242: D. Koursaros, C. Savva, N. Michail, N. Papadopoulou | |
| To create or redistribute: That is the question | |
| E1692: H. Rohloff, H. Herwartz, S. Maxand | |
| Revisiting the monetary policy asset price nexus by means of a novel statistical identification approach | |
| C1547: A. Schnuecker, G. von Schweinitz | |
| International monetary policy transmission | |
| C0510: B. van Roye, A. Dieppe, P. Bonomolo | |
| Re-assessing monetary policy shocks in China |
| Session CG070 | Room: MAL 532 |
| Contributions in copulas | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Richard Gerlach | Organizer: CFE |
| C1421: J. Ascorbebeitia, E. Ferreira, S. Orbe | |
| Testing for conditional dependence between domestic indexes using nonparametric copulas | |
| C1758: E. Hoeg, T. Christensen, A. Pircalabu | |
| Copulas for multivariate time series modelling of tail dependence in wind power markets | |
| C1684: E. Rroji, F. Bellini, L. Mercuri | |
| Modeling the dependence structure of VIX and SP500 | |
| C1519: B. Tavin | |
| Measuring exposure to dependence risk with random Bernstein copula scenarios | |
| C1318: F. Stark, D. Wied, H. Manner | |
| Testing for structural breaks in factor copula models |
| Session CG243 | Room: MAL 541 |
| Contributions in high frequency financial modelling | Monday 18.12.2017 10:50 - 12:55 |
| Chair: Eduardo Rossi | Organizer: CFE |
| C1670: A. Kolokolov, D. Pirino, G. Livieri | |
| Statistical inference for price sluggishness | |
| C1743: E. Rossi, P. Santucci de Magistris | |
| Models for high-frequency trading volume data | |
| C1599: V. Selezneva, S. Anatolyev, S. Seleznev | |
| Overpersistence of oversupply: Measuring perceived persistence of oil shocks | |
| C1767: M. Smid | |
| Estimation of zero intelligence models by L1 data |
| Parallel session O: CMStatistics2017 | Monday 18.12.2017 | 15:25 - 16:40 |
| Session EO047 | Room: Bloomsbury |
| Modern statistical methods for biomedical and correlated data | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Zhiwei Zhang | Organizer: Shujie Ma |
| E0669: Z. Zhang, S. Ma, L. Nie, G. Soon | |
| A quantitative concordance measure for comparing and combining treatment selection markers | |
| E1106: Y. Zhao, S. Ding, I. Van Keilegom, Z. Su | |
| Envelopes for censored quantile regression | |
| E1359: Y. Tu | |
| Hermite polynomial estimation of index models after a nonparametric transformation |
| Session EO451 | Room: Chancellor's Hall |
| Bayesian model selection in nonparametric problems | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Anirban Bhattacharya | Organizer: Anirban Bhattacharya |
| E1024: A. Bhattacharya | |
| Scalable computation with shrinkage priors | |
| E1035: D. Pati, A. Bhattacharya, J. Geng | |
| Community detection and goodness of fit tests in random graph models: a probabilistic approach | |
| E1453: J. Datta, N. Polson, A. Bhadra, B.T. Willard | |
| Horseshoe regularization for feature subset selection |
| Session EO727 | Room: Court |
| Statistics for large, spatial datasets: Atmospheric science applications | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Veronica Berrocal | Organizer: Veronica Berrocal, Andrew Lawson |
| E0383: V. Berrocal | |
| Modeling non-stationarity via multi-resolution basis functions and mixture priors | |
| E0373: M. Heaton | |
| Physically constrained spatiotemporal kriging of remotely sensed land surface temperature | |
| E1070: D. Hammerling | |
| Compression and conditional emulation of climate model outputs |
| Session EO645 | Room: G11 |
| Computational intensive applications in biostatics and DNA evidence | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Joseph Gastwirth | Organizer: Joseph Gastwirth |
| E1222: T. Graversen | |
| Pushing the boundaries for forensic DNA interpretation | |
| E1347: J. de Zoete | |
| A new approximate method for Y-STR haplotype probability assignment | |
| E1780: N. Fenton | |
| The benefits and pitfalls of Bayes in forensic analysis |
| Session EO473 | Room: G3 |
| Large-scale data with complex structure | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Yixin Fang | Organizer: Junhui Wang |
| E0228: Y. Wang | |
| Estimation of subject-specific directed acyclic graphs with latent effects for discovering causal dependence | |
| E0634: A. Artemiou, S.J. Shin, Y. Dong | |
| A first approach to real time sufficient dimension reduction | |
| E0460: Y. Fang, J. Xu, L. Yang | |
| On scalable inference with stochastic gradient descent |
| Session EO563 | Room: G4 |
| Accelerated life testing | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Maria Kateri | Organizer: Maria Kateri |
| E0519: X. Xu | |
| Optimal designs for multiple-step-stress accelerated life testing experiments when some testing constraints are required | |
| E0631: C. Kohl, M. Kateri | |
| Adaptive step-stress accelerated life testing models | |
| E0717: C. Paroissin, F. Corset, M. Fouladirad | |
| A Cox model for component lifetimes with spatial interactions |
| Session EO172 | Room: Gordon |
| Non-parametric estimation of statistical modeling | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Shanshan Ding | Organizer: Xiangrong Yin, Qingcong Yuan |
| E1065: W. Qian, Y. Yang | |
| Nonparametric estimation in a multi-armed bandit problem with covariates | |
| E1388: N. Lin | |
| A Dirichlet process mixture model for nonparametric Bayesian quantile regression | |
| E1530: M.R. Karim, I. Gijbels, A. Verhasselt | |
| A study on a general family of asymmetric distributions |
| Session EO063 | Room: Jessel |
| Order restrictions | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Satya Prakash Singh | Organizer: CMStatistics |
| E0298: S. Prakash Singh, O. Davidov | |
| Some issues in the design of experiments with ordered experimental treatments | |
| E1600: Y. Larriba, C. Rueda, M. Fernandez | |
| Order-restricted inference in chronobiology | |
| E1649: V. Pastukhov, D. Anevski | |
| The asymptotic distribution of the isotonic regression estimator over a general countable pre-ordered set |
| Session EO250 | Room: Montague |
| High-dimensional/functional data analysis with biological applications | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Juhyun Park | Organizer: Juhyun Park |
| E1078: F. Dondelinger | |
| A Bayesian model for drug response estimation and biomarker testing using Gaussian processes | |
| E0740: A. Gegout-Petit, S. Li | |
| ABC inference for a spatio-temporal autologistic model | |
| E0822: Y. Rozenholc, F. Liu, C.A. Cuenod | |
| Hierarchical functional clustering using equivalence test with application to perfusion imaging |
| Session EO725 | Room: Senate |
| Robust methods for complex data | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Ana Belen Ramos-Guajardo | Organizer: Ana Belen Ramos-Guajardo |
| E0462: P. Grzegorzewski | |
| Two-sample dispersion tests for interval-valued data | |
| E0935: A.B. Ramos-Guajardo, M.B. Ferraro | |
| Generalization of the Mahalanobis distance for fuzzy data: An application to robust fuzzy clustering | |
| E1597: R. Azais, A. Genadot, B. Henry | |
| Estimation of the relative scale of trees from their Harris path |
| Session EO463 | Room: Woburn |
| Quantile estimation and regression | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Anneleen Verhasselt | Organizer: Anneleen Verhasselt |
| E0416: A. El Ghouch, I. Van Keilegom, M. De Backer | |
| An adapted loss function for censored quantile regression | |
| E0452: I. Gijbels | |
| Quantile regression estimation in varying coefficient models | |
| E0483: A. Verhasselt, I. Gijbels, M.A. Ibrahim | |
| Testing in heteroscedastic quantile varying coefficient models |
| Session EO465 | Room: SH349 |
| Clustering/classification and mixtures II | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Geoffrey McLachlan | Organizer: Geoffrey McLachlan |
| E0777: A. Montanari, F. Fortunato, L. Anderlucci | |
| Random projection ensemble clustering | |
| E0350: C. Hennig, W. Sauerbrei | |
| Exploration of the variability of variable selection based on distances between bootstrap sample results | |
| E0425: K.-A. Do, V. Baladandayuthapani, M.J. Ha | |
| Personalized cancer-specific integrated network estimation |
| Session EC702 | Room: G5 |
| Contributions to extreme value theory and applications | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Marie Kratz | Organizer: CMStatistics |
| E0283: I. Gomes, F. Caeiro, M. Neves, H. Penalva | |
| Generalized means in statistical extreme value theory | |
| E1695: J.L. Romero, J.M. Angulo | |
| Asymptotic error bound approximation of threshold exceedance probabilities for non-stationary random fields | |
| E1543: A. Krutto, T. Kollo | |
| Consistent asymptotically normal estimators for stable distributions |
| Parallel session O: CFE2017 | Monday 18.12.2017 | 15:25 - 16:40 |
| Session CO595 | Room: MAL B18 |
| Testing semi-nonparametric hypotheses | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Tatiana Komarova | Organizer: Taisuke Otsu |
| C0233: L. Taylor | |
| Nonparametric significance testing in measurement error models | |
| C1246: T. Komarova, J. Hidalgo | |
| A simple test for monotonicity and monotonicity-related properties | |
| C0922: Y. Matsushita, T. Otsu | |
| Jackknife, small bandwidth and high-dimensional asymptotics |
| Session CO664 | Room: MAL B20 |
| Econometrics with mixed frequency and aggregated data | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Michael Thornton | Organizer: Michael Thornton |
| C1051: R. McCrorie | |
| Discretization of the Bergstrom-Nowman macroeconomic model | |
| C0862: M. Thornton | |
| Representations of linear continuous time models with mixed frequency data | |
| C1412: X. Wang, L. Jiang, J. Yu | |
| In-fill asymptotic theory for structural breakpoint in autoregression: A unified theory |
| Session CO676 | Room: MAL B35 |
| Inference in complex dynamic models | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Alessandra Luati | Organizer: Alessandra Luati |
| C1234: M. Freo, F. Crescenzi, A. Luati | |
| Testing the hypothesis of enhanced design in fast fashion industry using internet as a source of data | |
| C1146: M.E. Pasetto, U. Noe, A. Luati, D. Husmeier | |
| Inference in the Duffing system with a sequential ABC-UKF algorithm | |
| C1434: U. Noe, D. Husmeier, M. Filippone, N. Hill, W. Chen | |
| Fast inference in expensive computational models |
| Session CO214 | Room: MAL 402 |
| Management of expectations in turbulent times | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Maritta Paloviita | Organizer: Tomasz Lyziak, Maritta Paloviita |
| C0733: A. Locarno, F. Busetti, D. Delle Monache, G. Andrea | |
| De-anchoring of inflation expectations under learning and heterogeneity | |
| C1685: T. Lyziak, M. Paloviita | |
| Formation of inflation expectations in turbulent times: On ECB expectations' management of professional forecasters | |
| C1793: J. Talmi, M. Ehrmann | |
| Semantic similarity in central bank communication and market volatility |
| Session CO122 | Room: MAL 414 |
| Financial time series modelling | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Zudi Lu | Organizer: Yan Sun, Zudi Lu |
| Session CO118 | Room: MAL 421 |
| Long memory | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Josu Arteche | Organizer: Josu Arteche |
| C0264: P. Sibbertsen, C. Leschinski | |
| Origins of spurious long memory | |
| C0362: J. Arteche | |
| Multiple local Whittle estimation of long memory | |
| C0629: C. Velasco, P. Robinson | |
| Estimation for dynamic panel data with individual effects |
| Session CO481 | Room: MAL 532 |
| Monetary policy and financial conditions | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Luca Benzoni | Organizer: Scott Brave |
| C0718: F. Ferroni | |
| Delphic and Odyssean monetary policy shocks: Evidence from the euro-area | |
| C0397: A. Ajello | |
| Term premium, credit risk premium, and monetary policy | |
| C0269: L. Benzoni, M. Bassetto, T. Serrao | |
| The interplay between financial conditions and monetary policy shocks |
| Session CO192 | Room: MAL 538 |
| Real-time data analysis | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Simon van Norden | Organizer: Jan Jacobs, Simon van Norden |
| C0978: J. Dovern, C. Zuber | |
| The effect of recessions on potential output estimates: Size, timing, and determinants | |
| C0939: T. Boonman, J. Jacobs, G. Kuper, A. Romero | |
| Early warning systems for currency crises with real-time data | |
| C1191: T. Drechsel, I. Petrella, J. Antolin Diaz | |
| Advances in nowcasting economic activity |
| Session CO280 | Room: MAL 539 |
| New challenges for seasonal and calendar adjustment | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Gian Luigi Mazzi | Organizer: Gian Luigi Mazzi |
| C0844: S. Fortier, S. Matthews, Z. Patak | |
| Impact of atypical weather of seasonal adjustment | |
| C0879: E. Infante, G. Scepi | |
| Two-step reconciliation of time series | |
| C0926: D. Ladiray, T. Proietti, G.L. Mazzi | |
| Seasonal adjustment of daily data with JDemetra+: New results |
| Session CO202 | Room: MAL 540 |
| Bayesian nonlinear econometrics | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Roberto Casarin | Organizer: Roberto Casarin |
| C1225: R. Casarin, M. Billio, M. Iacopini | |
| Bayesian Markov switching tensor regression for time-varying networks | |
| C1217: M. Iacopini, R. Casarin, M. Billio | |
| Bayesian dynamic tensor regression | |
| C1228: G. Livieri, R. Casarin, G. Bormetti, F. Corsi | |
| A discrete-time stochastic volatility framework for pricing options with realized measures |
| Session CO647 | Room: MAL 541 |
| Financial econometrics theory, insurance, and risk management | Monday 18.12.2017 15:25 - 16:40 |
| Chair: Debbie Dupuis | Organizer: Zhengjun Zhang |
| C0945: H. Zheng | |
| Valuation of guaranteed unitized participating life insurance under MEGB2 distribution | |
| C0885: C. Wang, H. Wang, Q. Fang | |
| Joint extrapolation forecasting of supply and use tables based on matrix transformation techniques | |
| C0250: F. Pegoraro, C. Jardet, A. Monfort | |
| Scenario response distributions |