KEYNOTE TALKS
| Keynote talk 1 | Friday 14.12.2018 | 09:00 - 09:50 | Room: Auditorium |
| Group transformation models | |||
| Speaker: C. Gourieroux Co-authors: A. Monfort, J.-M. Zakoian | Chair: Manfred Deistler | ||
| Keynote talk 2 | Friday 14.12.2018 | 12:10 - 13:00 | Room: Auditorium |
| Varying-coefficient additive models: Two birds with one stone? | |||
| Speaker: J.-L. Wang Co-authors: X. Zhang | Chair: Ana Colubi | ||
| Keynote talk 3 | Sunday 16.12.2018 | 08:45 - 09:35 | Room: Auditorium |
| The ups and downs of communicating statistics in an age of fragmented media and contested science | |||
| Speaker: D. Spiegelhalter | Chair: Miguel de Carvalho | ||
| Keynote talk 4 | Sunday 16.12.2018 | 12:20 - 13:10 | Room: Auditorium |
| Bayesian nonparametric updating of parametric models with Monte Carlo sampling | |||
| Speaker: C. Holmes | Chair: Michele Guindani | ||
| Keynote talk 5 | Sunday 16.12.2018 | 18:15 - 19:05 | Room: Sala Convegni |
| Regularized estimation of high dimensional auto- and cross-covariance matrices | |||
| Speaker: T. Proietti | Chair: Alessandra Luati | ||
PARALLEL SESSIONS
| Parallel session B: CMStatistics | Friday 14.12.2018 | 10:20 - 12:00 |
| Session EI003 (Special Invited Session) | Room: A0 |
| Advances in robust statistics | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Mia Hubert | Organizer: Marco Riani |
| B0171: P. Rousseeuw, M. Hubert, W. Van den Bossche | |
| MacroPCA: An all-in-one PCA method allowing for missing values as well as cellwise and rowwise outliers | |
| B0172: V. Todorov | |
| Exploring compositional data through monitoring robust estimates and dynamic graphics in R | |
| B0617: M. Riani, A. Atkinson, A. Cerioli, A. Corbellini | |
| The power of monitoring: How to make the most of a contaminated multivariate sample |
| Session EO102 | Room: A1 |
| Spatio-temporal variations in social and epidemiological data | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Veronica Berrocal | Organizer: Veronica Berrocal |
| B0343: T. Smith | |
| A stratified age-period-cohort model for spatial heterogeneity in all-cause mortality | |
| B0514: C. Anderson, N. Dean | |
| Spatial clustering of average risks and risk trends in Bayesian disease mapping | |
| B0745: G. Puggioni | |
| Time-varying step change detection and forecasting in spatio-temporal areal data models |
| Session EO388 | Room: B1 |
| Graphical Markov models I: Multivariate dependence structures | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Monia Lupparelli | Organizer: Monia Lupparelli |
| B0881: A. Roverato, R. Castelo | |
| On the interpretation of path weights in undirected Markov random fields | |
| B0959: W. Bergsma | |
| Regression modelling with I-priors | |
| B1198: M. Kateri | |
| Multivariate dependence structures for ordinal data: A $\phi$-divergence based approach | |
| B0696: C. Tarantola | |
| Some issues on Bayesian analysis of binary bidirected graphs |
| Session EO426 | Room: D1 |
| Instrumental variables: Theory and applications | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Federico Crudu | Organizer: Federico Crudu |
| B0218: F. Crudu | |
| Errors-in-variables models with many proxies | |
| B0285: S. Centorrino, S. Srisuma | |
| Nonparametric instrumental estimation of additive models | |
| B0305: G. Mellace, F. Crudu, Z. Zandor | |
| Inference in instrumental variables models with heteroskedasticity and many instruments |
| Session EO584 | Room: E1 |
| Statistical models and inference with network data | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Donglin Zeng | Organizer: Donglin Zeng |
| B0316: Y. Wang | |
| Estimating heterogeneous biomarker networks and effects on disease outcomes | |
| B0317: D. Zeng, Y. Wang | |
| Learning directed acyclic graphs with mixed effects structural equation models from observational data | |
| B0578: E. Ogburn | |
| Toward valid causal and statistical inference with social network data | |
| B1563: M.H. Bin Abdul Majid, C. Leng | |
| Estimating the effects of match-object covariates in a generalized Bradley--Terry model |
| Session EO392 | Room: F1 |
| Label noise issues in statistics and machine learning | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Efoevi Angelo Koudou | Organizer: Efoevi Angelo Koudou |
| B0717: I. Benjelloun | |
| Weighted performance evaluation of classifiers with a noisy ground truth | |
| B0845: B. Frenay | |
| Consequences and assessment of label noise | |
| B1011: E.A. Koudou, B. Lamiroy | |
| Some issues on ranking of classifiers in the presence of label noise | |
| B1156: H. Reeve, A. Kaban | |
| Distribution dependent learning with asymmetric label noise |
| Session EO262 | Room: G1 |
| Survival analysis | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Ingrid Van Keilegom | Organizer: Anouar El Ghouch, Ingrid Van Keilegom |
| B0267: R. Dettoni, G. Marra, R. Radice | |
| Flexible parametric generalised additive survival models with informative censoring | |
| B1126: N.W. Deresa, I. Van Keilegom | |
| Flexible parametric model for survival data subject to dependent censoring | |
| B0778: E.-R. Andrinopoulou | |
| Joint modelling of longitudinal and survival data | |
| B0604: S. Plancade, A. El Ghouch, S. Huet, C. Dillmann | |
| Joint modeling of floral transition time and leaf appearance process in maize plant |
| Session EO144 | Room: H1 |
| Sampling: Planning, design, modeling, inference and applications | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Lorenzo Fattorini | Organizer: Subir Ghosh |
| B0558: L. Fattorini | |
| Pseudo-population bootstrap for design-based inference on spatial phenomena | |
| B1072: S. Marchetti | |
| Small area model-based estimation using big data: Applications | |
| B1153: D. Oberski | |
| Poststratifying on variables measured with error |
| Session EO030 | Room: I1 |
| Statistical distributions in our modern times: Role models or not | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Christophe Ley | Organizer: Christophe Ley |
| B0291: J. Wadsworth | |
| Parametric assumptions in extreme value theory | |
| B0611: S. Babic, C. Ley, D. Veredas | |
| Modelling multivariate skew and heavy-tailed data: A comparison of the main models | |
| B0663: R. Simone, C. Ley | |
| On the choice of size distributions for earthquakes modelling | |
| B0985: F. Lagona | |
| Parametric hidden Markov fields for segmenting environmental spatial series with circular components |
| Session EO322 | Room: L1 |
| Approaches for complexity in data analysis | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Efstathia Bura | Organizer: Efstathia Bura |
| B0584: Z. Zhao | |
| Global testing under the sparse alternatives for single index models | |
| B0917: L. Fertl | |
| Novel model-free estimation approaches of linear dimension reduction | |
| B0943: A. Artemiou, Y. Dong, S.J. Shin | |
| Real time dimension reduction and outlier detection | |
| B0962: B. Liu, A. Agarwal, L. Xue | |
| Sparse sufficient dimension reduction by nonconvex ADMM |
| Session EO340 | Room: M1 |
| Functional data analysis and biological applications | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Marzia Cremona | Organizer: Marzia Cremona |
| B0902: A. Stamm, S. Vantini | |
| Brain structural connectivity mapping: Insights from functional data analysis | |
| B0674: L. Schelin, A. Pini | |
| Human movement data - reliable enough for functional data analysis? | |
| B0817: N. Yamada, W. Lai, N. Farrell, F. Pugh, S. Mahony | |
| Characterizing protein-DNA binding event subtypes in ChIP-exo data using read distribution shapes and DNA sequences | |
| B1045: V. Vitelli | |
| A novel approach to joint sparse functional clustering and alignment |
| Session EO402 | Room: N1 |
| Multivariate and spatial extremes | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Marco Oesting | Organizer: Marco Oesting |
| B0759: A. Janssen, H. Drees | |
| Cluster-based extremal inference for multivariate time series | |
| B1238: G. Toulemonde, J.-N. Bacro, C. Gaetan, T. Opitz | |
| Hierarchical space-time modeling of exceedances | |
| B0791: R. Towe, J. Tawn, R. Lamb | |
| Understanding and communicating widespread flood risk | |
| B1086: P. Ribereau | |
| Semi-parametric estimation for max-mixture spatial processes |
| Session EO274 | Room: P1 |
| Advances in statistical analysis of microbiome data | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Li Ma | Organizer: Li Ma |
| B0312: M. Wu | |
| Testing statistical interactions between microbiome community profiles and covariates | |
| B0334: Z. Li, J. OMalley, H. Li | |
| Conditional regression based on a multivariate zero-inflated logistic model for human microbiome data | |
| B1097: J. Fukuyama | |
| Clustering for microbiome data with structural zeros | |
| B0687: S. Bacallado | |
| Approximate message passing algorithms for de novo reconstruction in metagenomics |
| Session EO160 | Room: Q1 |
| Doubly stochastic counting processes | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Paula Bouzas | Organizer: Paula Bouzas |
| B0535: D. Gervini | |
| Statistical methods for replicated spatio-temporal point processes | |
| B1165: L. Truquet | |
| Nonparametric tests for Cox processes | |
| B0835: P. Bouzas, N. Ruiz-Fuentes | |
| Goodness-of-fit test for compound Cox process | |
| B0940: N. Ruiz-Fuentes, P. Bouzas | |
| Applications of goodness-of-fit test for compound Cox processes |
| Session EO446 | Room: D2 |
| Recent development of the design of experiments and industrial statistics | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Chang-Yun Lin | Organizer: Po Yang, Chang-Yun Lin |
| B0552: S. Aoki | |
| Characterizations of indicator functions for fractional factorial designs | |
| B1677: C.-Y. Lin | |
| Supersaturated multistratum designs | |
| B0844: R. Lekivetz | |
| Design and analysis of covering arrays using prior information | |
| B0216: O. Davidov | |
| On the design of experiments with ordered treatments |
| Session EO438 | Room: P2 |
| Bayesian inference and decision | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Eva Lopez Sanjuan | Organizer: Jacinto Martin Jimenez |
| B1252: M. Martin-Blanco, A. Jimenez-Martin, A. Mateos Caballero | |
| The multi armed bandit problem under delayed rewards conditions in digital campaign management | |
| B1253: E.L. Sanjuan, M. Martinez Pizarro, M.I. Parra Arevalo, J. Martin Jimenez | |
| An improved prior choice for the parameters in the generalized Pareto distribution | |
| B1257: M.I. Parra Arevalo, F.J. Acero Diaz, R. Gomez Gonzalez, J. Martin Jimenez | |
| An improved prior choice for Gumbel distribution parameters | |
| B1682: M. Marowka, N. Kantas | |
| Stochastic decision-making using particle methods |
| Session EO665 | Room: Q2 |
| Bayesian modeling for heterogeneous groups | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Feng Liang | Organizer: Xinyi Xu |
| B0371: M. Peruggia, D. Kunkel | |
| Anchored Bayesian Gaussian mixture models | |
| B0580: F. Camerlenghi | |
| Bayesian prediction with heterogeneous populations: An application to feature sampling | |
| B0890: F. Bassetti, R. Casarin, L. Rossini | |
| Hierarchical species sampling models | |
| B1056: A. Mattei, F. Mealli, P. Ding | |
| Assessing causal effects in the presence of treatment switching through principal stratification |
| Session EG257 | Room: C1 |
| Contributions in applied statistics I | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Andreas Mayr | Organizer: CMStatistics |
| B1218: S. Human, J. Van Niekerk, H. Masoumi Karakani | |
| Double generally weighted moving average chart for time between events | |
| B1324: J. de Vicente Maldonado | |
| Looking for gender bias | |
| B1189: W. Hee Yik, G. Tzougas, M.W. Mustaqeem | |
| Insurance ratemaking using the exponential-lognormal regression model |
| Parallel session B: CFE | Friday 14.12.2018 | 10:20 - 12:00 |
| Session CO238 | Room: A2 |
| Forecasting and time series | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Robert Kunst | Organizer: Robert Kunst |
| A0248: U. Gunter, I. Onder, S. Gindl | |
| Exploring the predictive ability of LIKES of posts on the Facebook pages of four major city DMOs in Austria | |
| A0763: M. Costantini, G. Angelini | |
| DGSE models with expectations correction: Misspecification, forecasting errors and directional accuracy | |
| A0789: R. Kunst, A. Jumah | |
| Simulation-based selection of prediction models in development-economics panels | |
| A1087: O. Kleen, C. Conrad | |
| Two are better than one: Volatility forecasting using multiplicative component GARCH models |
| Session CO673 | Room: B2 |
| Recent advances in econometrics | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Valentina Corradi | Organizer: Italian Econometric Association SIDE |
| A0858: T. Ando, J. Bai | |
| Quantile co-movement in financial markets | |
| A0952: B. Beare, A.A. Toda | |
| Geometrically stopped Markovian random growth processes and Pareto tails | |
| A1014: V. Corradi, W. Distaso | |
| Portfolio sorting error | |
| A1205: W. Distaso, M. Caporin, N. Zambon | |
| Expected jumps and the cross-section of equity returns |
| Session CO436 | Room: C2 |
| Economic value of variance risk | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Romeo Tedongap | Organizer: Romeo Tedongap |
| A0359: C. Wese, F. Hollstein | |
| Variance risk: A bird's eye view | |
| A0906: B. Buchwalter, R. Tedongap, J. Breckenfelder | |
| Short-term predictability and the cross-section of stock returns | |
| A1396: J. Tinang | |
| Macro uncertainty and the term structure of the risk premium | |
| A1703: E. Gourier | |
| Pricing of idiosyncratic equity and variance risks |
| Session CO458 | Room: E2 |
| Quantitative investment management | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Gaelle Le Fol | Organizer: Serge Darolles, Gaelle Le Fol |
| A0458: D. Ardia, K. Bluteau, K. Boudt | |
| Abnormal tone and abnormal returns: An event study analysis | |
| A0475: R. Molinero | |
| Machine learning models applied in trading and their potential issues | |
| A0487: G. Le Fol, C. Brownlees, S. Darolles, B. Sagna | |
| Illiquid asset and portfolio management | |
| A0540: G. Gudmundsson | |
| Community detection in large vector autoregressions |
| Session CO510 | Room: F2 |
| Statistical modeling in electricity markets | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Jonas Andersson | Organizer: Jonas Andersson |
| A0539: J. Mauritzen | |
| Aggregating or diversifying risk: Transmission flows and prices between two wind power areas | |
| A0709: J. Andersson, E. Kyritsis | |
| Causality in quantiles and dynamic relations in energy markets | |
| A0806: E. Foscolo | |
| Predicting dependent electricity price spikes through copula functions | |
| A1534: E. Kyritsis, C. Stet, R. Huisman | |
| Renewables intermittency versus power system (in)flexibility: New insights from tail-index estimates |
| Session CO126 | Room: G2 |
| Text mining in economics and finance | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Peter Winker | Organizer: Peter Winker |
| A0686: P. Adaemmer, J. Beckmann, R. Schuessler | |
| Expectations, disagreement and news | |
| A0474: L.A. Thorsrud | |
| Business cycle narratives | |
| A1118: A. Bergeaud, J. Raimbault, Y. Potiron | |
| Classifying patents based on their semantic content | |
| A0652: P. Winker, D. Lenz | |
| Comparing the relevance of topics in economic journals |
| Session CO474 | Room: H2 |
| Wealth distributions and wealth inequality: Theory and empirics | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Marco Maria Sorge | Organizer: Marco Maria Sorge |
| A0424: J.C. Pena | |
| Inequality, macroeconomic performance and political polarization: An empirical analysis | |
| A0562: A. Russo, A. Botta, E. Caverzasi, M. Gallegati, J. Stiglitz | |
| Inequality and finance in a rent economy | |
| A0672: J. Schulz | |
| The rich and the rest: A distributional approach to wealth inequality regimes in Germany | |
| A0548: M.M. Sorge, C. Di Pietro, M. DAmato | |
| Left and right: A tale of two tails of the wealth distribution |
| Session CO082 | Room: M2 |
| Empirical macro | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Laura Jackson Young | Organizer: Laura Jackson Young |
| A0550: A. Paccagnini | |
| Extracting factors from large datasets | |
| A0619: L. Jackson Young, M. Owyang, K. Kliesen | |
| The nonlinear effects of uncertainty shocks | |
| A0642: K. Petrova, C. Matthes, L. Liu | |
| Monetary policy across space and time | |
| A0847: A. Guisinger, J.K. Smith | |
| News vs. noise: What information is contained in the revisions of the JOLTS data |
| Session CO484 | Room: N2 |
| Time series analysis: Some recent developments | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Hideatsu Tsukahara | Organizer: Cathy W-S Chen |
| A0779: L.-C. Lin, L.-H. Sun | |
| Modeling interval financial time series | |
| A0921: H. Tsukahara | |
| Backtesting, prequential analysis and prediction processes | |
| A0925: I. Negri, E. Bibbona | |
| COGARCH models: A statistical application to real data | |
| A0735: H. Ogata, T. Shiohama | |
| The mixture transition distribution modeling for higher order circular Markov processes |
| Session CO656 | Room: O2 |
| EcoSta journal Part A: Econometrics I | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Manfred Deistler | Organizer: Erricos John Kontoghiorghes |
| A0975: J. Kiviet | |
| Microeconometric dynamic panel data methods: Model specification and selection issues | |
| A1453: Y. Omori, N. Awaya | |
| Particle rolling MCMC | |
| A0229: G. Barone Adesi, G. Barone-Adesi, C. Sala, C. Legnazzi, M. Finta | |
| WTI crude oil option-implied VaR and CVaR | |
| A1161: A. Amendola, V. Candila, G. Storti, M. Braione | |
| Combining multivariate volatility models |
| Session CG012 | Room: I2 |
| Contributions in portfolio optimization I | Friday 14.12.2018 10:20 - 12:00 |
| Chair: Nalan Basturk | Organizer: CFE |
| A0602: N. Koning, P. Bekker | |
| Best subset selection in regularized sparse index tracking | |
| A0636: S. Anyfantaki, S. Arvanitis, N. Topaloglou, T. Post | |
| Stochastic bounds for portfolio analysis | |
| A1543: M. Malavasi, S. Ortobelli, N. Topaloglou | |
| Testing for parametric orderings efficiency | |
| A1721: N. Basturk, L. Hoogerheide, H. van Dijk, A. van Oord | |
| Equity momentum strategies at work |
| Parallel session D: CMStatistics | Friday 14.12.2018 | 14:40 - 16:20 |
| Session EI007 (Special Invited Session) | Room: Sala Convegni |
| New challenges and statistical solutions in neuroimaging | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Timothy Johnson | Organizer: Timothy Johnson |
| B0153: M. Lindquist | |
| A geometric approach towards evaluating fMRI preprocessing pipelines | |
| B1707: M. Qian, D. Bowman, B. Cheng | |
| High-dimensional mediation methods for a study of major depressive disorder | |
| B0167: N. Lazar | |
| Reproducibility in functional neuroimaging studies through the lens of multiplicity |
| Session EO570 | Room: A1 |
| Statistics and computing for analyzing electronic health record data | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Jin Zhou | Organizer: Jin Zhou, Hua Zhou |
| Session EO681 | Room: B1 |
| Graphical Markov models II | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Giovanni Maria Marchetti | Organizer: Giovanni Maria Marchetti |
| B1480: G. Letac | |
| Random covariance associated to a weighted graph | |
| B1694: S.W. Mogensen, N.R. Hansen | |
| Marginalized local independence graphs | |
| B1701: S. Massa | |
| Mixed graphical models for metabolic biomarkers | |
| B1423: T. Rudas, A. Klimova | |
| Coordinate-free analysis of multivariate categorical data |
| Session EO568 | Room: C1 |
| Algebraic statistics | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Sonja Kuhnt | Organizer: Sonja Kuhnt |
| B0374: F. Rapallo, C. Bocci | |
| Exact tests to compare contingency tables under quasi-independence and quasi-symmetry | |
| B0993: A. Kalka | |
| On numerical fans for noisy experimental designs | |
| B1080: R. Fontana, F.R. Crucinio | |
| Algebraic-based sampling via permutations | |
| B1160: E. Riccomagno | |
| Discovery of statistical equivalence classes using computer algebra |
| Session EO220 | Room: D1 |
| Causal parameters: Identification and inference | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Xavier de Luna | Organizer: Xavier de Luna |
| B0370: M. Genback, X. de Luna | |
| Causal inference accounting for unobserved confounding after outcome regression and doubly robust estimation | |
| B0393: V. Didelez | |
| Causal mediation with longitudinal mediator and survival outcome | |
| B0865: E. Stanghellini | |
| On causal parameters in recursive systems for binary random variables | |
| B1273: E. Goetghebeur | |
| On bias reduction when estimating the causal effect of pre-emptive kidney transplantation |
| Session EO394 | Room: E1 |
| Recent advances in duration time analysis | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Andreas Groll | Organizer: Andreas Groll |
| B0301: M. Hohberg, A. Groll | |
| Regularized Cox frailty models for time varying covariates | |
| B0386: H. Kvamme | |
| Time-to-event prediction with neural networks and Cox regression | |
| B0430: A. Groll, T. Hastie, T. Kneib, G. Tutz | |
| Boosting methods for effects selection in Cox frailty models | |
| B0710: C. Griesbach, E. Waldmann, A. Groll | |
| Joint modelling approaches to survival analysis via likelihood-based boosting techniques |
| Session EO422 | Room: F1 |
| y-SIS session: Low-dimensional learning of high-dimensional data | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Daniele Durante | Organizer: Daniele Durante |
| B0426: A. Cabassi, P. Kirk | |
| Multiple kernel learning for integrative clustering in genomic precision medicine | |
| B0497: E. Aliverti, D. Dunson | |
| Low-rank approximations with fairness constraints | |
| B0596: T. Padellini, P. Brutti | |
| Topological invariants for high-dimensional time series | |
| B0614: J. Di Iorio | |
| A new biclustering method for functional data |
| Session EO508 | Room: G1 |
| Semiparametric statistical methods for complex survival data | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Sy Han Chiou | Organizer: Sy Han Chiou |
| B1182: F.-C. Lin, Q. Li, J. Lin | |
| Classification of competing risk outcomes using transition biomarkers | |
| B1394: C.-Y. Huang, Y. Sun | |
| Recurrent events analysis with data collected at informative clinical visits in electronic health records | |
| B1430: S.H. Chiou, G. Xu, C.-Y. Huang, J. Yan | |
| Semiparametric estimation of the accelerated mean model with panel count data under informative examination times |
| Session EO416 | Room: H1 |
| Statistical models for environmental processes and human activities | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Clara Grazian | Organizer: Clara Grazian |
| B0574: L. Paci, F. Finazzi | |
| Quantifying personal exposure to air pollution from smartphone-based location data | |
| B0589: M. Novelli, A. Baldi Antognini, M. Zagoraiou | |
| A new design test based on a bootstrap method for response-adaptive clinical trials | |
| B0798: M. Franco Villoria, M. Ventrucci, H. Rue | |
| Constructing priors for varying coefficient models | |
| B0977: G. Mastrantonio, G. Jona Lasinio, A. Pollice, G. Capotorti, L. Teodonio, G. Genova, C. Blasi | |
| Multivariate Bayesian change-point model with concurrent breaking points |
| Session EO104 | Room: I1 |
| Flexible parametric distributions: Theory and applications | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Christophe Ley | Organizer: Adelchi Azzalini |
| B0247: A. Pewsey | |
| A new Fourier series based construction for circulas | |
| B0249: F.J. Rubio, L. Remontet, N. Jewell, A. Belot | |
| On a general structure for hazard-based regression models | |
| B0272: C. Ley | |
| Modulated-symmetry-type skew distributions for directional data | |
| B0698: S. Pacei, M.R. Ferrante | |
| Small area estimation of inequality measures under alternative distribution models |
| Session EO044 | Room: L1 |
| On some recent results in supervised and unsupervised classification I | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Geoffrey McLachlan | Organizer: Geoffrey McLachlan |
| B1108: H. Nguyen | |
| Fast Gaussian mixture model estimation using online EM algorithms | |
| B1149: F. Greselin, L.A. Garcia-Escudero, A. Mayo-Iscar | |
| Extending robust fuzzy clustering to skew data | |
| B0989: R. Falcone, L. Anderlucci, A. Montanari | |
| Matrix sketching and supervised classification | |
| B0252: F. Forbes, A. Arnaud, B. Lemasson, E. Barbier, R. Steele | |
| Bayesian mixtures of multiple scale distributions |
| Session EO048 | Room: M1 |
| Functional data analysis and more | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Jane-Ling Wang | Organizer: Jane-Ling Wang |
| B0476: M. Lopes, Z. Lin, H.-G. Mueller | |
| Bootstrapping max statistics in high dimensions: Near-parametric rates and application to functional data analysis | |
| B0551: J.-M. Chiou, X. Zhang, Y. Ma | |
| Prediction using averaging estimated functional linear regression models | |
| B0670: A. Kneip, D. Liebl | |
| On the optimal reconstruction of partially observed functional data | |
| B1177: L. Sangalli, E. Arnone, L. Negri | |
| Analyzing functional data over complex multi-dimensional domains |
| Session EO512 | Room: N1 |
| Complex dependence in extremes | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Jenny Wadsworth | Organizer: Jenny Wadsworth |
| B0405: T. Opitz, V. Chavez-Demoulin, L. Mhalla | |
| A generalized additive framework for estimating covariate effects on extremal dependence based on threshold exceedances | |
| B0462: A. Kiriliouk | |
| Hypothesis testing for tail dependence parameters on the boundary of the parameter space | |
| B0591: E. Simpson, J. Wadsworth, J. Tawn, I. Hobaek Haff | |
| Extremal dependence properties of vine copulas | |
| B1303: I. Papastathopoulos | |
| An asymptotically justified framework for modelling extreme ocean states with Markov processes and tail graphs |
| Session EO350 | Room: P1 |
| Shrinkage methods for analyzing complex data | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Ines Wilms | Organizer: Ines Wilms |
| B0523: J. Bien | |
| High-dimensional variable selection when features are sparse | |
| B0537: D. Cornilly, K. Boudt, T. Verdonck | |
| Nearest comoment estimation with unobserved factors | |
| B0839: S. Basu, I. Wilms, D. Matteson, J. Bien | |
| Sparse identification and estimation of high-dimensional vector autoregressive moving averages | |
| B0918: I. Gaynanova, G. Yoon, R. Carroll | |
| Sparse semiparametric canonical correlation analysis for data of mixed types |
| Session EO204 | Room: Q1 |
| Outliers and structural breaks | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Alexander Duerre | Organizer: Alexander Duerre, Roland Fried |
| B0310: A. Anastasiou, P. Fryzlewicz | |
| Detecting multiple generalised change-points by isolating single ones | |
| B0410: P. Otto, R. Steinert | |
| Estimation of the spatial weighting matrix for spatiotemporal data with structural breaks | |
| B1068: A. Duerre, R. Fried | |
| Robust change point tests using bounded transformations | |
| B1337: J. Duda, A. Duerre, R. Fried | |
| Comparison of different estimators of the long run variance for the cusum test |
| Session EO658 | Room: O2 |
| EcoSta journal Part B: Statistics I | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Byeong Park | Organizer: Erricos John Kontoghiorghes |
| B1122: M. Levene | |
| Jensen-Shannon divergence as a goodness-of-fit measure for maximum likelihood estimation and curve fitting | |
| B1617: E. Bura, R. Pfeiffer | |
| Least squares and ML estimation approaches of the sufficient reduction for matrix valued predictors | |
| B0662: E. Ronchetti, S. Ranjbar, S. Sperlich | |
| Prediction and robustness: Calibration of inequality indices in small areas | |
| B1424: V. Patilea, M. Marbac | |
| Empirical likelihood for general conditional estimating equations |
| Session EO424 | Room: Q2 |
| j-ISBA session: Advances in Bayesian nonparametrics | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Isadora Antoniano-Villalobos | Organizer: Federico Camerlenghi |
| B0788: F. Ayed, F. Caron | |
| Nonnegative Bayesian nonparametric factor models with completely random measures | |
| B0916: G. Di Benedetto, J. Rousseau | |
| Posterior contraction rates for Bayesian functional linear regression | |
| B0965: J. Ridgway | |
| PABC: Probably approximate Bayesian computation |
| Parallel session D: CFE | Friday 14.12.2018 | 14:40 - 16:20 |
| Session CI011 (Special Invited Session) | Room: A0 |
| Resampling and time series | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Dimitris Politis | Organizer: Dimitris Politis |
| A0177: H. Dette | |
| Functional data analysis for continuous functions | |
| A0179: E. Paparoditis | |
| Sieve bootstrap for functional time series | |
| A0178: S. Lahiri | |
| Empirical likelihood under short- and long-range dependence |
| Session CO548 | Room: A2 |
| Financial modelling and forecasting | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Ekaterini Panopoulou | Organizer: Ekaterini Panopoulou |
| A0262: R. Hizmeri, M. Izzeldin, A. Murphy, M. Tsionas | |
| The role of jump activity and signed jumps in forecasting realized volatility | |
| A0407: E.N.B. Quaye, R. Tunaru | |
| Analysing implied volatilities between stock and dividend markets | |
| A0435: E. Panopoulou, I. Kynigakis | |
| Return prediction models and asset allocation | |
| A0456: C. Argyropoulos, E. Panopoulou | |
| Tail optimal combinations |
| Session CO554 | Room: B2 |
| High-frequency financial econometrics | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Bezirgen Veliyev | Organizer: Bezirgen Veliyev |
| A1073: M. Pakkanen, M. Morariu-Patrichi | |
| Modelling limit order book data by state-dependent Hawkes processes | |
| A0337: P. Exterkate, O. Knapik | |
| A regime-switching stochastic volatility model for forecasting electricity prices | |
| A0391: Y. Li | |
| Parametric and semi-parametric renewal based high-frequency volatility estimator | |
| A0928: S. Bodilsen | |
| Exploiting news analytics for volatility forecasting |
| Session CO078 | Room: D2 |
| Financial networks | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Massimiliano Caporin | Organizer: Massimiliano Caporin, CFE |
| A0877: G. Bonaccolto, M. Caporin | |
| Financial networks via conditional autoregressive expected shortfall | |
| A1051: M. Costola, M. Caporin, M. Bernardi | |
| Modeling realized volatility in big data panel | |
| A0721: M. Kanno | |
| Credit rating migration risk and interconnectedness in a corporate lending network | |
| A1462: T. Squartini | |
| Maximum-entropy models in economics and finance |
| Session CO601 | Room: E2 |
| Modelling expectations: Different analytical perspectives | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Maritta Paloviita | Organizer: Tomasz Lyziak, Maritta Paloviita |
| A0409: M. Paloviita, S. Oinonen, M. Viren | |
| Effects of monetary policy decisions on professional forecasters' expectations and expectations uncertainty | |
| A0866: L. Petersen, M. Mirdamadi | |
| Macroeconomic literacy and expectations | |
| A1265: T. Lyziak, X. Sheng | |
| Disagreement in consumer inflation expectations | |
| A1582: E. Stanislawska | |
| Consumers' perception of inflation in inflationary and deflationary environment |
| Session CO486 | Room: G2 |
| Mixture models, identification, and financial modeling | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Markus Haas | Organizer: Markus Haas |
| A0592: D. Umlandt, S. Reitz | |
| Likelihood-based dynamic asset pricing | |
| A0615: M. Bonato | |
| Changes on realized correlations, betas and volatility spillover in the agricultural commodity market | |
| A0486: E. Lazar, N. Zhang | |
| Model risk of expected shortfall | |
| A0828: M. Haas | |
| Conditional skewness and kurtosis of aggregated normal mixture and Markov-switching GARCH returns |
| Session CO192 | Room: I2 |
| Multivariate volatility and risk | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Jean-Michel Zakoian | Organizer: Jean-Michel Zakoian |
| A0412: G. Sucarrat, N. Bahamonde, H. Raissi | |
| Volatility estimation when observations are missing | |
| A0688: L. Catania, P. Santucci de Magistris, R. Di Mari | |
| A multivariate dynamic mixture model for discrete price changes at high frequency | |
| A0756: C. Francq, S. Laurent, S. Darolles | |
| Asymptotics of Cholesky GARCH models and time-varying conditional betas | |
| A1117: J.-M. Zakoian, C. Francq | |
| Virtual historical simulation for estimating the conditional VaR of large portfolios |
| Session CO090 | Room: M2 |
| Topics in macroeconometrics | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Alessia Paccagnini | Organizer: Alessia Paccagnini |
| A0208: F. Carlini, P. Gagliardini | |
| Identification and inference in a vector autoregressive model with common frailty | |
| A0536: E. Granziera | |
| Debt overhang and monetary policy transmission: An international perspective | |
| A1096: S. Soccorsi, H. Cho | |
| Detecting breaks in the group-structure of high-dimensional data | |
| A1692: C. Scotti, D. Caldara, M. Zhong | |
| Uncertainty and financial stability: A VAR analysis |
| Session CO480 | Room: N2 |
| Recent issues on the identification of SVAR models | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Emanuele Bacchiocchi | Organizer: Emanuele Bacchiocchi |
| A1150: R. Lucchetti, E. Bacchiocchi | |
| The structure condition in SVAR identification | |
| A1184: A. Volpicella | |
| Robust shrinkage for set-identified SVARs | |
| A1213: E. Bacchiocchi, T. Kitagawa | |
| The dark side of the SVAR: A trip into the local identification world | |
| A1248: D. Lewis | |
| Identifying shocks via time-varying volatility |
| Session CO627 | Room: P2 |
| Bayesian hierarchical modelling | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Helga Wagner | Organizer: Helga Wagner |
| A0210: N. Klein, M. Smith | |
| Implicit copulas from Bayesian regularized regression smoothers | |
| A0232: M. Carlan, N. Klein, T. Kneib, S. Lang, H. Wagner | |
| Effect selection in distributional regression | |
| A0442: M. Leitner, H. Wagner | |
| Bayesian effect fusion for categorical predictors in logistic regression | |
| A0597: G. Malsiner-Walli, B. Gruen | |
| Variable selection in Bayesian latent class analysis using shrinkage priors |
| Session CC645 | Room: F2 |
| Contributions in time series I | Friday 14.12.2018 14:40 - 16:20 |
| Chair: Cristina Amado | Organizer: CFE |
| A1516: M. Al Sadoon, P. Zwiernik | |
| The identification problem for linear rational expectations models | |
| A1235: J.A. Afonso-Rodriguez | |
| The $T$ ratio test for a bilinear unit root under general conditions with applications | |
| A1350: C.M. Celoso | |
| Robust estimation of a dynamic spatiotemporal model with structural change for count data | |
| A1426: F. Marotta | |
| Inference on irregularly spaced time series |
| Parallel session E: CMStatistics | Friday 14.12.2018 | 16:50 - 18:30 |
| Session EI452 (Special Invited Session) | Room: Sala Convegni |
| Advances in functional data analysis | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Jeng-Min Chiou | Organizer: Jeng-Min Chiou |
| Session EO528 | Room: A0 |
| Interactions between computation and inference in high-dimensional data | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Yuting Wei | Organizer: Xiaodong Li |
| B0289: Y. Chen, P. Sur, E. Candes | |
| On the likelihood ratio test in high-dimensional logistic regressions | |
| B0357: Z. Ren, C.-H. Zhang, H. Zhou, S. Li | |
| Statistical inference in large Ising graphical models via quadratic programming | |
| B0356: C.M. Le | |
| Edge sampling using network local information | |
| B0684: Y. Wei | |
| Early stopping for gradient type algorithms |
| Session EO118 | Room: A1 |
| Statistical methods in neuroscience | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Jeff Goldsmith | Organizer: Jeff Goldsmith |
| B0181: R. Shinohara | |
| Nonlinear normalization methods for harmonization in neuroimaging data | |
| B0423: K. Linn, R. Shinohara, A. Valcarcel, S. Vandekar | |
| Addressing partial volume effects using intra-subject locally adjusted cerebral blood flow images | |
| B0840: B. Risk, I. Gaynanova | |
| Joint and individual non-Gaussian component analysis | |
| B1208: M. Donohue, D. Li, S. Iddi, W. Thompson | |
| Latent time joint mixed effect models |
| Session EO687 | Room: B1 |
| Graphical Markov models III | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Nanny Wermuth | Organizer: Nanny Wermuth |
| B1439: M. Lupparelli | |
| Conditional and marginal relative risk parameters in multivariate regression models | |
| B1466: H. Massam, Q. Li, X. Xin Gao | |
| A Bayesian approach to coloured graphical Gaussian models | |
| B1622: G.M. Marchetti, N. Wermuth | |
| On maximum likelihood estimation for mean zero versus general Ising graphical Markov models | |
| B1680: R. Wilkerson, J. Smith | |
| Bayesian diagnostics for chain event graphs |
| Session EO631 | Room: C1 |
| Statistics in cosmology | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Armin Schwartzman | Organizer: Armin Schwartzman |
| B1277: A. Ducout | |
| Minkowski functionals: Constraining cosmology with non Gaussianity | |
| B1463: P. Pranav | |
| Unexpected topology of the cosmic microwave background | |
| B1402: Y. Fantaye, D. Marinucci | |
| Application of the second order Gaussian kinematic formula to CMB data analysis | |
| B1446: A. Schwartzman, D. Cheng, V. Cammarota, Y. Fantaye, D. Marinucci | |
| Multiple testing of local maxima for detection of peaks on the (celestial) sphere |
| Session EO028 | Room: D1 |
| Recent advances in Bayesian approaches for causal inference | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Michael Daniels | Organizer: Michael Daniels |
| B0473: R. Hahn | |
| Bayesian regression tree models for causal inference: Regularization, confounding and heterogeneity | |
| B0581: M. Josefsson, M. Daniels | |
| Bayesian non-parametric G-computation in the presence of non-ignorable dropout and death | |
| B0635: F. Mealli | |
| Time-varying survivor average causal effects with semicompeting risks | |
| B1036: J. Hill | |
| Common support diagnostic for heterogeneous treatment effect |
| Session EO526 | Room: E1 |
| Analysis of large and complex data | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Johannes Lederer | Organizer: Johannes Lederer |
| B1147: G. Lecue, M. Lerasle | |
| Robust machine learning via median-of-means | |
| B0609: H. Narayanan, K. Mohammed | |
| Manifold learning using kernel density estimation and local principal component analysis | |
| B1530: K. Hellton | |
| Fridge: Focused fine-tuning of ridge regression for personalized predictions | |
| B1175: M. Hebiri | |
| Size controlled confidence sets for multiclass classification |
| Session EO490 | Room: F1 |
| Recent advances in computation for statistical machine learning | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Irina Gaynanova | Organizer: Eric Chi |
| B0221: N. Simon | |
| Optimization in high dimensional additive models | |
| B0522: A. Molstad, A. Rothman, C. Doss, G. Weng | |
| An explicit mean-covariance parameterization for multivariate response linear regression | |
| B0632: T. Li, C. Qian, L. Levina, J. Zhu | |
| High-dimensional Gaussian graphical model for network-linked data | |
| B0888: Y. Zhu | |
| A convex optimization formulation for multivariate regression |
| Session EO156 | Room: G1 |
| Recent developments in statistical models for survival data | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Marialuisa Restaino | Organizer: Marialuisa Restaino, Hongsheng Dai |
| B0639: M. Zenga, F. Domma, J.E. Ruiz-Castro | |
| Using the Dagum distribution in survival regression models | |
| B0807: A. Mayr, M. Schmid, E. Waldmann | |
| Statistical boosting for time-to-event data: An overview on recent developments | |
| B1009: G. Cortese, N. Sartori | |
| Survival models for highly clustered censored data: Accurate inference based on integrated likelihoods | |
| B1123: O. Lopez | |
| Random forest under random censoring applied to the prediction of the duration of an insurance contract |
| Session EO170 | Room: H1 |
| Flexible models and methods for categorical data | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Rosaria Simone | Organizer: Rosaria Simone |
| B0206: M. Selosse, J. Jacques, C. Biernacki | |
| Analyzing large matrices of ordinal data | |
| B0464: M. Manisera, P. Zuccolotto, E. Brentari | |
| Modelling perceived choice variety by a mixture model for rating data | |
| B0506: M. Gasparini | |
| Hierarchical models for rater agreement and the evergreen kappa statistic | |
| B0814: S. Giordano | |
| A family of models for multivariate rating scale data accounting for response styles |
| Session EO164 | Room: I1 |
| Advances in inference and distribution theory | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Inmaculada Barranco-Chamorro | Organizer: Inmaculada Barranco-Chamorro |
| B0595: U. Kamps | |
| Confidence regions for Pareto parameters from single and independent samples | |
| B0742: I. Ahrazem Dfuf, J. Mira, C. Gonzalez | |
| Multi-output conditional inference trees applied to the electricity market: Variable importance analysis | |
| B1070: I. Barranco-Chamorro | |
| Methodological advances in slash distributions |
| Session EO268 | Room: L1 |
| On some recent results in supervised and unsupervised classification II | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Geoffrey McLachlan | Organizer: Geoffrey McLachlan |
| B1143: S. Lee | |
| Model-based tools for the analysis of flow and mass cytometric data | |
| B0408: S. Ranciati, G. Galimberti, V. Vinciotti, E. Wit | |
| Overlapping mixture models for network data (manet) with covariates adjustment | |
| B1278: B. Taschler, F. Dondelinger, S. Mukherjee | |
| Model-based clustering in very high dimensions via adaptive projections | |
| B1494: L. Fallah, N. Friel | |
| Classification using distance nearest neighbours with adjusted pseudolikelihood |
| Session EO558 | Room: M1 |
| Statistical methodologies with complex information | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Maria Brigida Ferraro | Organizer: Maria Brigida Ferraro, Ana Belen Ramos-Guajardo |
| B0643: M. Cremona, F. Chiaromonte, K. Makova | |
| Using interval-wise testing to investigate high-resolution ``omics'' data at multiple locations and scales | |
| B0697: M. Stefanucci, D. Kraus | |
| Reconstruction of functional fragments | |
| B1017: M.F. Marino, M. Alfo, M.G. Ranalli, N. Salvati, N. Tzavidis | |
| M-quantile regression for multivariate longitudinal data |
| Session EO234 | Room: N1 |
| Statistics of environmental extremes | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Chen Zhou | Organizer: Raphael Huser |
| B0278: G. Bopp, R. Huser, B. Shaby | |
| A hierarchical max-infinitely divisible process for spatial precipitation modeling | |
| B0682: B. Beranger, S. Sisson, A. Stephenson | |
| Inference for extremal-$t$ and skew-$t$ max-stable models in high dimensions | |
| B1013: H. Rootzen, H. Olafsdottir, D. Bolin | |
| Are extreme rainfalls in northeastern USA becoming more frequent, or bigger, or both? | |
| B1033: A. Davison | |
| Aggregation of extreme rainfall |
| Session EO576 | Room: O1 |
| Regularization and parameter estimation in ordinary differential equations | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Nicolas Brunel | Organizer: Nicolas Brunel |
| B0467: I. Dattner, S. Gugushvili | |
| Application of one-step method to parameter estimation in ODE models | |
| B0569: Q. Clairon | |
| Regularization of parameter estimation in ordinary differential equations via discrete optimal control theory | |
| B0744: N.R. Hansen, F. Vissing Mikkelsen | |
| Learning large scale ordinary differential equation systems | |
| B0815: B. Laroche, N. Brunel, D. Goujot, S. Labarthe | |
| Optimisation and selection strategies for parameter estimation in ODE models with generalised smoothing |
| Session EO476 | Room: P1 |
| Statistical learning and analysis with complex featured data | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Grace Yi | Organizer: Grace Yi |
| Session EO428 | Room: Q1 |
| Advances in computing for robustness | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Valentin Todorov | Organizer: Emmanuele Sordini |
| B0981: I. Vranckx, B. de Ketelaere, M. Hubert, P. Rousseeuw | |
| Real-time outlier detection based on DetMCD | |
| B1066: V. Witkovsky | |
| Computational tools and methods for statistical inference based on using the characteristic functions | |
| B1291: E. Sordini, V. Todorov, A. Corbellini | |
| Dynamic graphics for robust multivariate analysis in R | |
| B1522: P. Ruckdeschel, N. Horbenko, M. Kohl | |
| Diagnostics for scale-shape models based on robust statistics |
| Session EO504 | Room: P2 |
| Bayesian analysis with large data | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Radu Craiu | Organizer: Radu Craiu |
| B0279: G. Jones | |
| Bayesian spatiotemporal modeling using hierarchical spatial priors with applications to fMRI | |
| B0385: G. Karabatsos, F. Leisen | |
| Bayes calculations from quantile implied likelihood | |
| B0441: T. Broderick | |
| Automated scalable Bayesian inference via data summarization | |
| B0963: F. Liang, L. Gan, N.N. Narisetty | |
| Bayesian regularization and computation for graphical models |
| Session EO280 | Room: Q2 |
| Advances in Bayesian modelling | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Raffaele Argiento | Organizer: Maria De Iorio |
| B0333: F. Stingo, V. Baladandayuthapani | |
| Varying-sparsity regression models with application to cancer proteogenomics | |
| B0824: A. Cremaschi, M. Zucknick, K. Tasken, S. Skanland | |
| Generalised graphical models for the analysis of phospho-flow cytometry data from drug combination experiments | |
| B0994: M. Ruggiero, G. Kon Kam King, O. Papaspiliopoulos | |
| Exact inference for Cox-Ingersoll-Ross driven hidden Markov models | |
| B1167: K. Ickstadt | |
| Streaming statistical models via merge \& reduce |
| Parallel session E: CFE | Friday 14.12.2018 | 16:50 - 18:30 |
| Session CO254 | Room: A2 |
| Frequency dynamics of economic and financial variables | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Jozef Barunik | Organizer: Jozef Barunik |
| A0531: F. Verona | |
| The yield curve and the stock market: Mind the long run | |
| A0701: J. Kurka, J. Barunik | |
| Horizon-specific risks, higher moments, and asset prices | |
| A0703: Y. Lovcha, A. Perez Laborda | |
| The variance-frequency decomposition as an instrument for the identification of SVAR models | |
| A1057: L. Hanus, L. Vacha | |
| Time-frequency response analysis of monetary policy transmission |
| Session CO296 | Room: B2 |
| Advances in empirical finance and econometrics | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Jose Olmo | Organizer: Jose Olmo |
| A0694: A. Taamouti, J. Williams, H. Sun, Y. Zhang | |
| Characteristic function-based approach for pricing long-run market uncertainty | |
| A0658: G. Montes-Rojas | |
| Multivariate quantile impulse response functions | |
| A0660: J.C. Escanciano, J. Hualde | |
| Measuring asset market linkages: Nonlinear dependence and tail risk | |
| A1043: J. Olmo, R. McGee | |
| A re-examination of the size effect: The influence of winning stocks in size portfolios |
| Session CO334 | Room: C2 |
| Systemic risk | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Massimiliano Caporin | Organizer: Massimiliano Caporin |
| A1354: L. Garcia-Jorcano, L. Sanchis | |
| Systemic-systematic risk in financial system: A dynamic ranking based on expectiles | |
| A0438: J.-C. Garibal, M. Caporin, M. Costola, B. Maillet | |
| A meta-analysis of systemic risk measures for gauging financial stability | |
| A0439: M. Caporin, J.-A. Jimenez-Martin, L. Garcia-Jorcano | |
| Traffic lights system for systemic Stress: TALIS3 |
| Session CO582 | Room: D2 |
| Rough volatility | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Mathieu Rosenbaum | Organizer: Mathieu Rosenbaum |
| A0695: M. Rasonyi, B. Gerencser | |
| Ergodic properties of certain financial models | |
| A0713: M. Keller-Ressel, J. Gatheral | |
| Affine forward variance models | |
| A0796: S. De Marco | |
| Volatility derivatives in rough forward variance models | |
| A1168: B. Horvath | |
| Learning rough volatility |
| Session CO382 | Room: F2 |
| New developments in nonlinear spatial and temporal modelling | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Maria Kyriacou | Organizer: Maria Kyriacou, Zudi Lu |
| A1241: S. Chandna, P.-A. Maugis | |
| Nonparametric regression with network data | |
| A1282: M. Kyriacou, P.C. Phillips, F. Rossi | |
| Continuously updated indirect inference | |
| A1526: L. Yang, Z. Lu | |
| Nonparametric trend Universal kriging method with applications to air quality data |
| Session CO562 | Room: G2 |
| Econometric methods for sport modelling and forecasting | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Luca De Angelis | Organizer: Luca De Angelis |
| A0315: V. Candila | |
| Forecasting tennis betting odds by artificial neural networks | |
| A0465: P. Zuccolotto, M. Manisera | |
| Modelling performance variability and teammates' interactions in basketball | |
| A0776: L. De Angelis, G. Angelini | |
| Informational efficiency and price reactions in exchange betting markets | |
| A1316: J. Reade, C. Singleton, A. Brown | |
| Picking scores: Forecasting low probability events |
| Session CO376 | Room: I2 |
| Semi- and nonparametric methods for nonlinear regression | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Joachim Schnurbus | Organizer: Markus Fritsch, Joachim Schnurbus, Harry Haupt |
| A0982: M. Fritsch, H. Haupt, J. Schnurbus | |
| Nonlinear quantile regression-based modeling of hedonic housing prices | |
| A0998: J. Schnurbus, G. Kauermann | |
| Mixed kernel estimation of counterfactual distributions for Munich rent survey | |
| A1076: S. Behm, M. Fritsch, H. Haupt | |
| Additive semiparametric framework for land use regression |
| Session CO258 | Room: M2 |
| Behavioral financial macroeconomics | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Christian Proano | Organizer: Christian Proano |
| A0345: B. Lojak, C. Proano, T. Makarewicz | |
| A toxic cocktail: Low interest rates and banks' search-for-yield behavior | |
| A0351: B. Gehrke, H. Arabzadeh, A. Balleer | |
| Financial frictions and wages | |
| A0361: N. Kotb, C. Proano | |
| Animal spirits in a NKM with financial intermediation and a stock market | |
| A1678: C. Proano, B. Lojak | |
| Animal spirits, risk premia and monetary policy at the zero lower bound |
| Session CO434 | Room: N2 |
| Financial time series econometrics | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Peter Exterkate | Organizer: Peter Exterkate |
| A0344: B. Veliyev, K. Christensen, N. Thamrongrat | |
| Jump testing with the pre-averaged bipower variation and subsampling estimation of the asymptotic variance matrix | |
| A0429: S. Kwok | |
| Variance estimation in the presence of self-excited jumps | |
| A0843: J. Soenksen | |
| The taming of the two: Simulation-based asset pricing with multi-period disasters and two consumption goods | |
| A0991: S. Barendse | |
| Loss function derived expected shortfall backtests under estimation error |
| Session CO070 | Room: O2 |
| EcoSta journal: High frequency data | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Alain Hecq | Organizer: Erricos John Kontoghiorghes |
| A0230: M. Deistler | |
| High frequency linear time series models and mixed frequency data | |
| A0829: E. Rossi, P. Santucci de Magistris, L. Catania | |
| Modeling high-frequency trading volume | |
| A1211: M. Thornton | |
| Mixed time aggregation of multivariate linear processes | |
| B0251: K. Dragun, K. Boudt, S. Vanduffel | |
| The beta-adjusted covariance estimator |
| Session CC651 | Room: E2 |
| Contributions in financial econometrics I | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Esther Ruiz | Organizer: CFE |
| A1549: A. Kolokolov, D. Pirino, G. Livieri | |
| Statistical inferences for price staleness | |
| A1642: I. Figuerola-Ferretti | |
| Recent credit risk and bubble behavior in the corporate energy sector | |
| A1398: C. Chevalier, S. Darolles | |
| Trends everywhere: The case of hedge fund styles | |
| A1719: D. Palumbo, A. Harvey | |
| Models for realised volatility |
| Session CG624 | Room: H2 |
| Contributions in econometric analysis of the business cycle | Friday 14.12.2018 16:50 - 18:30 |
| Chair: Caterina Liberati | Organizer: CFE |
| A1605: C. Cakmakli, H. Demircan, S. Altug | |
| Modeling of economic and financial conditions for nowcasting and forecasting recessions: A unified approach | |
| A1261: S. Lhuissier | |
| The switching skewness over the business cycle | |
| A1551: B. Siliverstovs | |
| On the construction of composite economic indicators: The case of a new EU member state | |
| A1671: S. Soofi Siavash | |
| Dominant U.S. manufacturing sectors: A factor model analysis |
| Parallel session F: CMStatistics | Saturday 15.12.2018 | 08:45 - 10:05 |
| Session EI009 (Special Invited Session) | Room: A0 |
| Advances in extreme value analysis | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Anna Kiriliouk | Organizer: John Einmahl |
| B0158: C. Dombry, B. Bobbia, D. Varron | |
| The proportional tail framework for extreme quantile regression | |
| B0159: J.J. Cai, A. Krajina | |
| A nonparametric estimator of the extremal index | |
| B0575: C. Zhou, F. Yang, C. Zhou, J. Einmahl | |
| Testing the multivariate regular variation model |
| Session EO550 | Room: Aula C |
| Recent advances in high-dimensional statistics | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Yin Xia | Organizer: Yin Xia |
| B0818: J. Ma, L. Zhang, T. Cai | |
| Clustering of high-dimensional Gaussian mixtures with EM algorithm and its optimality | |
| B0820: X. Zheng, J. Fan, Y. Li, N. Xia | |
| Tests for principal eigenvalues and eigenvectors | |
| B0827: Y. Li, T. Cai, J. Hu, X. Zheng | |
| High-dimensional minimum variance portfolio estimation based on high-frequency data | |
| B0859: C.Y. Tang | |
| Pre-processing with orthogonal decompositions for high-dimensional explanatory variables |
| Session EO226 | Room: F1 |
| Clustering complex data: A Bayesian perspective | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Gary Rosner | Organizer: Alessandra Guglielmi |
| B0780: A. Guglielmi | |
| Clustering and predicting recurrent blood donations via donors' covariates | |
| B0816: F. Quintana, G. Page, G. Rosner | |
| Discovering interactions using covariate informed random partition models | |
| B1031: R. Argiento | |
| Normalized almost sure finite point processes for mixture models | |
| B1081: A. Cadonna, A. Guglielmi, A. Cremaschi | |
| Bayesian spatio-temporal clustering for areal data |
| Session EG004 | Room: Aula 4 |
| Contributions in bootstap for time series | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Soumendra Lahiri | Organizer: CMStatistics |
| B1232: J. Krampe, J.-P. Kreiss, E. Paparoditis | |
| Bootstrap-based inference for sparse high-dimensional time series models | |
| B1561: C. Cordeiro, M. Neves | |
| A forecasting-EVT method | |
| B1360: J.A. Reforsado, E. Barrios, J.R. Lansangan | |
| Sieve-based test for cointegration | |
| B1381: S.B. Aracid, E. Barrios, J.R. Lansangan | |
| Unit root test in a semiparametric model |
| Session EG569 | Room: Aula B |
| Contributions in covariance matrices | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Dongchu Sun | Organizer: CMStatistics |
| B1195: S. Kuriki, M. Drton | |
| Existence and uniqueness of maximum likelihood estimators of Kronecker product covariances | |
| B1422: D. Vats, J. Flegal | |
| Lugsail lag windows and their application to MCMC | |
| B1512: S. Cheng, J.-P. Argaud, D. Lucor, A. Poncot, B. Iooss | |
| Methods for improving background error covariance matrix rebuild in data assimilation | |
| B1612: V. Bilankulu, A. Bekker, C. Coelho | |
| Likelihood ratio test for the double level compound symmetric structure |
| Session EC636 | Room: Aula Magna |
| Contributions in high-dimensional statistics | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Natalia A Stepanova | Organizer: CMStatistics |
| B1595: R. D Adamo | |
| Cluster-robust standard errors for linear regression models with many controls | |
| B1581: N. de Schipper, K. Van Deun | |
| Revealing the joint mechanisms in traditional data linked with big data | |
| B1575: R. Kaneko, K. Yano, F. Komaki | |
| Asymptotically minimax predictive density for sparse Poisson sequence model with different sample sizes | |
| B1532: N. Trendafilov, L. Elden | |
| Semi-sparse PCA |
| Session EG163 | Room: Aula A |
| Contributions in time series I | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Holger Dette | Organizer: CMStatistics |
| B1308: J. Ditzen | |
| Estimating long run effects in models with cross sectional dependence | |
| B1346: A. Philippe, R. Leipus, V. Pilipauskaite, D. Surgailis | |
| Testing for long memory in panel random-coefficient AR(1) data | |
| B1519: P. Poncela, E. Ruiz, F. Corona | |
| Estimating non-stationary common factor: Implications for risk sharing | |
| B1602: A. Cardinali | |
| Multiscale asymptotics and stationarity test for stable locally stationary processes |
| Session EG053 | Room: B1 |
| Contributions in latent variable models and graphical models | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Wicher Bergsma | Organizer: CMStatistics |
| B0700: F. Pennoni, E. Genge | |
| Predicting trends of institutional confidence through a hidden Markov model with survey weights and missing responses | |
| B1611: M. Okudo, F. Komaki | |
| Scale-invariant estimations for the factor analysis model based on its geometric structure | |
| B1483: H. Naito, H. Hara | |
| Identifiability of discrete Bayesian network with a latent source | |
| B1628: E.A. Kovacs, N. Horvath, R. Molontay | |
| A novel computationally tractable algorithm for discovering probabilistic graphical models in high-dimensional data |
| Session EC637 | Room: C1 |
| Contributions in Bayesian methods | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Botond Szabo | Organizer: CMStatistics |
| B1429: V. Satopaa | |
| Bayes-Gaussian aggregation of a single set of forecasts | |
| B1479: P. Bhuyan | |
| Quantifying the causal effect of speed cameras using two-stage Bayesian bootstrap | |
| B1645: G. Li | |
| A Jacobian approach for the incidental parameter problem | |
| B1449: K. Okada | |
| Bayesian mixture item response modeling in the presence of noncompliers |
| Session EG515 | Room: D1 |
| Contributions in nonparametric regression | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Juan-Carlos Pardo-Fernandez | Organizer: CMStatistics |
| B1305: D. Gaigall | |
| An independence test for a nonparametric random effects meta-regression model | |
| B1326: T. Honda | |
| The de-biased group lasso estimation for varying coefficient models | |
| B1566: M. Baranyi, M. Bolla | |
| Nonparametric regression estimation in chain graph models | |
| B1294: G. Rivas, M.D. Jimenez-Gamero | |
| Faster computationally approximation for comparing the error distributions in nonparametric regression |
| Session EC638 | Room: E1 |
| Contributions in non- and semi-parametric methods | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Philippe Lambert | Organizer: CMStatistics |
| B1201: L. Amro, M. Pauly, F. Konietschke | |
| Multiplication-combination tests for incomplete paired data | |
| B1362: P.G. Doctolero, E. Barrios, J.R. Lansangan | |
| Estimating a semiparametric additive model for discrete choice data using backfitting algorithm | |
| B1435: H. Kew | |
| Adaptive estimation of semi-parametric partially linear predictive regression under heteroskedasticity | |
| B1465: S. Sugasawa | |
| Screening biomarkers associated with individual treatment effect |
| Session EG145 | Room: G1 |
| Contributions in sampling and design of experiments | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Helmut Waldl | Organizer: CMStatistics |
| B1419: L. McClure, L. Long, S. Tison, S. Judd, G. Howard, M. Cushman | |
| Statistical properties of sub-cohort selection when testing interactions in biomarker studies | |
| B1298: N. Nakhaeirad, M. Salehi | |
| On the appropriate rank-based sampling scheme for estimating the inequality indices | |
| B1361: L.A. Almero, E. Barrios, J.R. Lansangan | |
| A semiparametric mixed analysis of covariance model for a crossover design with carryover effects | |
| B1637: H. Waldl | |
| Misspecified covariance structure and optimal designs for prediction |
| Session EC644 | Room: H1 |
| Contributions in applied statistics II | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Concepcion Ausin | Organizer: CMStatistics |
| B1318: T. Chan, M. So, A. Chu | |
| Estimating the dependence of sensitive responses of mixed types in randomized response models | |
| B1587: C. Ausin, M. Gomez, C. Dominguez | |
| Bayesian hierarchical vine copula models for the analysis of glacier discharge | |
| B1653: C. Nava, C. Carota | |
| A Bayesian mixed multinomial logit model for partially microsimulated data on labor supply | |
| B1456: A.M. Di Brisco, S. Migliorati | |
| Spatial mixed model for areal data on the simplex |
| Session EC642 | Room: I1 |
| Contributions in methodological statistics | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Yvik Swan | Organizer: CMStatistics |
| B1469: G.-Y.T. Watanabe-Chang, N. Shinozaki | |
| A wider class of estimators of positive normal means, individual and simultaneity | |
| B1240: T. Lando | |
| Stochastic orders of transformed distributions | |
| B0883: C. Ramsay, V. Oguledo | |
| Discounted lifetime cost of post-retirement long-term care and annuity benefits under Markov mortality-morbidity models |
| Session EC640 | Room: L1 |
| Contributions in multivariate statistics | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Luis Angel Garcia-Escudero | Organizer: CMStatistics |
| B1457: Y. Di, A. Wood, H. Le, K. Bharath | |
| Central limit theorem for Betti numbers in stochastic block models for random graphs | |
| B1594: X. Meng, J. Taylor | |
| Weighted energy score | |
| B1633: R. Imai | |
| Bayesian minimax estimation for means in $k$ sample problems | |
| B1616: I. Zezula | |
| MANOVA in block compound symmetry setting |
| Session EC634 | Room: M1 |
| Contributions in functional data analysis | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Sonja Greven | Organizer: CMStatistics |
| B1460: I. Takasawa, K. Tanioka, H. Yadohisa | |
| Constrained LiNGAM approach for tensor data | |
| B1681: A. Ciarleglio | |
| Handling missing scalar and functional data in integrative analysis with applications to mental health research | |
| B0576: Y. Slaoui | |
| Bandwidth selection of recursive nonparametric relative regression for independent functional data | |
| B1623: F. Maturo, F. Fortuna, T. Di Battista | |
| Assessing diversity over time via functional data analysis and related tools |
| Session EC643 | Room: P1 |
| Contributions in statistical modelling | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Ori Davidov | Organizer: CMStatistics |
| B1369: S. Nakakita, M. Uchida | |
| Adaptive maximum-likelihood-type estimation for discretely and noisily observed diffusion processes | |
| B1397: L. Grilli, C. Rampichini, O. Paccagnella, M.F. Marino | |
| Multiple imputation and selection of ordinal level-2 predictors in multilevel models | |
| B1597: I. Bussoli | |
| Multi-omics integrated analysis by means of graphical models | |
| B1500: A. Carballo, M. Durban, D.-J. Lee | |
| A general framework for prediction in multidimensional smoothing |
| Session EC639 | Room: Q1 |
| Contributions in robust statistics | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Tim Verdonck | Organizer: CMStatistics |
| B0380: A. Garcia-Perez | |
| Saddlepoint approximations for the distribution of some robust estimators of the variogram | |
| B1325: A. Mishra, C.L. Mueller | |
| Robust regression with compositional covariates | |
| B1552: F. Alqallaf, C. Agostinelli | |
| Robust measurement errors method | |
| B1531: P. Mozharovskyi, P. Lafaye de Micheaux, M. Vimond | |
| Depth for curve data and applications |
| Parallel session F: CFE | Saturday 15.12.2018 | 08:45 - 10:05 |
| Session CO542 | Room: Q2 |
| Cryptocurrency | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Ostap Okhrin | Organizer: Ostap Okhrin |
| A0450: T. Klein, T. Walther, C. Wegener | |
| A cross section of expected cryptocurrency returns based on continuous betas | |
| A0524: S. Trimborn | |
| Discover regional and size effects in global bitcoin blockchain via sparse-group network autoregressive modeling | |
| A0565: M. Schmid | |
| Estimating higher distribution moments with high frequency data | |
| A1440: O. Okhrin | |
| On cryptocurrency |
| Session CG111 | Room: O1 |
| Contributions in copulas and applications | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Yarema Okhrin | Organizer: CFE |
| A1624: M. Magris | |
| A vine-copula extension for the HAR-RV model | |
| A1348: A. Stephan, M. Sahamkhadam | |
| Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for the financial crisis | |
| A1335: S. Wang, N. Apergis, G. Gozgor, C.K.M. Lau | |
| Tail dependence in the Australian electricity market: Evidences from the vine copula and the dependence-switching copula | |
| A1202: J. Ascorbebeitia, E. Ferreira, S. Orbe | |
| Nonparametric dynamic copula modelling to analyze dependence structures between domestic indexes |
| Session CG549 | Room: A2 |
| Contributions in financial modelling and forecasting | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Jiri Witzany | Organizer: CFE |
| A1319: C. Trucios | |
| Forecasting conditional covariance matrices in high-dimensional data using the general dynamic factor model | |
| A1477: F. Bellini, I. Peri | |
| On the properties of $\Lambda$-quantiles | |
| A1511: P. Tzika, T. Pantelidis | |
| Economic policy uncertainty as an indicator of abrupt movements in the US stock market | |
| A1713: J. Witzany, M. Ficura | |
| Sequential Gibbs particle filter algorithm with an application to stochastic volatility and jumps estimation |
| Session CG125 | Room: B2 |
| Contributions in portfolio optimization II | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Zinoviy Landsman | Organizer: CFE |
| A1338: M. Sahamkhadam | |
| Portfolio optimization based on multivariate GARCH copula models | |
| A1357: T. Kobayashi, N. Makimoto | |
| Bond portfolio optimization using regime switching dynamic Nelson Siegel models | |
| A1517: M. Hronec | |
| Portfolio diversification in the spectral domain | |
| A1609: Z. Ye, C.S. Pun | |
| Dynamically optimal multi-period mean-variance portfolio selection with transaction costs and no-shorting constraint |
| Session CG018 | Room: C2 |
| Contributions in structural breaks | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Arnaud Dufays | Organizer: CFE |
| A1342: A. Schmidt, K. Schweikert | |
| Multiple structural breaks in cointegrating regressions: A model selection approach | |
| A1389: A. Dufays, E. Houndetoungan | |
| Selective linear segmentation for detecting relevant parameter changes | |
| A1464: M. Segnon | |
| Modelling long memory and structural breaks in count data | |
| A1558: A. Allayioti, F. Venditti | |
| Forecasting commodity prices in a data-rich, unstable environment |
| Session CG377 | Room: D2 |
| Contributions in financial econometrics II | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Eduardo Rossi | Organizer: CFE |
| A1722: G. Martos, M. de Carvalho | |
| Brexit: Tracking and disentangling the sentiment towards leaving the EU | |
| A1503: E. Senra, J. Bogalo, P. Poncela | |
| Multivariate automated circulant SSA | |
| A1672: M. Smid | |
| On distribution of order books | |
| A1638: F. Cordoni, F. Corsi | |
| Identification of overdetermined structural VAR models |
| Session CG095 | Room: E2 |
| Contributions in asset pricing | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Francesco Violante | Organizer: CFE |
| A1472: J. Barunik, C.Y.-H. Chen, W.K. Haerdle | |
| Tales of sentiment driven tails | |
| A1502: M. Nevrla, J. Barunik | |
| Tail risks, asset prices, and investment horizons | |
| A1506: L. Vacha, J. Barunik | |
| Dynamic quantile models, rational inattention, and asset prices | |
| A1495: F. Cech, J. Barunik | |
| Dynamic quantile model for bond pricing |
| Session CG067 | Room: F2 |
| Contributions in financial markets | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Teruo Nakatsuma | Organizer: CFE |
| A0265: H.-P. Otto | |
| Market efficiency: Saudi stock exchange | |
| A1395: M. Baltakiene, K. Baltakys, H. Karkkainen, J. Kanniainen | |
| Neighbors matter: Geographical distance and trade timing in the stock market | |
| A1454: M. Siikanen, J. Kanniainen, U. Noegel | |
| Liquidity in the FX market: Empirical evidence from an aggregator | |
| A1539: M. Pedio, E. Hansen, M. Guidolin | |
| Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach |
| Session CG463 | Room: G2 |
| Contributions in machine learning for time series forecasting | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Harish Bhat | Organizer: CFE |
| A1312: K. Yousuf, S. Ng | |
| $L_2$ boosting for high dimensional locally stationary time series | |
| A1371: H. Stone | |
| Calibrating rough volatility models: A convolutional neural network approach | |
| A1482: C. Chu, P.K. Chan | |
| Decomposition of high frequency Forex signals for copula based pairs trading strategy with support vector regression | |
| A1673: A. Giovannelli | |
| Comparing linear and non-linear dynamic factor models for large macroeconomic datasets |
| Session CC650 | Room: H2 |
| Contributions in computational econometrics | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Christophe Croux | Organizer: CFE |
| A1458: J. Leite, J.C. Dias, J.P. Nunes | |
| On the computation of discrete mixtures of continuous distributions: Theoretical stability of algorithms | |
| A1615: M. Martinoli, R. Seri | |
| A minimum-distance estimator for the calibration of simulation models | |
| A1505: E. Ciavolino, R. Bernardini Papalia, M. Carpita, E. Fernandez Vazquez | |
| GME discrete model with exogenous spatial effect variable for the job satisfaction | |
| A1630: T. Dubiel-Teleszynski, K. Kalogeropoulos, N. Karouzakis | |
| Estimating bond risk premia via sequential learning |
| Session CG016 | Room: I2 |
| Contributions in financial time series | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Roxana Halbleib | Organizer: CFE |
| A1375: A. Heinemann, E. Beutner, S. Smeekes | |
| A residual bootstrap for conditional value-at-risk | |
| A1712: M. Ficura, J. Witzany | |
| Forecasting stochastic volatility with realized volatility estimators and particle filters | |
| A1553: P. Chirico | |
| QML estimation of a stochastic volatility with leverage and size effect model | |
| A1554: G. Buccheri, G. Bormetti, F. Corsi, F. Lillo | |
| A general class of score-driven smoothers |
| Session CG065 | Room: M2 |
| Contributions in macroeconomic policies and macroeconometrics | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Giorgio Primiceri | Organizer: CFE |
| A1209: M. Santana Gallego | |
| International trade, exchange rate regimes, and financial crises | |
| A1560: B. Rossi, A. Inoue | |
| The effects of conventional and unconventional monetary policy on exchange rates | |
| A0610: V. Ajevskis | |
| Impulse response functions in DSGE models as a perturbation to the deterministic solution | |
| A1667: H.-M. Krolzig, R. Heinlein | |
| Symmetry and separability in two-country cointegrated vector autoregressive processes |
| Session CG539 | Room: N2 |
| Contributions in long memory | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Liudas Giraitis | Organizer: CFE |
| A0903: T. Hartl | |
| Macroeconomic forecasting with fractional factor models | |
| A1409: M. Stapper | |
| Long memory conditional heteroscedasticity in count data | |
| A1690: A. Pereverzin | |
| On the long memory feature through temporal aggregation | |
| A1246: A. Cornea-Madeira, J. Madeira | |
| A new filter for long memory time series |
| Session CG533 | Room: O2 |
| Contributions in inflation | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Tomasz Lyziak | Organizer: CFE |
| A1590: L.J. Alvarez, L. Gadea, A. Gomez-Loscos | |
| Inflation comovements in advanced economies | |
| A1333: A. Halka, A. Leszczynska-Paczesna | |
| Price convergence in the European Union: What has changed | |
| A1387: A. Zubarev | |
| On the estimation of the Phillips curve for the Russian economy | |
| A1428: K. Szafranek | |
| Sources of inflation comovements |
| Session CG093 | Room: P2 |
| Contributions in Bayesian econometrics | Saturday 15.12.2018 08:45 - 10:05 |
| Chair: Richard Gerlach | Organizer: CFE |
| A0372: P. Szerszen, D. Dobrev, D. Hansen | |
| A randomized missing data approach to robust filtering with applications to economics and finance | |
| A1583: D. Hosszejni, G. Kastner | |
| Efficient Bayesian estimation of the stochastic volatility model with leverage | |
| A1640: A. Thomas, B. Sevi | |
| Real-time forecasts of Henry Hub natural gas prices |
| Parallel session G: CMStatistics | Saturday 15.12.2018 | 10:35 - 12:40 |
| Session EO482 | Room: Aula 5 |
| Recent advances in the analysis of complex data | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Ci-Ren Jiang | Organizer: Xiaoke Zhang |
| B0307: C.-R. Jiang, L.-H. Chen | |
| Inverse regression for multivariate functional data: Application to renewable energy forecast | |
| B0860: C. Hu | |
| Use of multistate model for multiple endpoints in oncology clinical trials analysis and designs | |
| B1035: M. Ahn | |
| A computationally efficient algorithm for random effects selection in linear mixed models | |
| B1131: Y. Zhao, Q. Pan, C. Du | |
| Logistic regression augmented community detection | |
| B1227: Y. Li | |
| Weighted estimators of the complier average causal effect on restricted mean survival time |
| Session EO588 | Room: Aula B |
| Modern approaches to high dimensional data analysis | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Jaroslaw Harezlak | Organizer: Jaroslaw Harezlak |
| B0542: F. Zhang | |
| Hierarchical Bayesian models for integrating multimodal neuroimaging data | |
| B0629: N. Dai, H. Kang, G. Jones, M. Fiecas | |
| A Bayesian latent spatial model for mapping the cortical signature of progression to Alzheimer's disease | |
| B0751: X. Hu, M. Trosset | |
| Two-sample tests for unweighted random graphs generated from latent space models | |
| B0849: S. Wilczynski, P. Sobczyk, M. Bogdan, J. Josse | |
| Multiple latent components clustering | |
| B0856: Y. Zhao | |
| Covariate assisted principal regression for covariance matrix outcomes |
| Session EO338 | Room: Aula Magna |
| Large scale statistical inference: Methodology and applications | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Tetyana Pavlenko | Organizer: Tetyana Pavlenko |
| B0389: M. Hyodo, H. Watanabe | |
| On simultaneous confidence interval estimation for the difference of paired mean vectors in high-dimensional settings | |
| B0453: T. Nishiyama, M. Hyodo, T. Pavlenko | |
| Testing independence in high-dimensional data: $\rho$V-coefficient based approach | |
| B0534: A. Tillander, T. Pavlenko | |
| Detection of non-null effects in linear models for sparse mixtures | |
| B0651: T. Pavlenko, F. Rios | |
| Bayesian predictive inference in decomposable graphs using sequential Monte Carlo samplers | |
| B0722: N.A. Stepanova, C. Butucea | |
| Optimal recovery of sparse additive signals |
| Session EO052 | Room: A1 |
| Advances in latent variable models for complex data | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Silvia Cagnone | Organizer: Silvia Cagnone |
| B0560: V. Vasdekis, K. Florios, D. Rizopoulos, I. Moustaki | |
| Model averaging weighted estimators for latent variable models in a longitudinal data setting | |
| B0821: S. Taskinen, J. Niku | |
| Generalized linear latent variable models in the analysis of ecological data | |
| B0826: M. Battauz, R. Bellio | |
| A regularized estimation approach for the three-parameter logistic model | |
| B0857: G. McLachlan | |
| On the use of latent variables to extend Gaussian mixture models | |
| B0911: M. Farne, M. Barigozzi | |
| An algebraic estimator for large spectral matrices |
| Session EO178 | Room: Aula A |
| Markov switching regression and hidden Markov models | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Thomas Kneib | Organizer: Thomas Kneib, Roland Langrock |
| B0547: J. Hambuckers, T. Kneib | |
| Modeling non-stationary operational risk: A smooth-transition distributional regression approach | |
| B0842: J. Pohle, R. Langrock, R. King, M. van der Schaar | |
| Coupled Markov-switching regression models with application to electronic health record data | |
| B0863: M. Oetting, R. Langrock, C. Deutscher, V. Leos-Barajas | |
| An analysis of a hot hand effect in professional darts using state-space models | |
| B0897: T. Adam, V. Leos-Barajas, R. Langrock | |
| Joint modeling of multi-scale time series data using hierarchical hidden Markov models | |
| B0290: A. Farcomeni, G. Anderson, M.G. Pittau, R. Zelli | |
| Time-specific clustering via rectangular latent Markov models, with an analysis of the well-being of nations |
| Session EO344 | Room: Aula C |
| Optimisation for machine learning and online methods | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Stephane Gaiffas | Organizer: Stephane Gaiffas |
| B1206: J. Mourtada, S. Gaiffas | |
| On the optimality of the standard Hedge algorithm in the stochastic setting | |
| B1356: A. Dieuleveut | |
| Non-asymptotic analysis of local-SGD | |
| B1518: M. Bompaire, S. Gaiffas, E. Bacry | |
| Dual optimization for convex constrained objectives without the gradient-Lipschitz assumption | |
| B1548: P. Tardivel | |
| On the properties of sign estimators derived from hard thresholded lasso and hard thresholded basis pursuit | |
| B1529: J. Lam-Weil, A. Carpentier, G. Blanchard, J. Achdou | |
| A minimax near-optimal algorithm for adaptive rejection sampling | |
| B1727: L. Carratino, L. Rosasco | |
| Learning with implicit regularization and sketching |
| Session EO619 | Room: B1 |
| Causality: Modeling, reasoning, estimation and prediction I | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Vanessa Didelez | Organizer: Marloes Maathuis |
| B1214: Y.S. Wang | |
| Causal discovery with non-Gaussian data and latent variables | |
| B0588: Y. Wang, C. Squires, A. Belyaeva, C. Uhler | |
| Direct estimation of differences in causal graphs | |
| B1267: E. Perkovic, M. Kalisch, M. Maathuis | |
| Identifiability of total causal effects from observational data | |
| B0811: L. Henckel, E. Perkovic, M. Maathuis | |
| Graphical criteria for efficient covariate adjustment in causal linear structural equation models | |
| B1183: M. Liskiewicz, B. van der Zander | |
| Detection of instrumental variables in causal models: An algorithmic framework |
| Session EO186 | Room: C1 |
| Model specification tests | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Maria Dolores Jimenez-Gamero | Organizer: Maria Dolores Jimenez-Gamero |
| B0339: B. Milosevic, M. Cuparic, M. Obradovic | |
| New consistent goodness-of-fit tests based on $V$-empirical Laplace transforms | |
| B0730: K. Volkova | |
| New goodness-of-fit tests based on the functionals of U-empirical processes | |
| B0733: V. Alba-Fernandez, M.D. Jimenez-Gamero, F. Jimenez-Jimenez | |
| Modeling social preferences by using penalized phi-divergence measures | |
| B1145: J. Allison, S. Meintanis, J. Ngatchou-Wandji | |
| A characteristic function based test for serial independence in vector autoregressive models | |
| B1223: J.-C. Pardo-Fernandez, M.D. Jimenez-Gamero | |
| A model specification test for the variance function in nonparametric regression |
| Session EO514 | Room: D1 |
| Recent advances in nonparametric methods | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Marinho Bertanha | Organizer: Sebastian Calonico |
| B1274: B. Frandsen | |
| A rational approach to inference on multiple parameters | |
| B1275: Y. Sasaki, T. Ura | |
| Inference for moments of ratios with robustness against large trimming bias and unknown convergence rate | |
| B1285: M. Bertanha, G. Imbens | |
| External validity in fuzzy regression discontinuity designs | |
| B1286: O. Bartalotti, S. Dieterle, Q. Brummet | |
| A correction for regression discontinuity designs with group-specific mismeasurement of the running variable | |
| B1297: D. Arkhangelskiy | |
| Dealing with a technological bias: The difference-in-difference approach |
| Session EO162 | Room: E1 |
| Recent developments in network data analysis | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Krishnakumar Balasubramanian | Organizer: Shujie Ma |
| B0205: D. Choi | |
| Global spectral clustering of dynamic networks | |
| B0498: A.Y. Zhang | |
| Theoretic and computational guarantee for mean-field variational Bayes methods on community detection | |
| B0500: Y. Zhang | |
| Transform-based unsupervised point registration and unseeded low-rank graph matching | |
| B0954: M. Xu, P.-L. Loh, V. Jog | |
| Optimal rates for community estimation in the weighted stochastic block model | |
| B1170: M. Tang, A. Athreya, Y. Park, C. Priebe | |
| On estimation and inference in latent structure random graphs |
| Session EO136 | Room: F1 |
| Dimension reduction and high-dimensional supervised learning | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Andreas Artemiou | Organizer: Xin Zhang |
| B0327: H. Chun | |
| A nonnegative robust linear model for deconvolution of proportions with biological applications | |
| B0313: R. Zhu, D. Zeng, Q. Sun, T. Wang | |
| Counting process based dimension reduction methods for censored outcomes | |
| B0346: C.E. Lee, X. Zhang, X. Shao | |
| The central mean envelope for dimension reduction | |
| B0194: Y. Pan, Q. Mai, X. Zhang | |
| Covariate-adjusted tensor classification in high-dimensions | |
| B1735: W. Luo | |
| A general framework for sparse sufficient dimension reduction |
| Session EO332 | Room: G1 |
| Survival analysis and copula | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Takeshi Emura | Organizer: Takeshi Emura |
| Session EO242 | Room: H1 |
| New methodologies and advances in survival and reliability | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Juan Eloy Ruiz-Castro | Organizer: Mariangela Zenga, Juan Eloy Ruiz-Castro |
| B0396: M. Restaino, H. Dai | |
| A proportional hazards model under bivariate censoring and truncation | |
| B0445: G. Kelly, R. Menezes | |
| Towards reliable spatial prediction | |
| B0871: F. Nicolussi, M. Mazzoleni, S. Frassoni, M. Monturano, R. Bellocco, V. Bagnardi | |
| Joint modelling of bivariate longitudinal data: Application to the recovery of sexual function and urinary continence | |
| B0974: A. Marshall, M. Zenga | |
| Using Coxian phase-type distributions and survival trees to model length of stay of elderly patients in Italy hospitals | |
| B0621: J.E. Ruiz-Castro, M. Dawabsha | |
| A multi-state $k$-out-of-$n$: G system subject to multiple events and loss of units |
| Session EO172 | Room: I1 |
| Computational statistics in distribution theory | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Andriette Bekker | Organizer: Theodor Loots, Andriette Bekker |
| B0303: M. Arashi | |
| The Mobius distribution with spiral motion | |
| B0507: C. Coelho, F. Marques | |
| The likelihood ratio test of independence for random size samples | |
| B0527: A. Iranmanesh | |
| A new matrix variate gamma distribution with applications | |
| B0661: D. Chen, Y. Lio, T. Cronje | |
| Generalized Rayleigh-exponential-Weibull distribution and progressively type-I interval-censored data | |
| B1062: T. Loots, A. Bekker | |
| A wrapped skew generalised normal family |
| Session EO404 | Room: L1 |
| Soft clustering | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Maria Brigida Ferraro | Organizer: Maria Brigida Ferraro |
| B0532: Y. Mori, T. Yoshioka, M. Kuroda | |
| Computational efficiency for fuzzy clustering | |
| B0653: A. Serafini, M.B. Ferraro, P. Giordani | |
| The fclust R package for fuzzy clustering: A new version | |
| B1172: S. DAngelo, M. Fop, M. Alfo | |
| An infinite mixture model for clustering of multiplex data | |
| B1484: S. Millard, F. Kanfer, M. Arashi | |
| Semi parametric mixtures of generalised linear models | |
| B1489: F. Kanfer, S. Millard, M. Arashi | |
| Applications of scale mixtures in the exponential family |
| Session EO292 | Room: M1 |
| New developments on robustness and functional data analysis | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Juan Romo | Organizer: Juan Romo, Graciela Boente |
| B0649: A. Nieto-Reyes, J. Aston | |
| Robustness on big functional data depths | |
| B0767: A. Christmann | |
| Notions of robustness and stability in machine learning | |
| B1498: A. Martino, A. Ghiglietti, F. Ieva, A.M. Paganoni | |
| A clustering procedure for multivariate functional data based on a Mahalanobis type distance | |
| B1525: L. Fernandez Piana, S. Gonzalez, A. Justel, J. Rodriguez-Puerta, M. Svarc | |
| Selection of unsupervised classification methods for functional data | |
| B1715: M. Fuentes | |
| High dimensional tensor regression for neuroimaging data |
| Session EO430 | Room: N1 |
| Modelling extremes with covariates | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Juan Juan Cai | Organizer: Juan Juan Cai |
| B0342: J. Velthoen, J.J. Cai, G. Jongbloed, M. Schmeits | |
| Improving precipitation forecast using extreme quantile regression | |
| B0646: L. Mhalla, M. de Carvalho, V. Chavez-Demoulin | |
| Regression type models for extremal dependence | |
| B1309: P. Jonathan, D. Randell, E. Zanini, E. Ross, M. Jones | |
| Efficient adaptive covariate modelling for extremes | |
| B1414: Y. Goegebeur, A. Guillou, J. Qin | |
| Bias-corrected estimation for conditional Pareto-type distributions with random right censoring | |
| B0935: W. Wang, X. Leng, H. Chen | |
| Latent group structures with heterogeneous distributions: Identification and estimation |
| Session EO128 | Room: O1 |
| Choosing bandwidths and tuning parameters | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Maria-Dolores Martinez-Miranda | Organizer: Maria-Dolores Martinez-Miranda |
| B0511: C. Tenreiro | |
| Data-based selection of the tuning parameter appearing in certain families of goodness-of-fit tests | |
| B0907: M.I. Borrajo, J.E. Chacon, A. Rodriguez-Casal | |
| Taking advantage of the optimal kernel in nonparametric density estimation | |
| B0934: M.-C. Van Lieshout, O. Cronie | |
| A non-model-based approach to bandwidth selection for kernel intensity estimators | |
| B0485: I. Barbeito, S. Sperlich, R. Cao | |
| Bandwidth selection for prediction in regression | |
| B0909: M.-D. Martinez-Miranda, M.L. Gamiz, J.P. Nielsen | |
| Multiplicative local linear hazard estimation and best one-sided cross-validation |
| Session EO368 | Room: Q1 |
| Going robust: New developments and applications | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Vanda Lourenco | Organizer: Vanda Lourenco, Alfio Marazzi |
| B0772: A. Posekany | |
| Detecting outliers on microarrays with mixtures of normal and heavy-tailed distributions | |
| B0970: J. Raymaekers, P. Rousseeuw | |
| A generalized spatial sign covariance matrix | |
| B1187: L. Greco, C. Agostinelli | |
| Robust multivariate methods based on the weighted likelihood | |
| B1185: L. Ventura, E. Ruli, N. Sartori | |
| Robustness in Bayesian inference | |
| B0173: L.A. Garcia-Escudero, A. Mayo-Iscar, M. Riani, A. Cerioli | |
| Robust clustering based on determinants-and-shape constraints |
| Session EO260 | Room: O2 |
| CSDA journal: Time series and nonparametric methods | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Stephen Pollock | Organizer: Erricos John Kontoghiorghes |
| B1071: J.-P. Kreiss, M. Meyer, E. Paparoditis | |
| A frequency domain bootstrap for general stationary processes | |
| B1112: E. Beutner, H. Zaehle | |
| Density estimators that can be plugged in | |
| B0764: M. Hirukawa | |
| Bias correction for local linear regression estimation using asymmetric kernels via the skewing method | |
| B0654: Y.K. Lee, E. Mammen, J.P. Nielsen, B. Park | |
| Generalised additive dependency inflated models including aggregated covariate |
| Session EO036 | Room: P2 |
| Bayesian semi- and nonparametric modelling I | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Li Ma | Organizer: Li Ma, Raffaele Argiento, Matteo Ruggiero |
| B0404: Y. Xu, F. Xie | |
| Bayesian repulsive Gaussian mixture model with its applications to EHR | |
| B0440: M. Daniels | |
| A Bayesian nonparametric approach for causal inference with semi-competing risks | |
| B0517: C. Grazian, G. Mastrantonio, E. Bibbona | |
| Dirichlet processes and copulas | |
| B1207: B. Nipoti, A. Canale, R. Corradin | |
| Augmented conditional sampler for nonparametric mixture models | |
| B0980: B. Szabo | |
| On Bayesian uncertainty quantification in sparse high-dimensional models |
| Session EO040 | Room: Q2 |
| Novel Bayesian applications and methods | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Christopher Hans | Organizer: Christopher Hans |
| Session EP002 | Room: Ground Level Hall |
| Poster Session I | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Elena Fernandez Iglesias | Organizer: CMStatistics |
| Parallel session G: CFE | Saturday 15.12.2018 | 10:35 - 12:40 |
| Session CI017 (Special Invited Session) | Room: A0 |
| Bayesian macroeconometrics | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Toshiaki Watanabe | Organizer: Toshiaki Watanabe |
| A0175: M. Del Negro | |
| A Bayesian approach for inference on probabilistic surveys | |
| A0176: G. Primiceri | |
| Economic predictions with big data: The illusion of sparsity done | |
| A0180: C.-J. Kim, J. Kim | |
| Non-Markovian regime switching models |
| Session CO578 | Room: P1 |
| Advances in spatial econometrics | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Federico Martellosio | Organizer: Federico Martellosio |
| A0805: F. Rossi, J. Lee, P.C. Phillips | |
| Misspecification testing in spatial autoregressive models | |
| A1079: A. Gupta, X. Qu | |
| Consistent specification testing under network dependence | |
| A0406: D. Preinerstorfer | |
| How to avoid the zero-power-trap in testing for correlation | |
| A0693: S. Leorato, A. Martinelli | |
| Matrix spatial specification models | |
| A1133: F. Martellosio | |
| Adjusted maximum likelihood inference for spatial fixed effects models |
| Session CO168 | Room: A2 |
| Advances in time series and financial econometrics | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Roxana Halbleib | Organizer: Roxana Halbleib |
| A0233: G. Fiorentini, T. Almuzara, E. Sentana | |
| U.S. aggregate output measurement: A common trend approach | |
| A0457: C. Muecher, R. Halbleib, G. Calzolari | |
| Estimation of multivariate factor stochastic volatility models | |
| A0862: J. Schnaitmann, J. Grammig, D. Elshiaty | |
| Indirect inference estimation of misspecified DSGE asset pricing models using nonlinear vector autoregressions |
| Session CO122 | Room: B2 |
| Topics in financial econometrics | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Leopold Soegner | Organizer: Leopold Soegner, Joern Sass |
| A0392: A.-K. Thoes, J. Sass | |
| Risk reduction and portfolio optimization using clustering methods | |
| A0421: K. Lucivjanska, A. Weissensteiner, N. Branger | |
| Optimal granularity for portfolio choice | |
| A0606: K. Poetzelberger | |
| Estimators of the boundary in inverse first exit problems | |
| A0846: S. Gur, K. Poetzelberger | |
| Sensitivity of boundary crossing probabilities of the Brownian motion | |
| A1146: S. Voigt, N. Hautsch, C. Scheuch | |
| Price efficiency in markets with stochastic latency |
| Session CO320 | Room: C2 |
| Advances in credit risk modelling | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Raffaella Calabrese | Organizer: Jonathan Crook, Raffaella Calabrese |
| A0366: J. Crook, V. Djeundje | |
| Identifying hidden patterns in credit risk survival data using generalised additive models | |
| A0529: C. Liberati, G. Andreeva | |
| Behavioural attitudes and financial performance: New ideas for segmenting bank customers | |
| A0665: M. DeglInnocenti, R. Calabrese, S. Zhou | |
| Access to finance and growth of innovative SMEs after Brexit | |
| A0804: M. Kesina, R. Calabrese | |
| A Bayesian spatial sample selection model with an application to credit constraints for small businesses | |
| A1106: P. Giudici, A. Agosto | |
| Network-based PARX models to measure contagion in credit default counts |
| Session CO148 | Room: D2 |
| Energy economics | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Francesco Ravazzolo | Organizer: Angelica Gianfreda, Francesco Ravazzolo |
| A0714: A. Menapace, F.M.L. Di Lascio, M. Righetti | |
| A copula-based modelling of peak district heating demand and outdoor temperature | |
| A1002: R. Hornegold, M. Lorusso, M. Costola | |
| Measuring the spillover effects of commodities prices and international markets on the Russian stock exchange | |
| A1174: A. Gianfreda, L. Parisio, M. Pelagatti | |
| The RES-induced switching effect across fossil fuels: An analysis of day-ahead and balancing prices | |
| A1188: M. Marchese, M. Marchese, F. Di Iorio | |
| Value at risk and extreme value theory for oil prices: a long memory multivariate GARCH approach | |
| A0947: B. Xu | |
| Global oil market uncertainty and oil prices |
| Session CO150 | Room: E2 |
| Topics in mathematical finance and machine learning | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Jan Vecer | Organizer: Jan Vecer |
| Session CO330 | Room: F2 |
| Econometric analysis of commodities and commodity futures | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Claudia Wellenreuther | Organizer: Claudia Wellenreuther |
| A0235: C. Gilbert | |
| A model of grains prices with application to the impact of biofuels | |
| A0394: N. Zhao, A.-M. Fuertes | |
| A Bayesian commodity style-integration framework | |
| A0577: C. Pirrong, N. Ebrahimi | |
| Oil jump risk | |
| A0848: C. Brunetti, J. Harris | |
| Crude oil price movements and institutional traders | |
| A1243: M. Stefan, M.T. Bohl, P. Siklos, C. Wellenreuther | |
| Price discovery in commodity markets: On the contribution of speculators |
| Session CO098 | Room: G2 |
| Small-sample asymptotics | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Benjamin Holcblat | Organizer: Benjamin Holcblat |
| A0271: M. Fasiolo | |
| An extended empirical saddlepoint approximation for intractable likelihoods | |
| A0437: A. Wood, R.W. Butler | |
| Limiting saddlepoint relative errors under purely Tauberian conditions | |
| A0214: F. Sowell, B. Holcblat | |
| On solutions to estimating equations and the empirical saddlepoint approximation of their distribution | |
| A0256: J. Kolassa | |
| Small sample proportional hazards inference, with application to mortgage prepayment | |
| A0399: A. Jacquier | |
| Large and moderate deviations for option pricing |
| Session CO564 | Room: H2 |
| Speculative bubbles | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Robinson Kruse-Becher | Organizer: Robinson Kruse-Becher |
| A0280: E. Whitehouse, D. Harvey, S. Leybourne | |
| Date-stamping multiple bubble regimes | |
| A0298: C. Wegener, D. Guegan, R. Kruse-Becher, H.-J. von Mettenheim | |
| Risk measures under explosiveness | |
| A0623: R. McCrorie, I. Figuerola-Ferretti, I. Paraskevopoulos | |
| Mild explosivity in recent crude oil prices | |
| A0491: A. Banerjee, G. Chevillon | |
| Exuberance: Sentiments driven buoyancy | |
| A1007: M. Demetrescu | |
| Monitoring asset price bubbles in real-time in the presence of nonstationary volatility |
| Session CO605 | Room: I2 |
| Specification testing in financial econometrics | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Dominik Wied | Organizer: Dominik Wied |
| A0187: M. Barassi, B. McCabe, Y. Zhao | |
| Weighted CUSUM tests for the stability of the correlation structure of multivariate volatility models | |
| A0186: F. Stark, H. Manner, D. Wied | |
| A monitoring procedure for detecting structural breaks in factor copula models | |
| A0253: T. Kutzker, F. Stark, D. Wied | |
| A non-parametric cusum-type test for testing relevant change in copulas | |
| A0571: W. Wu, H. Dette | |
| Detecting relevant changes in the mean of non-stationary processes: A mass excess approach | |
| A1152: E. Theising, M. Wagner, D. Wied | |
| Monitoring cointegration in a system of homogeneous cointegrating regressions |
| Session CO064 | Room: M2 |
| Macroeconomic policies and macroeconometrics | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Etsuro Shioji | Organizer: Etsuro Shioji |
| A0478: E. Shioji | |
| Infrastructure investment news and business cycles in Japan: Evidence from the VAR with an external instrument | |
| A0681: H. Morita | |
| Empirical analysis on the effects of Japanese fiscal policy under the effective lower bound | |
| A0737: Y. Yamamoto | |
| Identifying factor-augmented vector autoregression models via changes in shock variances | |
| A0852: M. Shintani, R. Kinoshita, K. Oya | |
| Frequency-wise causality analysis in infinite order vector autoregressive processes |
| Session CO176 | Room: N2 |
| Time series econometrics I | Saturday 15.12.2018 10:35 - 12:40 |
| Chair: Antonio Montanes | Organizer: Antonio Montanes |
| A0627: L. Gadea | |
| A new approach to dating the reference cycle | |
| A1074: J.L. Carrion-i-Silvestre, A. Banerjee | |
| Panel data cointegration analysis with structural instabilities | |
| A1054: J. Sapena, M. Camarero, C. Tamarit | |
| The dynamics of external reaction functions: The role of financial globalization and risk aversion | |
| A1129: A. Montanes | |
| Is there just a climate change? | |
| A1537: J. Gonzalo Munoz, J.Y. Peng | |
| Multiple long-run equilibria: Threshold cointegration |
| Parallel session H: CMStatistics | Saturday 15.12.2018 | 14:10 - 15:50 |
| Session EO326 | Room: Aula 4 |
| Model selection | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Keith Knight | Organizer: Keith Knight |
| B0195: S. Li | |
| Debiasing the debaised lasso with bootstrap | |
| B0226: U. Schneider, K. Ewald | |
| On the model selection properties and uniqueness of the lasso | |
| B1077: M. Bogdan, P.J. Kremer, S. Paterlini, S. Lee | |
| Sparse portfolio selection via the sorted $L_1$ norm | |
| B1408: S. Sardy | |
| Model selection with missing data |
| Session EO240 | Room: Aula 5 |
| Recent advances in complex data analysis | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Alejandro Murua | Organizer: Xinyuan Song |
| B1461: A. Murua, F. Adjogou, W. Raffelsberger | |
| Bayesian lasso time-course data clustering | |
| B1574: J. Shi, Q.-M. Shao, L. Gao | |
| A Cramer moderate deviation theorem for general self-normalized sums | |
| B1576: C. Li, C.Y. Yau, K. Chen, L.H. Chan, C.W. Wong | |
| On higher order moment and cumulant estimation |
| Session EO418 | Room: Aula B |
| Large-scale and complex data analysis | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: George Michailidis | Organizer: Moulinath Banerjee, Mladen Kolar |
| B0825: S. Sengupta | |
| Anomaly detection in static networks using egonets | |
| B1169: Y. Sun | |
| Geometric inference in admixture models | |
| B1317: G. Michailidis | |
| A Bayesian framework for joint estimation of multiple networks | |
| B1191: P. Toulis | |
| Statistics of stochastic gradient descent: Stability, efficiency, and inference |
| Session EO026 | Room: Aula Magna |
| Advances in high-dimensional and functional time series analysis | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Dominik Liebl | Organizer: Alexander Aue |
| B0854: D. Kowal | |
| Dynamic function-on-scalars regression | |
| B0932: A. van Delft, H. Dette | |
| A similarity measure for non-stationary functional time series with applications to clustering and testing | |
| B1015: S. Richter, J. Krampe, J.-P. Kreiss, E. Paparoditis | |
| High-dimensional curve estimation in time-varying models | |
| B1400: G. Rice, A. Aue | |
| Change point analysis with functional time series |
| Session EO629 | Room: Sala Convegni |
| Statistics in sports: Some recent developments | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Xin Liu | Organizer: Ivor Cribben |
| B0241: X. Liu, K. Pelechrinis, W. Winston | |
| Positional value in soccer: Expected league points added above replacement | |
| B0304: K. Pazdernik, J. Kvam | |
| Dynamic modeling of player movement in American football | |
| B0668: M. Richard, J. Vecer | |
| Martingale testing of football betting odds | |
| B1704: L. Pappalardo | |
| Towards a comprehensive data-driven evaluation of soccer players performance |
| Session EO460 | Room: A1 |
| Statistical methods in radiation research | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Manuel Higueras | Organizer: Manuel Higueras |
| B0284: J. Einbeck | |
| Quasi-Poisson regression models for radiation dose estimation from biomarkers | |
| B0381: M. Higueras | |
| Towards a new R package for fitting Poisson linear excess relative risk models | |
| B0766: S. Ancelet, S. Hoffman, C. Guihenneuc | |
| A Bayesian hierarchical approach to account for shared and unshared exposure uncertainty in radiation epidemiology | |
| B0287: A. Fernandez-Fontelo, P. Puig, E. Ainsbury, M. Higueras | |
| How to detect zero inflation in biological dosimetry data: An exact test for the Poisson distribution |
| Session EO290 | Room: Aula A |
| Empirical processes and applications | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Henryk Zaehle | Organizer: Eric Beutner, Henryk Zaehle |
| B0379: S. Bouzebda | |
| Some results about the strong approximations of the empirical processes | |
| B0616: U. Hounyo | |
| Inference for local distributions at high sampling frequencies: A bootstrap approach | |
| B0850: M.D. Jimenez-Gamero | |
| Testing the equality of a large number of means of functional data | |
| B0586: T. Kaji | |
| Switching to the new norm: From heuristics to formal tests using integrable empirical processes |
| Session EO250 | Room: Aula C |
| Machine learning and robustness | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Andreas Christmann | Organizer: Andreas Christmann, Ding-Xuan Zhou |
| B0431: Y. Ying | |
| Stability and generalization of stochastic gradient descent for pairwise learning | |
| B0945: J. Fan | |
| Statistical learning for modal regression | |
| B0987: I. Steinwart | |
| Efficient kernel-based learning by localization | |
| B1725: L. Rosasco | |
| Unconventional regularization for efficient machine learning |
| Session EO607 | Room: B1 |
| Causality: Modeling, reasoning, estimation and prediction II | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Joris Mooij | Organizer: Joris Mooij |
| B0659: R. Christiansen, J. Peters | |
| Switching regression models and causal inference in the presence of latent variables | |
| B0901: D. Rothenhaeusler, N. Meinshausen, P. Buehlmann, J. Peters | |
| Anchor regression: Heterogeneous data meets causality | |
| B1125: C. Zhang, R. Tu, K. Zhang, H. Kjellstrom, P. Ackermann | |
| Causal discovery in the presence of missing data | |
| B1766: P. Forre, J. Mooij | |
| Non-linear structural causal models with cycles and latent confounders |
| Session EO520 | Room: C1 |
| Quantile regression methods | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Mauro Bernardi | Organizer: Mauro Bernardi |
| B0250: M. Elseidi, M. Caporin | |
| Quantile regression based seasonal adjustment | |
| B0545: A. Verhasselt, M.A. Ibrahim | |
| Variable selection in quantile varying coefficient models with heteroscedastic error | |
| B0572: F. Poggioni, M. Bernardi, L. Petrella | |
| Sparse nonparametric dynamic graphical models |
| Session EO464 | Room: D1 |
| Modelling of high dimensional data with biological applications | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Anne Gegout-Petit | Organizer: Juhyun Park |
| B0543: A. Gegout-Petit, C. Fritsch, B. Marcais, M. Grosdidier | |
| Spatio-temporal modelling of the spread of chalara (illness of the ash tree) in France | |
| B0708: D. Desaulle, B. Hainque, C. Hoffmann, P. Bigey, Y. Rozenholc | |
| Straightforward finding of differential expressions through intensive randomization in transcriptomic studies | |
| B1030: F. Dondelinger | |
| Multi-task Dirichlet-multinomial regression for detecting global microbiome associations | |
| B1541: I. Kim | |
| Bayesian Ising sparse nonparametric model |
| Session EO218 | Room: E1 |
| Projection pursuit | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Nicola Loperfido | Organizer: Nicola Loperfido |
| B0201: B. Nadler, P. Bickel, G. Kur | |
| Projection pursuit in high dimensions | |
| B0276: C. Franceschini, N. Loperfido | |
| MultiKurt: An R package for kurtosis-based data analysis | |
| B0726: M. Zhu | |
| Musings on projection pursuit | |
| B0395: C. Adcock | |
| The skew-normal and related distributions as a copula and as a model for skewness persistence |
| Session EO288 | Room: F1 |
| Robust tests for change-points in time series | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Herold Dehling | Organizer: Herold Dehling |
| B0222: M. Wendler, M. Pesta | |
| Nuisance parameter free changepoint detection in non-stationary time series | |
| B0802: S.K. Schmidt, H. Dehling, R. Fried, M. Wornowizki | |
| Multiple change-point detection under short-range dependence | |
| B0702: A. Betken, M. Wendler | |
| Rank-based change-point analysis for long-range dependent time series | |
| B1330: H. Dehling, D. Vogel, M. Wendler | |
| Power comparison of nonparametric change-point tests |
| Session EO196 | Room: G1 |
| Survival analysis for cancer studies | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Thomas Scheike | Organizer: Thomas Scheike |
| B0270: T. Scheike | |
| The matched cohort study for evaluation of post-treatment events of cancer survivors | |
| B0269: J. Hjelmborg, T. Scheike, K. Holst, J. Kaprio | |
| Modelling genetic influence on familial cancer risk: In honor of Fishers 100 year landmark biometrical genetics paper | |
| B0567: K.K. Andersen | |
| A screening study for identification of anticancer effects of prescription drugs | |
| B1019: L. Antolini, E. Tassistro, D.P. Bernasconi, P. Rebora, M.G. Valsecchi | |
| Modelling the hazard of transition into the absorbing state in the illness-death survival model |
| Session EO132 | Room: H1 |
| Small area estimation | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Domingo Morales | Organizer: Domingo Morales |
| B0563: T. Hobza, Y. Marhuenda, D. Morales | |
| Estimation of additive parameters under unit-level gamma mixed models | |
| B0887: E. Lopez Vizcaino, M.J. Lombardia, C. Rueda | |
| Estimation of the gender pay gap using linear mixed models | |
| B0910: J.P. Burgard, D. Morales, A.-L. Woelwer | |
| Small area estimation with partially missing direct estimates | |
| B1127: G. Bertarelli, C. Giusti, M. Pratesi, F. Bartolucci, M.G. Ranalli, L. Quattrociocchi | |
| Modelling educational poverty by area-level SAE latent Markov models |
| Session EO398 | Room: I1 |
| Models and their inferences for circular data | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Toshihiro Abe | Organizer: Toshihiro Abe |
| B0984: T. Shiohama | |
| Adaptive estimation for mode and anti-mode preserving distribution on the circle | |
| B0468: D. Craens, C. Ley | |
| On the use of transformations on the circle | |
| B0711: J. Ameijeiras-Alonso, F. Lagona, M. Ranalli, R. Crujeiras | |
| Hidden Markov random fields for the spatial segmentation of circular data | |
| B0774: K. Mulder, S. Ruiter, I. Klugkist | |
| Analysis of circular interval-censored data motivated by aoristic data in criminology |
| Session EO180 | Room: L1 |
| Advances in model-based clustering | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Vincent Vandewalle | Organizer: Vincent Vandewalle |
| B1128: Y. Tang, P. McNicholas | |
| Clustering multivariate count data via a mixture of Poisson factor models | |
| B0926: M. Gallaugher, P. McNicholas | |
| Mixtures of skewed matrix variate bilinear factor analyzers | |
| B1067: M. Fop, M. Fop, T.B. Murphy, L. Scrucca | |
| Model-based clustering with sparse covariance matrices | |
| B0927: M. Marbac, C. Biernacki, M. Sedki, V. Vandewalle | |
| A targeted multi-partitions clustering |
| Session EO230 | Room: M1 |
| Statistics for Hilbert spaces I | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Gil Gonzalez-Rodriguez | Organizer: Gil Gonzalez-Rodriguez |
| B0220: X. Qiao, S. Guo | |
| A general theory for large-scale curve time series via functional stability measure | |
| B1194: J.-T. Zhang | |
| New tests for equality of several covariance functions for functional data | |
| B1196: E. Bongiorno, A. Goia, P. Vieu | |
| About the complexity of a functional data set | |
| B0309: E. Konzen, J.Q. Shi | |
| Modelling function-valued processes with nonseparable covariance structure |
| Session EO360 | Room: N1 |
| Performance evaluation and dependence modeling for extremes | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Holger Rootzen | Organizer: Holger Rootzen |
| B0367: S. Lerch, T. Thorarinsdottir, F. Ravazzolo, T. Gneiting | |
| Forecasters dilemma: Extreme events and forecast evaluation | |
| B0753: H. Drees, A. Janssen, S. Resnick, T. Wang | |
| On a minimum distance procedure to select the optimal sample fraction in extreme value estimation | |
| B1021: S. Padoan, M. Falk | |
| Generalized Pareto copulas: A key to multivariate extremes | |
| B1110: C. Klueppelberg | |
| Bayesian networks based on max-linear structural equations |
| Session EO306 | Room: O1 |
| Dependence models and copulas | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Elisa Perrone | Organizer: Sebastian Fuchs, Elisa Perrone |
| B0243: M. Coblenz, R. Dyckerhoff, O. Grothe | |
| Confidence regions for multivariate quantiles | |
| B0712: A. Derumigny, J.-D. Fermanian | |
| A classification point-of-view about conditional Kendall's tau | |
| B0415: L. Rossini, F. Durante, F. Ravazzolo, A. Gianfreda | |
| A multivariate dependence analysis of electricity prices | |
| B0800: C. Strothmann, K.F. Siburg | |
| An ordering for extremal dependence |
| Session EO414 | Room: P1 |
| Statistical theory and computation for ultra high frequency data | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Nakahiro Yoshida | Organizer: Nakahiro Yoshida |
| B0434: I. Muni Toke | |
| Further developments of the ratio model of Cox-type intensities for high frequency financial data | |
| B0908: H. Masuda | |
| Locally stable regression with unknown activity index | |
| B0771: K. Kamatani, A. Jasra, H. Masuda | |
| Bayesian inference for stable L\'{e}vy driven stochastic differential equations with high-frequency data | |
| B0484: M. Uchida | |
| Hybrid estimation for an ergodic diffusion plus noise based on ultra high frequency data |
| Session EO184 | Room: Q1 |
| Robust methods for high dimensional data | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Peter Rousseeuw | Organizer: Peter Rousseeuw |
| B0212: I. Wilms, S. Aerts | |
| Cellwise robust regularized discriminant analysis | |
| B0295: Y. Wang, S. Van Aelst | |
| Sparse principal component analysis based on least trimmed squares | |
| B0583: T. Verdonck, K. Boudt, P. Rousseeuw, S. Vanduffel | |
| The minimum regularized covariance determinant estimator | |
| B0895: A. Ruiz-Gazen, A. Archimbaud, K. Nordhausen | |
| Invariant coordinate selection for outlier detection with application to quality control |
| Session EO208 | Room: O2 |
| CSDA journal: Bayesian methods | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Alastair Young | Organizer: Erricos John Kontoghiorghes |
| B0600: P. Lambert | |
| A fast estimation method in nonparametric additive location-scale model based on Bayesian P-splines | |
| B1008: M. Guindani | |
| Bayesian methods in biomedical imaging | |
| B1130: L. Tardella, D. Alunni Fegatelli | |
| Bayesian capture-recapture data modelling with behavioural effects | |
| B0599: A. Young, D. Garcia Rasines | |
| Frequentist validation and criticism of Bayesian selective inference |
| Session EO038 | Room: Q2 |
| Advances in Bayesian methodology | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: David van Dyk | Organizer: David van Dyk |
| B0397: D. Rossell | |
| Posterior model selection consistency: Beyond asymptotic optimality | |
| B0655: C. Hans | |
| Strategies for differential shrinkage in regression with non-orthogonal designs | |
| B0957: J. Murray | |
| Log-linear Bayesian additive regression trees for multinomial logistic and count regression | |
| B1092: C. Carvalho | |
| Functional BART |
| Parallel session H: CFE | Saturday 15.12.2018 | 14:10 - 15:50 |
| Session CI015 (Special Invited Session) | Room: A0 |
| Financial time series | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Alessandra Amendola | Organizer: Alessandra Amendola |
| A0168: C. Amado, T. Terasvirta | |
| Multiplicative nonstationary volatility models with exogenous information | |
| A0169: R. Halbleib, G. Calzolari | |
| Modelling dynamic covariance matrices with stochastic volatility latent factors | |
| A0170: G. Storti, O. Okhrin | |
| Realized estimators of tail risk measures |
| Session CO372 | Room: A2 |
| Macroeconomic forecasting | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Simon van Norden | Organizer: Simon van Norden |
| A1119: S. van Norden | |
| Business cycle asymmetry and unemployment rate forecasts | |
| A1158: R. Sekkel, J. Champagne, G. Poulin-Bellisle | |
| Changes in predictability of the Canadian economy: Evidence from the Bank of Canada staff's forecast | |
| A1179: P. St-Amant, M.-N. Robitaille, L. Savoie-Chabot, D. Brouillette | |
| The trend unemployment rate in Canada | |
| A1471: K. Lee, C. Aristidou, K. Shields | |
| Evaluating the use of real-time data in forecasting output levels and recessionary events in the US |
| Session CO066 | Room: B2 |
| Regime change modeling I | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Willi Semmler | Organizer: Willi Semmler |
| A1280: F. Odendahl, B. Rossi, T. Sekhposyan | |
| Testing for forecast rationality under Markov switching | |
| A1250: W. Semmler, S. Mittnik | |
| Climate disaster risk, regime switching and monetary policy | |
| A1441: S. Orlov, E. Rovenskaya, W. Semmler | |
| Towards a fairer distribution of carbon tax across generations in the DICE model through green bonds | |
| A1269: I. Tahri | |
| Portfolio under-diversification: Equity sector bias |
| Session CO380 | Room: D2 |
| Econometrics of network models with applications | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Laurent Pauwels | Organizer: Laurent Pauwels |
| A1289: L. Pauwels, M. McAleer, M. Asai | |
| Modelling latent network stochastic volatility spillovers | |
| A1310: E. Auerbach | |
| Identification and estimation of a partially linear regression model using network data | |
| A1388: P. Wan, T. Wang, R. Davis, S. Resnick | |
| Modeling social networks using linear preferential attachment | |
| A1406: M. Greenwood-Nimmo, T. Ando, Y. Shin | |
| Quantile connectedness: Modelling tail behaviour in the topology of financial networks |
| Session CO166 | Room: E2 |
| New methods for heavy tails, copulas and cryptocurrencies | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Stanislav Anatolyev | Organizer: Artem Prokhorov |
| A1180: R. Ibragimov, C. Parlour, J. Walden | |
| Cryptocurrencies: Intrinsic value, bubbles and heavy-tailedness | |
| A1614: E. Hwang, J. Kim | |
| A CUSUM test for tail behavior of GARCH(1,1) models | |
| A1749: T. Slonski, A. Mercik | |
| Investment approach to the blockchain market segments |
| Session CO212 | Room: F2 |
| Macro-financial linkage | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Wenying Yao | Organizer: Wenying Yao |
| A0946: A. Hanoma, D. Nautz | |
| The information content of inflation swap rates for the long-term inflation expectations of professionals | |
| A0746: V. Volkov, M. Dungey, P. Siklos | |
| Signed spillover effects building on historical decompositions | |
| A0884: M. Izzeldin, I. Nolte, V. Pappas, R. Hizmeri | |
| The role of market indices in forecasting stocks volatility: A HAR framework using a mixed sampling approach | |
| A0630: W. Yao, L. Winkelmann | |
| Testing the rank of cojumps in high-frequency data with market microstructure noise |
| Session CO336 | Room: G2 |
| Empirical applications in economics and finance | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Michael Ellington | Organizer: Jesus Otero |
| A0259: L.F. Melo Velandia, S. Gamba, J.E. Gomez, J. Hurtado | |
| Stock market volatility spillovers: Evidence for Latin America | |
| A0263: L. Grossi, L. Crosato, F. Nan | |
| Interval prediction of electricity prices: A robust approach | |
| A0349: C. Pombo, M. Jara-Bertin | |
| The institutional blockholders influence on corporate investment: Evidence from emerging markets | |
| A0555: M. Ellington, C. Martin, B. Wang | |
| The effects of productivity shocks and job destruction in a changing world |
| Session CO216 | Room: H2 |
| Term structure of interest rates | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Laura Coroneo | Organizer: Laura Coroneo |
| A0320: D. Xia, J.C. Wu | |
| The negative interest rate policy and the yield curve | |
| A0515: A. Meldrum | |
| The information in the joint term structures of bond yields | |
| A0689: L. Coroneo | |
| Predicting interest rates in real-time | |
| A0329: K. Nyholm | |
| A flexible short-rate based four factor arbitrage-free term structure model with an explicit monetary policy rule |
| Session CO625 | Room: I2 |
| Structural VAR models | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Simone Maxand | Organizer: Simone Maxand |
| A0707: A. Moneta, G. Pallante | |
| Identification of SVAR models via independent component analysis: A comparative study | |
| A0803: H. Herwartz | |
| Causality assessment in panel vector autoregressive models: A novel approach based on structural VARs | |
| A0885: S. Maxand, H. Herwartz | |
| Set identification in non-Gaussian SVARs: A refinement of the sign restriction approach | |
| A1003: B. Funovits | |
| Estimating non-causal VAR using all-pass filters |
| Session CO190 | Room: M2 |
| Economics of Cryptocurrencies | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Marco Lorusso | Organizer: Marco Lorusso, Francesco Ravazzolo |
| A0752: S. Grassi, L. Catania, F. Ravazzolo | |
| Forecasting cryptocurrencies under model and parameter instability | |
| A0775: M. Lorusso, F. Ravazzolo | |
| Cryptocurrencies and monetary policy | |
| A1295: F. Ravazzolo, L. Catania, S. Grassi | |
| Quantitative risk management for cryptocurrencies | |
| A1300: L. Kristoufek | |
| Quantity theory of money and cryptocurrencies |
| Session CO552 | Room: N2 |
| Time series econometrics II | Saturday 15.12.2018 14:10 - 15:50 |
| Chair: Josu Arteche | Organizer: Josu Arteche |
| A0501: V.A. Reisen, I. Souza, G. Franco, P. Bondon | |
| The estimation and testing of the fractional cointegration order based on the frequency domain: A robust approach | |
| A0971: L.F. Martins, J. Arteche | |
| Modelling persistence change in fractionally integrated models | |
| A0915: P. Bondon, P. Prezotti, V.A. Reisen, M. Ispany, F. Sarquis | |
| A model for count time series with periodic two orders autoregressive structure | |
| A0675: J. Arteche, J. Garcia | |
| Forecasting a latent variable: Application to VaR in stochastic volatilty models |
| Parallel session I: CMStatistics | Saturday 15.12.2018 | 16:20 - 18:00 |
| Session EI005 (Special Invited Session) | Room: Sala Convegni |
| Graphical and geometrical statistics | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Miguel de Carvalho | Organizer: Miguel de Carvalho |
| B0999: C. Hurley | |
| Visualising and exploring models interactively with Shiny | |
| B1237: B. Barney, M. de Carvalho, G. Page | |
| On the geometry of Bayesian inference |
| Session EO599 | Room: Aula 4 |
| Non-convex optimization problems in statistics | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Sahand Negahban | Organizer: Sahand Negahban |
| B0725: M. Soltanolkotabi | |
| From shallow to deep: Theoretical insights into training of neural networks | |
| B0732: Q. Berthet, N. Baldin | |
| Optimal link prediction with matrix logistic regression | |
| B1142: Y. Wu | |
| Recovering a hidden Hamiltonian cycle via linear programming |
| Session EO046 | Room: Aula 5 |
| Emerging trends in predictive inference | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Bertrand Clarke | Organizer: Bertrand Clarke |
| B0335: L. Mentch | |
| Recent ideas in tree-based inference | |
| B0499: D. Nettleton, H. Zhang, J. Zimmerman, D. Nordman | |
| Random forest prediction intervals | |
| B0967: G. Morota | |
| Quantifying genomic connectedness and whole-genome prediction accuracy using bootstrap aggregation sampling | |
| B1378: T. Maiti, Y. Li | |
| High dimensional discriminant analysis for structurally dependent data |
| Session EO354 | Room: Aula B |
| Statistical methods for analyzing wearable device data | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Russell Shinohara | Organizer: Russell Shinohara |
| B0338: J. Muschelli | |
| Potential batch effects and biases in the UK Biobank accelerometer data | |
| B0519: J. Wrobel, J. Goldsmith, V. Zipunnikov | |
| Identifying circadian chronotypes using accelerometers | |
| B0956: H. Shou | |
| Multilevel variance components model in minute-level accelerometry measures for twin studies |
| Session EO210 | Room: Aula Magna |
| Recent developments in complex cohort studies | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Yi Li | Organizer: Hyokyoung Grace Hong |
| Session EO072 | Room: A1 |
| Recent developments in imaging genetics | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Michele Guindani | Organizer: Wesley Thompson, Mark Fiecas, Michele Guindani |
| B0618: E. Lock | |
| Tensor-on-tensor regression | |
| B0625: W. Thompson | |
| A consistent estimator of variance explained by genome-wide and whole-brain analyses | |
| B0626: M. Fiecas | |
| EEG spectral and heritability analysis using a nested Dirichlet process | |
| B1022: L. Kong | |
| A review of statistical methods in imaging genetics |
| Session EO152 | Room: Aula A |
| Statistics and stochastic analysis for complex random systems | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Hiroki Masuda | Organizer: Hiroki Masuda |
| B0328: N. Yoshida | |
| Global jump filters and quasi likelihood analysis for volatility | |
| B0331: L. Mercuri | |
| Point process regression model in the yuima project | |
| B0678: T. Ogihara | |
| Local asymptotic mixed normality for integrated diffusion processes | |
| B0749: Y. Koike | |
| Testing the residual sparsity of a high-dimensional continuous-time factor model |
| Session EO366 | Room: Aula C |
| Exploring the limits of statistical learning techniques | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Markus Pauly | Organizer: Markus Pauly |
| B0227: T. Kneib, N. Klein, S. Lang, N. Umlauf | |
| Modular regression: A lego system for building distributional regression models with tensor product interactions | |
| B0470: B. Ramosaj, L. Amro, M. Pauly | |
| A cautionary tale on using imputation methods for inference in matched pairs design | |
| B0834: P. Probst, A.-L. Boulesteix, B. Bischl | |
| Tuning and tunability: Importance of hyperparameters of machine learning algorithms |
| Session EO685 | Room: B1 |
| Graphical Markov models IV | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Elena Stanghellini | Organizer: Elena Stanghellini |
| B1399: K. Sadeghi | |
| Markov properties of determinantal point processes | |
| B1418: V. Bazinas | |
| Causal transmission in reduced-form models | |
| B1702: M. Studeny | |
| On integer linear programming approach to learning decomposable graphical models | |
| B1759: A. Gottard, A. Panzera | |
| Graphical models for circular data |
| Session EO300 | Room: C1 |
| New development in functional data and density estimation | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Yuedong Wang | Organizer: Yuedong Wang |
| B0188: Y. Li | |
| Covariance estimation and principal component analysis for spatially dependent functional data | |
| B0182: Y. Wang | |
| Semi-parametric density models | |
| B0731: A. Stoecker, E.-M. Maier, S. Greven | |
| Flexible regression for probability densities in Bayes spaces | |
| B1144: A. Petersen, H.-G. Mueller | |
| Fr\'echet regression and Wasserstein covariance for random density data |
| Session EO408 | Room: D1 |
| Some new trends in hyper-parameter calibration | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Adrien Saumard | Organizer: Adrien Saumard |
| B1547: A. Celisse | |
| Early stopping rules reproducing kernel Hilbert spaces | |
| B0398: C. Lacour, P. Massart, V. Rivoirard, S. Varet | |
| Comparison methods for bandwidth selection | |
| B0720: A. Dubois, A. Saumard | |
| V-fold cross-validation improved for nonparametric regression | |
| B0973: G. Maillard, M. Lerasle, S. Arlot | |
| Cross-validation improved by aggregation: Agghoo |
| Session EO252 | Room: E1 |
| Recent advances in skewness | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Nicola Loperfido | Organizer: Nicola Loperfido |
| B0273: N. Loperfido | |
| Symmetric tensor rank and projection pursuit | |
| B0387: Z. Landsman, U. Makov, T. Shushi | |
| Analytic solution of a portfolio optimization problem in a mean-variance-skewness model | |
| B0377: J. Martin Arevalillo, H. Navarro-Veguillas | |
| Projection pursuit under skew-normal vectors: An approach oriented to skewness stochastic comparisons | |
| B1284: A. Parisi, B. Liseo | |
| Objective Bayesian analysis of the multivariate regression model with skew-$t$ errors |
| Session EO138 | Room: F1 |
| Stability versus non-stability | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Marie Huskova | Organizer: Marie Huskova |
| B0353: M. Maciak | |
| Quantile lasso with changepoints in panel data models | |
| B0369: W. Pouliot | |
| On the performance of weighted bootstrapped kernel deconvolution density estimators | |
| B0792: S. Taylor, R. Killick | |
| A Bayesian circular changepoint method to identify changes in daily activity levels in the elderly | |
| B1048: M. Huskova, A. laf | |
| Structural breaks in panel data models with stationary regressors |
| Session EO498 | Room: G1 |
| New modelling approaches for complex survival data | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Giuliana Cortese | Organizer: Giuliana Cortese |
| Session EO302 | Room: I1 |
| The Stein method and applications in statistics | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Andreas Anastasiou | Organizer: Andreas Anastasiou |
| B0314: F.-X. Briol | |
| Stein Points | |
| B1151: R. Gaunt | |
| Chi-square approximation by Stein's method with application to Pearson's statistic | |
| B1166: J. Bartroff | |
| Stein's method applied to some statistical problems | |
| B1197: Y. Swan, G. Reinert, M. Ernst | |
| Stein kernels and information |
| Session EO266 | Room: L1 |
| Clustering and sketching in statistics and computation | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Stephane Chretien | Organizer: Stephane Chretien |
| B1283: C. Keribin, C. Biernacki | |
| Co-clustering: A versatile way to perform clustering in high dimension | |
| B1535: S. Chretien | |
| Clustering using low rank matrix estimation | |
| B1331: N. Polydorides | |
| Sketching algorithms for the Galerkin finite element method | |
| B1521: L. Marangio, C. Guyeux | |
| A data-driven approach to transfer operators in nonlinear dynamics using neural networks |
| Session EO256 | Room: M1 |
| Statistics for Hilbert spaces II | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Gil Gonzalez-Rodriguez | Organizer: Gil Gonzalez-Rodriguez |
| B0876: H. Matsui, K. Mochida | |
| Functional regression modeling for agricultural data | |
| B0463: D. Liebl, D. Poss, A. Kneip | |
| Estimation of points of impact in nonparametric regression with functional predictors | |
| B0762: S. Greven, A. Volkmann, A. Stoecker, F. Scheipl | |
| Multivariate functional additive mixed models | |
| B1204: M. Reimherr, B. Sriperumbudur, H.B. Kang | |
| Optimal function-on-scalar regression over complex domains |
| Session EO050 | Room: N1 |
| Statistical analysis of extremes in finance and insurance | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Gilles Stupfler | Organizer: Gilles Stupfler |
| B0236: A. Daouia, I. Gijbels, G. Stupfler | |
| Extremiles: A new perspective on asymmetric least squares | |
| B0237: D. Wied, Y. Hoga | |
| Sequential monitoring of the tail behavior of dependent data | |
| B0418: A. Usseglio-Carleve | |
| Estimation of conditional extreme risk measures from heavy-tailed elliptical random vector | |
| B0530: Y. He, L. Peng | |
| Computing value-at-risk via peaks-over-threshold generalized Pareto distribution |
| Session EO088 | Room: O1 |
| Dependence models and copulas I | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Fabrizio Durante | Organizer: Wolfgang Trutschnig, Fabrizio Durante |
| B0388: P. Jaworski | |
| On extreme value copulas and concordance measures | |
| B0447: S. Fuchs, K.D. Schmidt | |
| On Kendall's tau for order statistics | |
| B0795: N. Kamnitui, J. Fernandez Sanchez, W. Trutschnig | |
| Maximum asymmetry of copulas revisited | |
| B0454: P. Rigo | |
| A note on duality theorems in mass transportation |
| B1290: C. Gutierrez Perez, M. Gonzalez Velasco, R. Martinez Quintana | |
| Self-regulating two-sex branching processes | |
| B1323: I.M. del Puerto, M. Gonzalez Velasco, C. Minuesa Abril | |
| ABC methodology for controlled branching processes | |
| B1352: E. Yarovaya | |
| Branching random walks in non homogeneous environments | |
| B1386: M. Ispany | |
| On periodic branching processes with immigration |
| Session EO611 | Room: Q1 |
| Recent advances in robust modelling | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Eva Cantoni | Organizer: Eva Cantoni |
| B0833: B. Hansen, A. Sales | |
| Robust MM estimation for imperfect regression discontinuity designs | |
| B0401: X. de Luna, E. Cantoni | |
| Robust semiparametric inference with missing data | |
| B0768: S. Ranjbar, N. Salvati, B. Pacini | |
| Robust causal inferences in small area estimation |
| Session EO621 | Room: C2 |
| Statistical methods for risk management in finance and insurance | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Hideatsu Tsukahara | Organizer: Hideatsu Tsukahara |
| B0390: Y. Shimizu | |
| Asymptotically normal estimators of the ruin probability for Levy insurance risks | |
| B0650: M. Kirchner, P. Embrechts | |
| On Hawkes processes | |
| B0758: H. Kaibuchi, Y. Kawasaki | |
| Comparison of EVT methods for GARCH-EVT approach applied to financial time series | |
| B0784: T. Yoshiba | |
| Value-at-risk and expected shortfall of stock portfolio using skew-$t$ copulas |
| Session EO246 | Room: O2 |
| CSDA journal: Clustering and mixture models | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Peter Rousseeuw | Organizer: Erricos John Kontoghiorghes |
| B0873: C. Biernacki, G. Celeux, J. Josse, F. Laporte | |
| Dealing with missing data in model-based clustering through a MNAR model | |
| B1314: S. Ingrassia, A. Punzo | |
| Total sum of squares decomposition for mixtures of regressions | |
| B1572: C. Hennig | |
| Some thoughts on simulation studies to compare clustering methods | |
| B0505: T.-I. Lin | |
| Automated learning of mixtures of factor analyzers with missing information |
| Session EO420 | Room: Q2 |
| Bayesian modelling and computation | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Bernardo Nipoti | Organizer: Antonio Canale, Bernardo Nipoti |
| B0402: J. Arbel, F. Forbes, M. Vladimirova, H. Lu | |
| New insights on Bayesian graphs and neural networks from distributional properties | |
| B0493: D. Durante | |
| Conjugate Bayes for probit regression via unified skew-normals | |
| B0579: L. Ma, M. Li | |
| WARP: Wavelets with adaptive recursive partitioning for multi-dimensional data | |
| B0929: G. Kon Kam King, O. Papaspiliopoulos, M. Ruggiero | |
| (Exact) Bayesian inference for hidden Markov models via duality and approximate filtering distributions |
| Parallel session I: CFE | Saturday 15.12.2018 | 16:20 - 18:00 |
| Session CI013 (Special Invited Session) | Room: A0 |
| Empirical macroeconomics | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Michael Owyang | Organizer: Michael Owyang |
| A0160: N. Traum, M. Cacciatore | |
| Estimating the aggregate effects of border adjustments | |
| A0161: A. Galvao, J. Mitchell | |
| Measuring GDP growth data uncertainty | |
| A0162: M. Owyang, L. Jackson Young, C. Otrok, N. Traum | |
| Tax progressivity |
| Session CO084 | Room: B2 |
| Regime change modeling II | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Willi Semmler | Organizer: Willi Semmler |
| A1256: F.S. Lucidi, W. Semmler | |
| Nonlinear credit dynamics, regime switches in the output gap and credit shocks evaluated through local projections | |
| A1260: M. Guerini, M. Napoletano, D.T. Luu | |
| Synchronization patterns in the European Union | |
| A1264: S. Datta | |
| Regime shifts in currency markets with bounded rationality and limits to arbitrage | |
| A1242: J. Kotlowski, A. Halka, J. Hagemejer | |
| To what extent globalization affects inflation: The role of global value chains |
| Session CO060 | Room: E2 |
| Penalized, nonparametric, spatial and contaminated models | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Stanislav Anatolyev | Organizer: Artem Prokhorov |
| A0244: S. Anatolyev | |
| A ridge to homogeneity | |
| A1093: D. Henderson | |
| Fixed effects estimation in single-index models | |
| A1474: I. Wright, W. Horrace, C. Parmeter | |
| Parametric stochastic frontier models and probability statements with spatial errors | |
| A0224: B. Choy | |
| A contaminated extended Weibull distribution and its applications |
| Session CO298 | Room: F2 |
| Empirical studies of financial markets with high-frequency data | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Teruo Nakatsuma | Organizer: Teruo Nakatsuma |
| A0341: S. Clinet, Y. Potiron | |
| Efficient, transaction and mid prices: Disentangling sources of high frequency market microstructure noise | |
| A0640: Y. Yamauchi, Y. Omori | |
| Factor multivariate realized stochastic volatility model | |
| A0718: T. Nakatsuma, M. Nakakita | |
| Bayesian analysis of intraday stochastic volatility models with skew heavy-tailed error and smoothing spline seasonality | |
| A0755: T. Toyabe, T. Nakatsuma | |
| Stochastic conditional duration model with intraday seasonality and limit order book information |
| Session CO076 | Room: G2 |
| Non-causal and non-Gaussian time series models | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Alain Hecq | Organizer: Alain Hecq |
| A0647: T. del Barrio Castro, A. Hecq, S. Telg | |
| Seasonal bubbles and volatility models | |
| A0664: E. Voisin | |
| Predicting bubble collapse using non-causal models | |
| A0948: A. Hecq, L. Sun | |
| Using quantile regressions for identifying mixed causal-noncausal models | |
| A1279: Y. Liu | |
| Now-casting financial volatility with long memory: A non-Gaussian and non-linear state space approach |
| Session CO623 | Room: H2 |
| Econometric analysis of the business cycle | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Matteo Luciani | Organizer: Matteo Barigozzi, Matteo Luciani |
| A0480: B. Wong | |
| Estimating and accounting for the output gap with large Bayesian vector autoregressions | |
| A0743: M. Luciani, M. Barigozzi | |
| Measuring US aggregate output and output gap using large datasets | |
| A1120: J. Antolin Diaz, T. Drechsel, I. Petrella | |
| Advances in nowcasting economic activity | |
| A1254: G. Amisano, M. Barigozzi, M. Luciani | |
| E pluribus, pauca: Measuring different dimensions of slack in the US economy with an agnostic model |
| Session CO615 | Room: I2 |
| Advances in financial time series and econometrics | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Helena Veiga | Organizer: Helena Veiga |
| A0715: M. Danielova Zaharieva, C. Ausin | |
| Bayesian nonparametric Bernstein copula for uncorrelated dependent MGARCH errors | |
| A0819: J.M. Marin, P. de Zea Bermudez, H. Veiga | |
| Data cloning estimation for asymmetric stochastic volatility models | |
| A1124: P. de Zea Bermudez, J.M. Marin, H. Rue, H. Veiga | |
| Estimating threshold stochastic volatility models using integrated nested Laplace approximations | |
| A0838: H. Veiga, A. Taamouti, S. Ramos, C.-W. Wang | |
| Quantile consumption-capital asset pricing model |
| Session CO182 | Room: M2 |
| Advances in SVARs | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Luca Fanelli | Organizer: Luca Fanelli |
| A0283: K. Lunsford | |
| Bootstrap inference in proxy SVARs | |
| A0425: M. Piffer, M. Bruns | |
| Bayesian structural VAR models: An extended approach | |
| A0446: A.G. Gazzani, A. Vicondoa | |
| Proxy-SVAR as a bridge for identification with mixed frequency data | |
| A1084: L. Fanelli | |
| Heteroskedastic proxy-SVARs |
| Session CO134 | Room: P2 |
| EcoSta journal Part A: Econometrics II | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Tommaso Proietti | Organizer: Erricos John Kontoghiorghes |
| A1514: E. Ruiz, J. de Vicente | |
| Accurate subsampling intervals of principal components factors | |
| A1513: C.-M. Kuan, Y.-C. Hsu | |
| Estimating treatment effects in regression discontinuity designs with multiple assignment variables | |
| A1723: M. Paolella, J. Naef, P. Polak | |
| Smooth FREE COMFORT: Mixing IID and GARCH-based frameworks for optimal portfolio performance | |
| A1626: G. Gallo, A. Amendola, V. Candila | |
| On the frequency of transmission of market volatility to individual stocks: A double asymmetric GARCH--MIDAS approach |
| Session CC647 | Room: A2 |
| Contributions in forecasting I | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Valderio Anselmo Reisen | Organizer: CFE |
| A0727: S. Arvanitis, T. Post, S. Karabati | |
| Robust optimization of forecast combinations | |
| A1443: K. Tsakou | |
| Forecasting realized volatility: Implied volatility, leverage effects \& the volatility of realized volatility | |
| A1606: L. Calzada, M. Oskarsdottir, B. Baesens | |
| Similarity forests for time series classification | |
| A1436: G. Mantoan | |
| Optimal pooling and finite mixture distribution combinations of probabilistic forecasts |
| Session CG193 | Room: N2 |
| Contributions in volatility and risk | Saturday 15.12.2018 16:20 - 18:00 |
| Chair: Giuseppe Storti | Organizer: CFE |
| A1620: D. Vassallo, G. Buccheri, F. Corsi | |
| A DCC-type approach for realized covariance modelling with score-driven dynamics | |
| A1452: F. Yang, W. Wang | |
| The shale revolution, geopolitical risk, and oil price volatility | |
| A1159: K. Bien-Barkowska | |
| A self-exciting hurdle model for extreme returns in financial markets |
| Parallel session J: CMStatistics | Saturday 15.12.2018 | 18:10 - 19:25 |
| Session EO264 | Room: A0 |
| Approaches to analyzing high dimensional data | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Hernando Ombao | Organizer: Hernando Ombao |
| B1245: R. Sundararajan | |
| A frequency domain approach to stationary subspace analysis of multivariate second-order nonstationary time series | |
| B1251: C.M. Ting, S.B. Samdin, H. Ombao | |
| Detecting regime changes in community structure of brain networks using dynamic stochastic block models | |
| B0428: J. Goldsmith, J. Wrobel, V. Zipunnikov, J. Schrack | |
| Registration for exponential family functional data |
| Session EO448 | Room: Aula 4 |
| New developments in statistical inference and computing | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Min-ge Xie | Organizer: Min-ge Xie |
| B0622: G. Yi | |
| Causal inference with measurement error in outcomes | |
| B0734: Y. Chen, C.-L. Kao, C.-D. Fuh, S. Kou | |
| Determine the number of states in hidden Markov models via marginal likelihood | |
| B1307: D. Sun | |
| Bayesian analysis of the co-variance matrix of a multivariate normal distribution with a new class of priors | |
| B1052: Y. Wei, E. Fang, T. Xu | |
| A fast adaptive algorithm for quantile regression with shared design matrix |
| Session EO114 | Room: Aula 5 |
| Statistical methods for complex data analysis | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Zhuoqiong He | Organizer: Hongyuan Cao |
| Session EO597 | Room: Aula B |
| Estimation and optimization in large-scale statistical settings | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Garvesh Raskutti | Organizer: Garvesh Raskutti |
| B0350: K. Balasubramanian | |
| On Stein's identity and derivate- and Hessian-free stochastic optimization | |
| B0566: V. Patel | |
| Statistical filtering for optimization under uncertainty | |
| B0724: S. Negahban, A. Hu | |
| Minimax estimation of bandable precision matrices |
| Session EO494 | Room: Aula Magna |
| Model selection and FDR | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Sylvain Sardy | Organizer: Sylvain Sardy |
| B0238: A. Ramdas, E. Katsevich | |
| Beyond FDR: Towards simultaneous selective inference and post-hoc error control | |
| B1496: A. Weinstein, W. Su, M. Bogdan, E. Candes | |
| Breaking the lasso power-FDR tradeoff diagram by thresholding | |
| B1520: P. Descloux, S. Sardy | |
| Model selection with lasso-zero tuned by quantile universal thresholding |
| Session EO556 | Room: Aula C |
| Robust machine learning | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Guillaume Lecue | Organizer: Guillaume Lecue, Adrien Saumard, Matthieu Lerasle |
| B0541: I. Giulini | |
| Dimension-free PAC-Bayesian bounds for vectors and matrices | |
| B0953: S. Minsker | |
| Median-of-means-type estimators and rates of convergence in normal approximation | |
| B1095: P. Thompson | |
| On stochastic approximation under heavier tails |
| Session EO530 | Room: C1 |
| Mixed linear models analysis: New estimation methods and diagnostic tools | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Dietrich von Rosen | Organizer: Dietrich von Rosen |
| B1032: S. Imori, D. von Rosen, R. Oda | |
| Growth curve model with bilinear random coefficient | |
| B1249: T. von Rosen | |
| On prediction in multivariate mixed linear models with structured covariance matrices | |
| B1306: M. Bolla, F. Abdelkhalek, J. Mala | |
| Parameter estimation in biclassified blockmodels as mixture of contingency tables via the EM algorithm |
| B0190: R. Zitikis | |
| Gini shortfall: A new coherent risk measure | |
| B0525: N. Gribkova | |
| Cramer type large and moderate deviations for trimmed $L$-statistics |
| Session EO042 | Room: E1 |
| Nonparametric methods for modern network analysis | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Yahui Tian | Organizer: Yulia Gel, Yahui Tian |
| B0680: Y. Tian, Y. Gel | |
| Fusing data depth with complex networks: Community detection with prior information | |
| B1268: A. Appice, D. Malerba | |
| Leveraging the power of correlation in a data network: A machine learning approach | |
| B1687: S. Chenouri | |
| Nonparametric methods for change point analysis in multivariate, functional and network data |
| Session EO492 | Room: G1 |
| Recent development in semiparametric methods for survival data | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Liming Xiang | Organizer: Liming Xiang |
| B0770: R. Huang, L. Xiang, I.D. Ha | |
| Frailty mean residual life regression for survival data from multi-center clinical trials | |
| B0861: T. Emura, J.-H. Shih, I.D. Ha | |
| Comparison between the marginal hazard models and sub-distribution hazard models with an assumed copula | |
| B1001: X. Liu, L. Xiang | |
| Generalized partially linear single-index cure mixture models with interval-censored data |
| Session EO106 | Room: L1 |
| Advances in mixtures with covariates | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Salvatore Ingrassia | Organizer: Salvatore Ingrassia |
| B1215: K. Murphy, T.B. Murphy | |
| Gaussian parsimonious clustering models with covariates | |
| B1234: R. Di Mari, A. Maruotti, A. Punzo | |
| Time-varying measurement error in generalized linear models for longitudinal data: A two-step latent Markov approach | |
| B1210: S. Barberis, S. Ingrassia, G. Vittadini | |
| Generalized additive cluster weighted model |
| Session EO034 | Room: M1 |
| Nonparametric functional data analysis | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Davy Paindaveine | Organizer: Davy Paindaveine |
| B0920: G. Van Bever, S. Nagy, P. Ilmonen, S. Helander, L. Viitasaari | |
| A functional data depth based on moments | |
| B0870: S. Nagy | |
| Nonparametric analysis of the shape of random curves | |
| B0469: R. Jimenez, A. Elias | |
| Exploratory functional data analysis from depth-based neighborhoods |
| Session EO270 | Room: O1 |
| Dependence models and copulas II | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Wolfgang Trutschnig | Organizer: Wolfgang Trutschnig, Fabrizio Durante |
| B0466: E. Pircalabelu | |
| Using vine copulas to estimate the structure of directed acyclical graphs | |
| B1407: A. Masuhr | |
| Metropolis Hastings based estimation of generalized partition of unity copulas | |
| B1116: F. Durante, J. Fernandez Sanchez, W. Trutschnig | |
| Spatially homogeneous copulas |
| B1221: A. Vidyashankar | |
| Ancestral inference for tree-indexed data | |
| B1304: M. Gonzalez Velasco, C. Minuesa Abril, I.M. del Puerto | |
| A two-type controlled branching process as model in cell kinetics | |
| B1367: M. Kimmel | |
| Griffiths-Tavare versus Lambert coalescents: Application in modeling of cancer evolution |
| Session EO406 | Room: Q1 |
| Functional data analysis | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Alicia Nieto-Reyes | Organizer: Alicia Nieto-Reyes |
| B0657: G. Nisol, S. Hormann, M. Hallin, S. Tavakoli | |
| Forecasting multiple functional time series: A static factor approach | |
| B0869: R. Ignaccolo, L. Fontanella, L. Ippoliti, P. Valentini | |
| Simple spatio-temporal models for complex spatial data | |
| B1199: M.F. Carfora, A. Antoniadis, I. De Feis | |
| Penalized robust estimation for functional regression |
| Session EO667 | Room: O2 |
| EcoSta journal: Computational Statistics | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Erricos John Kontoghiorghes | Organizer: Erricos John Kontoghiorghes |
| B0739: Z. Drmac | |
| Numerical methods for SVD and its generalizations with applications in computational statistics | |
| B1654: I. Demetriou | |
| Best L4 monotonic regression | |
| B0520: B. Clarke, M. Mpoudeu | |
| Estimating the VC dimension with applications to model selection |
| Session EO660 | Room: P2 |
| Recent advances in Bayesian modeling and computation | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Christopher Franck | Organizer: Marco Ferreira |
| B0332: S. Chakraborty | |
| Scalable bayesian non-linear SVMs for big data problems | |
| B0894: C. Franck, M. Keefe, E. Porter, M. Ferreira | |
| Objective Bayesian analysis for Gaussian hierarchical models with intrinsic conditional autoregressive priors | |
| B1226: S. Guha, C. Gu, V. Baladandayuthapani | |
| Bayesian nonparametric differential analysis for dependent multigroup data with application to DNA methylation analyses |
| Session EO112 | Room: Q2 |
| Bayesian semi- and nonparametric modelling II | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Raffaele Argiento | Organizer: Li Ma, Raffaele Argiento, Matteo Ruggiero |
| B0783: T. Rigon, A. Lijoi, I. Pruenster | |
| Efficient Gibbs sampling methods for hierarchical processes | |
| B0355: A. Linero | |
| Detecting and leveraging structural information with Bayesian forests | |
| B0853: G. Rosner, C. Wang | |
| A Bayesian non-parametric causal inference model for synthesizing randomized clinical trials and real-world evidence |
| Session EG031 | Room: H1 |
| Contributions in directional data | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Arthur Pewsey | Organizer: CMStatistics |
| B1420: P. Nagar, A. Bekker, M. Arashi | |
| New contributions to Mobius transformation induced distributions on the disc | |
| B1415: M. Bee | |
| Estimating the wrapped stable distribution via indirect inference | |
| B1216: A. Nodehi, C. Agostinelli, M. Golalizadeh | |
| New algorithms for wrapped normal models estimation |
| Session EG207 | Room: N1 |
| Contributions in extreme values | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Yuri Goegebeur | Organizer: CMStatistics |
| B1527: L. Trapin, D. Dupuis | |
| Mixed-frequency extreme value regression: Estimating the effect of MCS on extreme rainfall in the Midwest | |
| B1556: G. Maribe | |
| Flexible extreme value modelling in insurance and finance | |
| B1343: J. Holesovsky, M. Fusek | |
| Use of censored distribution in the intervals estimator of the extremal index |
| Parallel session J: CFE | Saturday 15.12.2018 | 18:10 - 19:25 |
| Session CO116 | Room: B2 |
| The econometrics of cryptocurrencies | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Leopoldo Catania | Organizer: Leopoldo Catania, Paolo Santucci de Magistris |
| A0325: N. Borri | |
| Conditional tail-risk in cryptocurrency markets | |
| A1111: G. Figa Talamanca | |
| Bitcoin price dynamics and market attention | |
| A1478: A. Molino | |
| Market risk of cryptocurrencies |
| Session CO058 | Room: D2 |
| Network econometrics | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Roberto Casarin | Organizer: Roberto Casarin, Monica Billio |
| A0904: L. Frattarolo, M. Billio, R. Casarin, M. Costola | |
| Predictability, spillover, and disagreement in signed financial networks | |
| A1004: M. Billio, R. Casarin, S. Kaufmann, M. Iacopini | |
| Bayesian dynamic tensor regression | |
| A1219: R. Panzica | |
| Idiosyncratic volatility puzzle: The role of assets' interconnections |
| Session CO390 | Room: E2 |
| Econometrics for policy analysis | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Christos Savva | Organizer: Christos Savva |
| A0202: C. Savva, D. Koursaros, N. Michail | |
| Monetary policy and bank lending behavior | |
| A0559: N. Michail | |
| On the impact of quantitative easing | |
| A0203: D. Koursaros, C. Savva, N. Papadopoulou | |
| Sales and promotions and the great recession deflation |
| Session CO056 | Room: F2 |
| Econometrics of art markets | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Douglas Hodgson | Organizer: Douglas Hodgson |
| A0260: D. Hodgson | |
| Artistic movement membership and the career profiles of Canadian painters | |
| A1058: C. Hellmanzik, R. Fuess, M. Burkhardt | |
| From afternoon to evening: Price dynamics and bidding behaviour in evening auctions for fine art | |
| A1767: S. Mitchell | |
| London calling: Agglomeration economies in literature since 1700 |
| Session CO080 | Room: H2 |
| Cointegration: Stability, linearity and monitoring | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Martin Wagner | Organizer: Martin Wagner |
| A1329: M. Wagner, O. Stypka | |
| Testing linear cointegration against smooth transition cointegration: Theory and an application to long-run money demand | |
| A1473: K. Reichold, M. Wagner | |
| Cointegrating polynomial regression with an integrated regressor with drift: Fully modified OLS estimation and inference | |
| A1491: L. Soegner, M. Wagner | |
| Bubble detection in error correction models |
| Session CO100 | Room: N2 |
| Recent advance in complex time series analysis | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Jinyuan Chang | Organizer: Degui Li |
| A0323: C. Huang, V. Chernozhukov, W. Haerdle, W. Wang | |
| Lasso-driven inference in time and space | |
| A0554: Y. Lin, H. Reuvers | |
| Efficient estimation by fully modified GLS with an application to the environmental Kuznets curve | |
| A1228: J. Chang, E. Kolaczyk, Q. Yao | |
| Estimation of subgraph densities in noisy networks |
| Session CG061 | Room: M2 |
| Contributions in international finance | Saturday 15.12.2018 18:10 - 19:25 |
| Chair: Matteo Cacciatore | Organizer: CFE |
| A0716: M. Scharnagl, M. Mandler | |
| Financial cycles across G7 countries: A view from wavelet analysis | |
| A1488: A. Savvides, N. Michail | |
| Intra euro area capital flows and the current account balance | |
| A1448: K.I. Inaba | |
| A global look at stock market comovements |
| Parallel session L: CMStatistics | Sunday 16.12.2018 | 10:05 - 12:10 |
| Session EO675 | Room: A0 |
| Data integration and SAE for equitable and sustainable development | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Caterina Giusti | Organizer: Monica Pratesi, Caterina Giusti |
| B1178: A. Moretti, N. Shlomo, J. Sakshaug | |
| Small area estimation of latent economic wellbeing | |
| B1190: E. Rocco, E. Rocco, M.F. Marino, A. Petrucci | |
| Small area estimation in the framework of multivariate models for sustainable development | |
| B1230: R. Varriale, F. Rocci, O. Luzi | |
| Quality evaluation of statistical processes based on administrative data | |
| B1353: L. Neri, A. Lemmi, M. Lonzi | |
| Regional disparities in well-being dimensions: The case of Italy | |
| B1451: J. Silber | |
| Discussions on `Advances in data integration and SAE for equitable and sustainable development' |
| Session EO276 | Room: Aula 5 |
| Data privacy and statistical disclosure control | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Matthew Reimherr | Organizer: Matthew Reimherr |
| B0319: J. Awan, A. Slavkovic | |
| Differentially private uniformly most powerful tests for binomial data | |
| B0797: M. Smith, M. Alvarez | |
| Improved differentially private regression and classification with Gaussian processes | |
| B1078: A. Kenney, J. Awan, M. Reimherr, A. Slavkovic | |
| Statistical disclosure control for functional PCA | |
| B1094: V. Karwa | |
| Sharing social network data: Differentially private estimation of exponential-family random graph models | |
| B1181: A.F. Barrientos, J. Reiter, A. Machanavajjhala, Y. Chen | |
| Differentially private significance tests for regression coefficients |
| Session EO074 | Room: A1 |
| Advances in statistical imaging | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Michele Guindani | Organizer: Michele Guindani |
| B0444: T. Zhang | |
| Spatial temporal analysis of multi-subject fMRI data | |
| B0503: J. Morris, H. Zhu, P. Rausch | |
| Robust and Gaussian spatial functional regression models for analysis of event-related potentials | |
| B0633: D. Telesca | |
| Functional features in brain imaging | |
| B0736: T. Johnson, C. Guo, J. Kang | |
| Bayesian image-on-image latent factor models for predicting task fMRI using task-free MRI | |
| B1026: H. Ombao | |
| Statistical methods for modeling heritability of EEG connectivity |
| Session EO617 | Room: B1 |
| Graphical models in the life sciences | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Sofia Massa | Organizer: Marco Scutari, Sofia Massa |
| B0944: P. Behrouzi, E. Wit | |
| Extensions of graphical models with applications in genetics and genomics | |
| B0951: R. Mohammadi | |
| Bayesian inference of high-dimensional graphical models: Application to brain connectivity | |
| B0979: G. Moffa, J. Kuipers | |
| Causal inference with directed acyclic graphs: A case study in psychosis | |
| B1101: G. Leday, I. Speranza, L. Bottolo, S. Richardson | |
| Bayesian analysis of multiple related molecular networks | |
| B1621: T.K.H. Nguyen, M. Chiogna | |
| Inferring networks from next generation sequencing data |
| Session EO560 | Room: E1 |
| Statistical methods for networks and integrative studies | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Mihye Ahn | Organizer: Mihye Ahn, Min Jin Ha |
| B0809: Y. Chen, Y. Chen | |
| An efficient sampling algorithm for network motif detection | |
| B0990: D. Yu | |
| Fused lasso regression for identifying differential correlations in brain connectome graphs | |
| B1135: T. Park, Y. Kim | |
| Hierarchical structured component analysis for integrative analysis of multi-omics data | |
| B0841: M.J. Ha, S. Banerjee, R. Akbani, H. Liang, G. Mills, K.-A. Do, V. Baladandayuthapani | |
| Personalized integrated network modeling | |
| B1421: C. Class, M.J. Ha, V. Baladandayuthapani, K.-A. Do | |
| iDINGO: Integrative differential network analysis in genomics |
| Session EO120 | Room: F1 |
| Clustering of multivariate dependent data | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: F Marta L Di Lascio | Organizer: F Marta L Di Lascio |
| B0620: L. Bagnato, A. Punzo, A. Maruotti | |
| Hidden semi-Markov models with multivariate leptokurtic-normal components: Application to daily returns series | |
| B0942: M. Nai Ruscone | |
| Model-based clustering of high dimensional data using copulas | |
| B0245: A.M. Paganoni, F. Gasperoni, F. Ieva, C. Jackson, L. Sharples | |
| Non parametric frailty Cox model for clustering time-to-event data | |
| B1085: V. Vandewalle, C. Preda, S. Dabo | |
| Clustering of spatially dependent functional data | |
| B1138: A. White, J. Wyse, G. Celeux | |
| Comparing EM to a greedy search algorithm to optimize ICL for mixture models |
| Session EO574 | Room: G1 |
| Flexible survival methods | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Anneleen Verhasselt | Organizer: Anneleen Verhasselt, Roel Braekers |
| B0518: I. Van Keilegom, W. Gonzalez-Manteiga, M.-D. Martinez-Miranda | |
| Goodness-of-fit tests in proportional hazards models with random effects | |
| B1379: Y.-J. Kim | |
| Joint model for bivariate zero inflated recurrent event data with terminal event | |
| B0808: A. El Ghouch, A. Oulhaj, K.M. Beyene | |
| On the validity of time-dependent AUC estimation in the presence of cure fraction | |
| B1091: M.N. Hasan, R. Braekers | |
| Parametric estimation of the association parameters in hierarchical survival data by nested Archimedean copula functions | |
| B1698: K. Antonio, J. Crevecoeur, R. Verbelen | |
| Modeling the future development of IBNR and RBNS claims in the presence of covariates |
| Session EO146 | Room: H1 |
| Advances in ordinal data analysis | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Cristina Mollica | Organizer: Cristina Mollica |
| B0326: D. Fernandez | |
| A goodness-of-fit test for the ordered stereotype model | |
| B0892: D. Henderson | |
| Revealing subgroup structure in ranked data using a Bayesian WAND | |
| B1186: M. Crispino, V. Vitelli, A. Frigessi, E. Arjas, N. Barrett | |
| A Bayesian Mallows approach to non-transitive pair comparison data: Application to sounds perception | |
| B1239: Q. Liu | |
| Bayesian Mallows model for clicking data |
| Session EO236 | Room: I1 |
| New advances on statistical modeling of complex data I | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Mauricio Castro | Organizer: Mauricio Castro |
| B0322: W.-L. Wang, T.-I. Lin | |
| Multivariate-t nonlinear mixed models for censored multi-outcome longitudinal data | |
| B0449: V. Lourenco, H.-P. Piepho, J.O. Ogutu | |
| Robust estimation in plant breeding: Evaluation using simulation and empirical data | |
| B0950: I. Beaudry, K. Gile | |
| A Bayesian approach to differential recruitment with respondent-driven sampling data | |
| B0986: V. Inacio, J. Garrido Guillen, M.X. Rodriguez-Alvarez | |
| Bayesian nonparametric inference for the coefficient of overlap | |
| B1102: G. Page | |
| Bayesian hierarchical modeling of growth curve derivatives via sequences of quotient differences |
| Session EO362 | Room: L1 |
| Recent developments in multivariate data analysis | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Anne Ruiz-Gazen | Organizer: Klaus Nordhausen, Anne Ruiz-Gazen |
| B0427: J. Virta, N. Lietzen, K. Nordhausen | |
| Statistical properties of second-order tensor decompositions | |
| B0436: D. Paindaveine, J. Remy, T. Verdebout | |
| Testing for principal component directions under weak identifiability | |
| B0492: K. Nordhausen, J. Virta | |
| On estimating the number of signals in multivariate time series | |
| B0972: M. Olteanu, K. Pame, G. Beaunee, C. Bidot, E. Vergu | |
| Clustering and visualizing large cattle-trading networks using self-organizing maps | |
| B0455: M. Chavent, G. Chavent | |
| The R package sparsePCA for block approaches and group-sparse PCA |
| Session EO154 | Room: M1 |
| Recent advances in functional and multivariate data analysis | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Yuko Araki | Organizer: Yuko Araki |
| B0293: S. Jung | |
| On the number of principal components in high dimensions | |
| B0648: S. Kawano | |
| Sparse principal component regression via singular value decomposition | |
| B0938: M. Imaizumi, K. Kato | |
| Inference on active domains of functional data via functional linear regression | |
| B1099: Y. Araki | |
| Functional classification with direct and indirect effects for high dimensional data |
| Session EO206 | Room: N1 |
| Extreme values | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Katharina Hees | Organizer: Roland Fried, Katharina Hees |
| B1148: M. Oesting, O. Wintenberger | |
| Estimation of the spectral measure from convex combinations of jointly regularly varying random variables | |
| B0699: A. Schnurr, M. Oesting | |
| Ordinal patterns in clusters of extremes of regularly varying time series | |
| B1644: I. Muenker, A. Schnurr | |
| Ordinal pattern dependence in contrast to other concepts of dependence | |
| B0692: K. Hees | |
| Extreme value theory for bursty time series | |
| B1493: L.F. Schneider, A. Krajina, T. Krivobokova | |
| Threshold selection in univariate extreme value analysis |
| Session EO142 | Room: O2 |
| EcoSta journal: Copulas | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Takeshi Emura | Organizer: Erricos John Kontoghiorghes |
| B1069: G. Marra, R. Radice, D. Zimmer | |
| Copula additive regression models with endogenous binary treatment and count response | |
| A0420: R. Wilke, E. Mammen, M.S.S. Lo | |
| A nested copula duration model for competing risks with multiple spells | |
| B0544: D. Radulovic | |
| On the goodness of standard copulas | |
| B0638: D. Kurowicka | |
| Search of a vine structure in vine copula model based on sampling order proximity | |
| B0246: M. de Carvalho, M. Leonelli, R. Rubio | |
| Diagonal distributions |
| Session EO518 | Room: Q2 |
| Bayesian semi- and non-parametric modelling | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Silvia Liverani | Organizer: Silvia Liverani |
| B0308: R. Rastelli, F. Maire, N. Friel | |
| A noisy MCMC sampler for latent position network models | |
| B0416: A. Lavigne, S. Liverani | |
| Quantification of the uncertainty of a partition coming from the Dirichlet process mixture model | |
| B0509: I. Antoniano-Villalobos, A. Cremaschi, R. Piccarreta, S. Wade | |
| Colombian women's life choices: A Bayesian nonparametric multivariate regression approach | |
| B0748: W.W. Yoo, A. van der Vaart | |
| The Bayes Lepski's method and credible bands through volume of tubular neighborhoods | |
| B1089: P. Kirk | |
| Semi-supervised multi-view Bayesian nonparametric clustering for integrative genomics |
| Session EC641 | Room: Aula 4 |
| Contributions in computational statistics | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Yiming Ying | Organizer: CMStatistics |
| B0198: G. Guo | |
| Parallel Gibbs variable selection for high-dimensional generalized linear models | |
| B1550: C. Gatu, C. Barna, A. Colubi, E.J. Kontoghiorghes | |
| A graph approach to find the best grouping for each possible number of clusters | |
| B1382: P.V. Redondo, E. Barrios, J.R. Lansangan | |
| Estimating a Poisson autoregressive model with the backfitting algorithm | |
| B1459: Y. Morioka, K. Tanioka, H. Yadohisa | |
| Constrained matrix completion algorithm considering individual differences | |
| B1508: T.-J. Yen, Y.-M. Yen | |
| An attention algorithm for solving large scale structured $l_{0}$-norm penalized estimation problems |
| Session EG385 | Room: Aula A |
| Contributions in stochastic processes | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Hiroki Masuda | Organizer: CMStatistics |
| B1438: Y. Uehara, H. Masuda | |
| Noise estimation for ergodic Levy driven stochastic differential equation model | |
| B1450: S. Eguchi, Y. Uehara | |
| Consistent model selection for ergodic SDEs | |
| B1568: G. Albano, M. La Rocca, C. Perna | |
| A small sample analysis of discretely observed diffusion processes | |
| B1705: N. Niezink | |
| Stochastic differential equation modeling of social influence in networks | |
| B1432: D. Kurisu | |
| Nonparametric inference on Levy-driven Ornstein-Uhlenbeck processes |
| Session EG417 | Room: C1 |
| Contributions in spatial statistics | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Marie-Colette Van Lieshout | Organizer: CMStatistics |
| B0823: P. Valentini, C. Grazian, L. Ippoliti, L. Fontanella | |
| A time varying parameter model to estimate the short-term effects of air pollution on human health | |
| B1585: A. Gorshechnikova, C. Gaetan | |
| Likelihood approximation and prediction for large datasets of spatial data using hierarchical matrices | |
| B1492: A. Baxevani, D. Hristopulos | |
| Effective probability distributions for spatially dependent processes | |
| B1059: J. Randon-Furling, M. Olteanu | |
| Assessing segregation in complex networks through a multifocal approach | |
| B1490: A. Meilan-Vila, J. Opsomer, M. Francisco-Fernandez, R. Crujeiras | |
| Testing parametric regression models when the errors are spatially correlated |
| Session EG033 | Room: D1 |
| Contributions in nonparametric statistics | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Germain Van Bever | Organizer: CMStatistics |
| B1384: E.J. Abacan, E. Barrios, J.R. Lansangan | |
| Nonparametric changepoint analysis of multiple time series | |
| B1658: E. Fonseca Mendes, M. Fernandes | |
| Nonparametric testing of conditional independence using asymmetric kernels | |
| B1629: M. Khismatullina, M. Vogt | |
| Multiscale inference and long-run variance estimation in nonparametric regression with time series errors | |
| B1416: D. Barreiro Ures, M. Francisco-Fernandez, R. Cao | |
| Bandwidth selection in nonparametric regression with very large sample size | |
| B1665: M. Chaouch | |
| Volatility estimation in nonlinear heteroscedastic functional regression model with martingale difference errors |
| Session EC633 | Room: O1 |
| Contributions in time series II | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Stephen Pollock | Organizer: CMStatistics |
| B1565: M. Matilainen, K. Nordhausen, J. Miettinen, J. Virta, S. Taskinen | |
| Dimension reduction for time series in a BSS context using R | |
| B1668: M.R. Ramos, C. Cordeiro | |
| A contribution to forecast time series with structural break | |
| A1652: H.A. Karlsen, S. Holleland | |
| A spatio-temporal GARCH model | |
| B1434: A. Svetlosak, M. de Carvalho, R. Calabrese | |
| Comparative mean value with an application to personal financial data analysis | |
| B1542: S. Pollock | |
| Alternative methods of seasonal adjustment |
| Session EP689 | Room: Ground Level Hall |
| Poster Session II | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Panagiotis Paoullis | Organizer: CMStatistics |
| Parallel session L: CFE | Sunday 16.12.2018 | 10:05 - 12:10 |
| Session CO232 | Room: Aula Magna |
| Advances in latent variable modelling | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Robert Kohn | Organizer: Robert Kohn |
| A0691: H. Wagner | |
| A flexible Bayesian model for treatment effects on panel outcomes | |
| A1340: M. Scharth, A. Vasnev, H. Zhang | |
| Bayesian dynamic regularised forecast combinations | |
| A1580: R. Dutta, A. Mira | |
| Well-tempered Hamiltonian Monte Carlo on active-space | |
| A1577: G. Kastner, F. Huber, M. Feldkircher | |
| A latent threshold approach to large-scale mixture innovation models | |
| A1728: R. Kohn, C.K. Carter, D. Gunawan | |
| Efficiently combining pseudo marginal and particle Gibbs sampling |
| Session CO580 | Room: Aula C |
| Learning complex datasets in econometrics | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Yuan Ke | Organizer: Yuan Ke |
| A0747: S. Bai, P. Ma, W. Zhong, R. Xie, Z. Wang | |
| Leverage subsampling for vector autoregression | |
| A1010: Y. Ke, J. Fan, Y. Liao | |
| Forecast US bond risk premia with partially observed factors | |
| A0790: C. Zheng | |
| A general theory for detecting changes-in-mean and changes-in-slope | |
| A1212: Y. Chen | |
| Nonparametric production function estimation with shape constraints | |
| A0705: M. Karemera, S. Guerrier, M.-P. Victoria-Feser, Y. Ma, S. Orso | |
| On the properties of simulation-based estimators in high dimensions |
| Session CO470 | Room: P1 |
| Modelling spatial data in business and economics | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Marzia Freo | Organizer: Marzia Freo |
| A0261: K. Kopczewska | |
| Spatial bootstrapped microeconometrics: Forecasting for out-of-sample geo-locations | |
| A0502: S. Ghinoi | |
| Social capital and regions absorptive capacity in Europe | |
| A0564: R. Bernardini Papalia, E. Fernandez Vazquez | |
| Entropy based small area estimation for count data with spatial effects | |
| A0793: T. Laureti, F. Polidoro | |
| Spatial comparisons of consumer prices using big data: Empirical evidence from Italy | |
| A1154: I. Benedetti, T. Laureti, L. Biggeri, M. Brandi | |
| Sub-national price indexes for housing: Methodological issue and empirical analyses for Italy |
| Session CO110 | Room: A2 |
| Financial modelling | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Genaro Sucarrat | Organizer: Genaro Sucarrat |
| A0637: D. Kyriakopoulou, C. Hafner | |
| Negative skewness of asset returns with positive time-varying risk premia | |
| A0494: D. Dupuis, M. Bee, L. Trapin | |
| Realized peaks-over-threshold: A time-varying extreme value approach with high-frequency based measures | |
| A0598: F. Violante, L. Bauwens, J. Rombouts | |
| Dynamic properties and correlation structure of a large panel of cryptocurrencies | |
| A1155: A. Heinen | |
| Competition, fast growth and commercialization: A copula approach for systemic credit risk in microcredit markets | |
| A0452: M. Karanasos, A. Paraskevopoulos, P. Sibbertsen, R. Baillie | |
| Tackling infinity: A theory for infinite order autoregressions |
| Session CO124 | Room: B2 |
| Regime switching, filtering, and portfolio optimization | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Joern Sass | Organizer: Leopold Soegner, Joern Sass |
| A0318: J. Reynolds, L. Soegner, M. Wagner, D. Wied | |
| Deviations from triangular arbitrage parity in foreign exchange and bitcoin markets | |
| A0384: D. Westphal, J. Sass | |
| Utility maximization under model uncertainty | |
| A0760: E. Leoff, T. Ewen | |
| Particle filtering for truncated noise densities | |
| A0769: M. Scholz, J.P. Nielsen, S. Sperlich, E. Mammen | |
| Market-timing in practice | |
| A1334: M. Kiermeier | |
| Wavelet analysis applied to directors dealings |
| Session CO478 | Room: C2 |
| Empirical analysis of bond risk premia | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Andrea Berardi | Organizer: Andrea Berardi |
| A0373: R. Moessner, A. Mehrotra, C. Shu | |
| Long-term interest rate spillovers from the United States: Expectations, term premia and uncertainty | |
| A0666: W. Lemke, F. Eser, K. Nyholm, S. Radde, A. Vladu | |
| Tracing the impact of the ECB's expanded asset purchase programme on the yield curve | |
| A1272: P. Williams, E. Kopp | |
| A macroeconomic approach to the term premium | |
| A0299: M. Taboga | |
| Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models | |
| A1040: A. Berardi | |
| Term premia with macro expectations |
| Session CO158 | Room: D2 |
| Statistical models for banking and business failure prediction | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Marcella Niglio | Organizer: Marialuisa Restaino, Marcella Niglio |
| A0292: A. Beretta, C. Heuchenne | |
| Variable selection in proportional hazards cure model with time-varying covariates, application to US bank failures | |
| A0669: R. Calabrese, R. Stine | |
| Contagion effects in small business failures: A spatial multilevel autoregressive model | |
| A0905: A. Berti, C. Franceschini, N. Loperfido | |
| A multivariate approach to measure the dimension of a bank | |
| A1020: F. Pierri, C. Caroni, E. Stanghellini | |
| Failure of small business enterprises: A competing risks analysis | |
| A0400: M. Niglio, M. Restaino, F. Giordano | |
| Variable selection in estimating bank default |
| Session CO244 | Room: G2 |
| Dependence, extremes and robust inference | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Rustam Ibragimov | Organizer: Rustam Ibragimov |
| A0538: J. Kim, N. Meddahi | |
| Volatility regression with fat tails | |
| A0794: R. Leipus | |
| Closure properties for heavy-tailed distributions: Some recent results | |
| A1029: O. Lebedev, A. Ankudinov | |
| Extreme returns and structural breaks in the Russian financial market | |
| A1121: Z. Chen, R. Ibragimov | |
| One country, two systems: The heavy-tailedness of Chinese A- and H- share markets | |
| A1163: A. Skrobotov, R. Ibragimov, J. Kim | |
| Robust inference for predictive regressions under endogeneity and heteroskedasticity |
| Session CO096 | Room: N2 |
| New methods for nonlinearities in time series panels and applications | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Peter Pedroni | Organizer: Peter Pedroni |
| A1088: J. Schuffels, L. Lieb | |
| Nonlinear effects of inflation expectations on durable consumption: The role of household balance sheets | |
| A0568: L. Margaritella, S. Smeekes, A. Hecq | |
| Granger causality test in high dimensional VAR models: A post-double-selection procedure | |
| A1065: P. Pedroni, D. Al Masri | |
| Nonlinearities in financial development | |
| A0516: F. Grigoli, A. Robles | |
| Inequality overhang | |
| A0855: A. Kangur, F. Grigoli, P. Pedroni | |
| The marginal product of private and public capital |
| Session CO092 | Room: P2 |
| Bayesian econometrics | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Kaoru Irie | Organizer: Yasuhiro Omori |
| A0546: T. Watanabe, J. Nakajima | |
| High-frequency stochastic volatility models for the Japanese stock index | |
| A0603: S. Montagna, S. Tokdar, I. Irincheeva | |
| Bayesian analysis of dependent functional data | |
| A0676: M. Takahashi, Y. Omori, T. Watanabe | |
| Realized stochastic volatility models with skew-$t$ distributions | |
| A1018: K. Irie, Y. Omori, N. Awaya | |
| Filtering for stochastic volatility models with leverage by mixture approximation | |
| A0607: O. Ekici | |
| An economic crisis indicator for emerging economies: Short term private external debt |
| Session CC652 | Room: Q1 |
| Contributions in applied econometrics | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Roderick McCrorie | Organizer: CFE |
| A1663: T. Soler, E. Jay, C. Chorro, P. De Peretti | |
| Elliptical subset VAR estimation and impacts on frequency causality measures | |
| A1538: A. Aganin, A. Peresetsky | |
| The impact of oil price volatility on the exchange rate volatility in Russia | |
| B1660: S. Holleland, H.A. Karlsen | |
| Modelling volatility in daily air temperature on Svalbard | |
| A1738: L. Boeckelmann, A. Stalla-Bourdillon | |
| Structural estimation of time-varying spillovers: An application to international market liquidity | |
| B1751: D. Gabauer | |
| Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions |
| Session CG622 | Room: E2 |
| Contributions in value-at-risk | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Matei Demetrescu | Organizer: CFE |
| A1710: J. Taylor | |
| Forecasting value at risk and expected shortfall using a dynamic omega ratio | |
| A1546: C.G. Santamaria | |
| Realized GARCH model adding robust measures of skewness and kurtosis | |
| A1311: P. Tofoli, D. Gomes dos Santos, O. da Silva Filho | |
| Forecasting risk measures using intraday and overnight information | |
| A1105: R. Gerlach, C. Wang | |
| Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures | |
| A1570: O. Couperier, J. Leymarie | |
| Backtesting expected shortfall via multi-quantile regression |
| Session CG014 | Room: F2 |
| Contributions in empirical macroeconomics | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Gunter Coenen | Organizer: CFE |
| A1501: J. Cross, A. Poon, C. Hou | |
| Forecasting with large Bayesian VARs: On the importance of the prior | |
| A1533: C. Martinez Hernandez, A. Velinov | |
| Analyzing asymmetric effects of monetary policy in the Euro Area | |
| A1559: F. Venditti, G. Veronese, F. Venditti | |
| Highly frequent oil price shocks | |
| A1584: M. Lombardi, M. Raczko, A. Filardo | |
| Measuring financial cycle time | |
| A1699: J. Bruha | |
| Nowcasting disaggregated trade and real activity: a DFM approach |
| Session CC648 | Room: H2 |
| Contributions in forecasting II | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Fallaw Sowell | Organizer: CFE |
| A1332: R. Kruse-Becher, J. Beckmann | |
| Regime-specific exchange rate predictability and the role of uncertainty | |
| A1684: C. Schult, O. Holtemoeller | |
| Expectation formation, financial frictions, and forecasting performance of dynamic stochastic general equilibrium models | |
| A0191: N. Moiseev | |
| Computation of reliable interval forecast for dynamic averaging of economic time series regression models | |
| A0573: N. Rubino | |
| Out-of-sample performance of nonlinear models in commodities international price differential forecasting | |
| A1639: A. Kostrov, L. Grigoryeva, S. Bertele | |
| Forecasting U.S. bank failures with machine learning techniques |
| Session CC649 | Room: I2 |
| Contributions in econometrics modelling | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Mikko Pakkanen | Organizer: CFE |
| A1579: H. Shimizu | |
| A Bayesian analysis of extended Poisson distribution | |
| A1600: A. Carvalho, J. Ditzen | |
| Stochastic frontier model choice with unobserved heterogeneity: A Monte Carlo study | |
| A1405: P. Wlodarczyk | |
| The welfare-adequate measure of wage dispersion in the basic DSGE model with unemployment | |
| A0417: S. Cinaroglu | |
| Modelling unbalanced catastrophic health expenditure data | |
| A1351: Z. Wang, J. Crook, G. Andreeva | |
| Reducing model risk using Bayesian approach: Application to PD modelling of mortgage loans |
| Session CP001 | Room: Ground Level Hall |
| Poster Session | Sunday 16.12.2018 10:05 - 12:10 |
| Chair: Panagiotis Paoullis | Organizer: CFE |
| A0258: L. Jacobi, D. Zhu | |
| Prior robustness and convergence analysis for MCMC output based on automated sensitivity computations | |
| A1475: R. Hendrych | |
| Recursive estimation of multivariate GARCH processes | |
| A1607: D. Zhu, L. Jacobi, J. Chan | |
| How sensitive are VAR forecasts to prior hyperparameters: An automated sensitivity analysis | |
| A1734: J. Nwabueze, U. George | |
| Bayesian vector autoregressive models for forecasting inflation rate in Nigeria | |
| A1745: D. Robles, J.-L. Fernandez-Serrano | |
| Revisiting the dynamics between CDS spreads and equity returns under a nonlinear approach | |
| A1741: A. Livada, K. Natsiopoulos | |
| An ARDL approach for income inequality: Case studies for France, Greece, UK and USA | |
| A1750: R. Gorska | |
| Entropy measures in building Markowitz's efficient frontier: Evidence form Warsaw stock exchange | |
| A1263: J. Kumar | |
| Panel data AR(1) time series models with multiple complete break points under a Bayesian framework |
| Parallel session N: CMStatistics | Sunday 16.12.2018 | 14:40 - 16:20 |
| Session EO546 | Room: A0 |
| Societal implications of work in statistics and data science | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Jennifer Hill | Organizer: Jennifer Hill, Ravi Shroff |
| B0348: A. Laitinen, I. Palmer | |
| Ethical considerations to ensure that analytics help, never harm, students | |
| B0677: R. Shroff, S. Corbett-Davies, S. Goel, J. Jung | |
| Omitted and included variable bias in tests for disparate impact | |
| B0830: C. Simoiu, S. Goel, S. Corbett-Davies | |
| A novel test for bias in decision-making | |
| B1050: D. Scheinker, A. Claypool, M. Brandeau | |
| The need for standardized hospital screening systems and metrics to detect child maltreatment |
| Session EO140 | Room: Aula 4 |
| Statistics meets computing | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Binyan Jiang | Organizer: Chenlei Leng |
| B1047: B. Jiang | |
| Penalized interaction estimation for ultrahigh dimensional quadratic regression | |
| B1281: Y. She | |
| On generalization and computation of Tukey's depth | |
| B1287: P. Song | |
| Meta estimation of normal mean parameter: Seven perspectives of data integration | |
| B1372: X. He, J. Wang, S. Lyu | |
| Scalable Kernel-based variable selection |
| Session EO450 | Room: Aula 5 |
| Recent developments in high-dimensional modeling and inference | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Young Kyung Lee | Organizer: Young Kyung Lee |
| B0255: J. Kim, J.S. Lee, J. Lim | |
| Semi-parametric hidden Markov model and large scale multiple testing under dependency | |
| B0459: C. Lim, C. Park | |
| Analysis of quantitative high throughput screening data using a robust nonlinear mixed effects model estimation | |
| B0728: S. Shin, Y. Liu, S. Cole, J. Fine | |
| Ensemble estimation and variable selection with semiparametric regression models | |
| B1006: Y. Rho, Y. Liu | |
| Panel nonparametric MIDAS model: A clustering approach |
| Session EO228 | Room: Aula B |
| Challenge and new methods of big data analysis | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: HaiYing Wang | Organizer: HaiYing Wang |
| B0628: G. Raskutti | |
| Recent developments in variable selection and classification with presence-only data | |
| B1012: Q. Song | |
| Bayesian shrinkage towards sharp minimaxity | |
| B1075: H. Wang | |
| Optimal subsampling algorithms for big data generalized linear models | |
| B1376: A. Lane | |
| Adaptive designs for optimal observed Fisher information |
| Session EO086 | Room: Aula Magna |
| Recent innovation in multi-omics data analysis | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Taesung Park | Organizer: Taesung Park |
| Session EO522 | Room: Sala Convegni |
| Astrostatistics | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Mauro Bernardi | Organizer: Mauro Bernardi, Alessandra Rosalba Brazzale |
| B0923: A. Sottosanti, M. Bernardi, R. Trotta, D. van Dyk | |
| Astronomical source detection and background separation via hierarchical Bayesian nonparametric mixtures | |
| B0777: D. Stenning, D. Jones, E. Ford, T. Loredo, J. Cisewski, R. Wolpert | |
| Hunting for exoplanets around active stars | |
| B0336: U. Simola, J. Cisewski, X. Dumusque | |
| Measuring precise radial velocities and cross-correlation function line-profile variations using a skew normal density | |
| B1044: A.R. Brazzale, U. Simola | |
| Frequentist or Bayesian: An exoplanet case study |
| Session EO304 | Room: A1 |
| Advances in statistical neuroimaging analysis | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Lexin Li | Organizer: Lexin Li |
| B0549: M.K. Chung | |
| Persistent homology on functional brain network | |
| B0872: X. Luo, X. Cao, B. Sandstede | |
| A causal dynamic network model for functional MRI | |
| B0960: D. Brzyski | |
| Finding relevant communities in the brain with SPINNER | |
| B1296: J. Kornak, K. Young | |
| A new approach to Bayesian image analysis |
| Session EO534 | Room: Aula A |
| Recent advances in analysis of high-dimensional data | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Yunzhang Zhu | Organizer: Yunzhang Zhu |
| B0631: H. Wu, Z. Wu | |
| Normalization and differential expression in single cell RNA-seq | |
| B0899: H. Jiang | |
| Minimizing sum of truncated convex functions and its applications | |
| B1053: P. Wang | |
| Network inference | |
| B1098: W. Pan | |
| An adaptive test on high-dimensional parameters in generalized linear models |
| Session EO669 | Room: Aula C |
| Microbiome research methods | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Alexander Alekseyenko | Organizer: Ekaterina Smirnova |
| B0275: A. Alekseyenko | |
| A framework for multivariate causal mediation analysis with microbiome data | |
| B0801: C.L. Mueller | |
| Novel regression models for microbiome data | |
| B0983: J. OBrien | |
| Multivariate logistic mixture regression for microbiome analysis | |
| B1176: Y. Hu | |
| Analyzing matched sets of microbiome data |
| Session EO683 | Room: B1 |
| Graphical Markov models V | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Kayvan Sadeghi | Organizer: Kayvan Sadeghi |
| B1410: K. Yang, A. Katcoff, C. Uhler | |
| Characterizing and learning equivalence classes of causal DAGs under interventions | |
| B1669: N. Wermuth, G.M. Marchetti | |
| On linear generating processes for joint distributions of binary variables having an undirected Markov graph structure | |
| B1649: J. Mooij, T. Blom | |
| A causal modeling framework in search of a graphical representation | |
| B1733: M. Eichler | |
| Testing for tetrad constraints in multivariate time series |
| Session EO496 | Room: C1 |
| On recent development about time series and spectral analysis | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Yuexiao Dong | Organizer: Yuexiao Dong |
| B0340: S. Bruce, C.Y. Tang, R. Krafty | |
| Empirical band analysis of nonstationary time series | |
| B0368: Z. Li, R. Krafty | |
| Bayesian spectral analysis of high-dimensional time series | |
| B0612: R. Krafty, S. Bruce, M. Hall | |
| Conditional adaptive Bayesian spectral analysis of nonstationary biomedical time series | |
| B1392: B. Park, A. Vidyashankar, T. McElroy | |
| Network analysis for time series data |
| Session EO663 | Room: E1 |
| Recent advances in network data analysis | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: David Choi | Organizer: Yuguo Chen |
| Session EO348 | Room: F1 |
| Dynamic models and structural changes | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Zuzana Praskova | Organizer: Zuzana Praskova |
| B0601: W. Schmid, T. Lazariv | |
| Monitoring non-stationary processes | |
| B1115: A. Steland | |
| Change detection and estimation for the covariance matrices of a high-dimensional time series | |
| B1224: Z. Hlavka, M. Huskova, S. Meintanis | |
| Change point detection in multivariate two-sample setup | |
| B0936: Z. Praskova | |
| Testing structural breaks in large dynamic models |
| Session EO442 | Room: G1 |
| Recent advances of statistical methods in survival analysis and missing data | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Sy Han Chiou | Organizer: Lihong Qi |
| B1100: D. Gillen, S. Akhavan, A. Vandenberg-Rodes, B. Shahbaba | |
| A flexible joint longitudinal-survival modeling framework for incorporating multiple longitudinal biomarkers | |
| B1271: Y. Li | |
| Drawing inference for high-dimensional models via a selection-assisted partial regression approach | |
| B1365: C. Hu, C.-H. Hsu, Y. He | |
| An alternative sensitivity analysis approach for missing not at random data | |
| B1373: J. Schildcrout | |
| Applications of survival analysis towards building a value-driven pre-emptive genotyping program |
| Session EO314 | Room: H1 |
| Recent advances in flexible directional modeling | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Jose Ameijeiras-Alonso | Organizer: Jose Ameijeiras-Alonso |
| B0593: T. Abe | |
| WeiSSVM model and its applications to cylindrical data | |
| B0773: A. Panzera, M. Di Marzio, S. Fensore, C.C. Taylor | |
| Nonparametric methods for circular data with errors in variables | |
| B0837: Y. Larriba, C. Rueda, M. Fernandez, S. Peddada | |
| A directional proposal to solve a chronobiological problem | |
| B0964: S. Kato, A. Pewsey, C. Jones | |
| Circulas obtained through a Fourier series based approach |
| Session EO214 | Room: I1 |
| New advances on statistical modeling of complex data II | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Tsung-I Lin | Organizer: Tsung-I Lin |
| B0489: C.-J. Lin, J. Wason | |
| Improving the precision of oncology trials analysis using progression-free-survival as an endpoint | |
| B0896: M. Castro, L. Avila Matos, C. Cabral, V.H. Lachos Davila | |
| Multivariate measurement error models based on Student-t distribution under censored responses | |
| B0922: V.H. Lachos Davila | |
| Autoregressive skew-normal/independent linear mixed models | |
| B1193: A. Roy, D. Klein | |
| Testing the equality of two object parameters in two populations of symbolic data |
| Session EO432 | Room: L1 |
| Latent variable models with applications | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Sara Taskinen | Organizer: Sara Taskinen |
| B0414: S. Cagnone, C. Viroli | |
| The analysis of longitudinal mixed data via multivariate latent variable models: An analysis on alcohol use disorder | |
| B0978: S. Bianconcini, S. Cagnone | |
| Approximate inference in latent variable models based on dimension-wise quadrature | |
| B1293: M. Heinonen | |
| Output-sparse latent Gaussian processes |
| Session EO188 | Room: M1 |
| Recent advances on functional data analysis and applications | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Javier Alvarez-Liebana | Organizer: Ana Maria Aguilera |
| B0997: J. Portela, A. Bello | |
| Functional regression for estimating probability density functions: An application to electricity price forecasting | |
| B0723: C. Acal, A.M. Aguilera, M.C. Aguilera-Morillo, J.B. Roldan, F. Jimenez-Molinos | |
| Functional data analysis of resistive switching processes | |
| B1225: J. Alvarez-Liebana, M.D. Ruiz-Medina | |
| Banach-valued multivariate mixed effects model with weakly dependent errors | |
| B1341: F. Scheipl, J. Goldsmith | |
| Tidyfun: A new framework for representing and working with function-valued data |
| Session EO364 | Room: N1 |
| High dimensional extremes | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Chen Zhou | Organizer: Chen Zhou |
| B0294: D. Castro-Camilo, R. Huser | |
| Local likelihood estimation of complex tail dependence structures in high dimensions applied to precipitation extremes | |
| B0690: G. Stupfler, S. Girard | |
| Estimation of high-dimensional extreme conditional expectiles | |
| B0761: R. de Fondeville, A. Davison | |
| Modelling extreme European windstorms with functional peaks-over-threshold analysis | |
| B1404: A. Sabourin, S. Clemencon, H. Jalalzai | |
| On binary classification in extreme regions |
| Session EO500 | Room: O1 |
| Copulas and dependence modelling | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Piotr Jaworski | Organizer: Piotr Jaworski |
| B0223: M. Manstavicius, G. Bagdonas | |
| On bivariate copula mappings | |
| B0875: W. Trutschnig | |
| The Markov product of copulas revisited | |
| B1524: H. Nguyen, P. Galeano, C. Ausin | |
| Variational inference for high dimensional structured factor copulas | |
| B0851: E. Perrone | |
| Discrete copulas and stochastic monotonicity |
| Session EO062 | Room: Q1 |
| Data depth and high-dimensional data | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Sara Lopez Pintado | Organizer: Sara Lopez Pintado |
| B0274: F. Ieva, A.M. Paganoni, J. Romo, N. Tarabelloni | |
| On robust nonparametric techniques for dealing with the analysis of high dimensional data | |
| B0354: M. Svarc, L. Fernandez Piana, A. Justel | |
| Local depth measures for trajectories with a common origin | |
| B0740: H. Huang, Y. Sun | |
| Total variation depth and its decomposition for functional-data outlier detection | |
| B1666: S. Lopez Pintado | |
| Nonparametric depth based methods for analyzing health data |
| Session EO054 | Room: O2 |
| EcoSta journal Part B: Statistics II | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Ana Colubi | Organizer: Erricos John Kontoghiorghes |
| B0297: A. Janssen, M. Ditzhaus | |
| Valid and consistent adaptive multiple tests | |
| B1709: C. Croux | |
| HAC standard errors for robust estimators | |
| B0508: M.J. Lombardia, D. Morales, M.-D. Esteban, E. Lopez Vizcaino, A. Perez | |
| Small area estimation of proportions under an area-level compositional mixed model | |
| B1028: S. Pandolfi, F. Bartolucci, M.F. Marino | |
| Stochastic block models for social network data: Inferential developments |
| Session EO396 | Room: P2 |
| Bayesian analysis and applications via partition and unification approaches | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Hongsheng Dai | Organizer: Hongsheng Dai |
| B0185: M. Pollock, L. Aslett, H. Dai, G. Roberts | |
| Confusion: A confidential fusion approach to statistical secret sharing | |
| B1023: B. Jiang | |
| A joint modeling approach for baseline matrix-valued imaging data and treatment outcome | |
| B1061: R. Goudie | |
| Modular modelling: Joining and splitting models with Markov melding | |
| B1162: H. Dai, M. Pollock, G. Roberts | |
| Bayesian fusion |
| Session EO222 | Room: Q2 |
| Bayesian semi- and nonparametric modelling III | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Matteo Ruggiero | Organizer: Li Ma, Raffaele Argiento, Matteo Ruggiero |
| A0941: R. Casarin, M. Billio, L. Rossini | |
| Bayesian nonparametric sparse VAR models | |
| B0240: J. Koskela, D. Spano, P. Jenkins | |
| Verifiable posterior consistency conditions for jump diffusions | |
| B1358: C. Scricciolo | |
| Bayesian Wasserstein deconvolution | |
| B1591: F. Komaki | |
| Improper priors for nonparametric Bayes estimation of Poisson intensity functions |
| Session EG600 | Room: D1 |
| Contributions in methodological statistics and applications I | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Satish Iyengar | Organizer: CMStatistics |
| B1730: A. Bere, G. Sithuba | |
| A discrete survival model with a smooth baseline hazard for age at alcohol intake debut | |
| B1739: Y. Gryazin | |
| A parallel regularized optimization approach to hedging a portfolio of collateralized mortgage obligations | |
| B1659: H.-W. Teng, M. Lee | |
| Machine learning for predicting default of credit card holders and success of kickstarters |
| Parallel session N: CFE | Sunday 16.12.2018 | 14:40 - 16:20 |
| Session CO410 | Room: P1 |
| Spatio-temporal models for prediction of climate impacts on societies | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Nourddine Azzaoui | Organizer: Nourddine Azzaoui |
| A1593: P. Druilhet, S. Coly | |
| Efficient spatial designs for monitoring environmental phenomenon | |
| A1596: D. Murakami, M. Ames, P. Shevchenko, T.A. Myrvoll, T. Matsui, Y. Yamagata | |
| Climate change mitigation management using an optimal stochastic control framework | |
| A1601: B. Xiao, M.-E. Dury | |
| A comparative study on autoregressive models: An application to several financial assets | |
| A1634: A.F. Yao, L. Forzani, M.A. Gieco, P. Llop | |
| Spatial prediction based on kernel method and dimension reduction |
| Session CO094 | Room: A2 |
| Sentiment and financial markets | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Francesco Audrino | Organizer: Francesco Audrino |
| A0228: A. Tetereva | |
| Application of multivariate Hawkes graphs to uncover Granger causality of financial news | |
| A0296: F. Sigrist, F. Audrino, D. Ballinari | |
| Using large and heterogeneous sources of sentiment and attention data for predicting stock market volatility | |
| A0460: T. Renault | |
| Cryptocurrency-specific lexicon and sentiment projection | |
| A0495: S. Borovkova | |
| Country news sentiment indices |
| Session CO130 | Room: B2 |
| Housing markets | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Ivan Paya | Organizer: Ivan Paya |
| A0209: A. Anundsen, B. Kivedal | |
| Speculative bubbles in regional housing markets | |
| A0419: I. Paya, E. Pavlidis, A. Skouralis | |
| The impact of the UK real estate sector on systemic risk | |
| A0765: S.J. Hviid | |
| A leading indicator of house-price bubbles | |
| A1693: K. Vasilopoulos, W. Tayler | |
| Commercial real estate, housing and the business cycle |
| Session CO466 | Room: C2 |
| Asset pricing with financial frictions | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Luca Benzoni | Organizer: Scott Brave |
| A1523: M. Croce | |
| SONOMA: a Small Open ecoNOmy for MAcrofinance | |
| A1608: F. Tourre, L. Hansen, P. Khorrami | |
| Comparative valuation dynamics in models with financing restrictions | |
| A1107: L. Garlappi, K. Daniel, K. Xiao | |
| Monetary policy and reaching for income | |
| A1046: L. Benzoni, L. Garlappi, R. Goldstein | |
| The term structure of credit spreads with dynamic debt issuance and asymmetric information |
| Session CO462 | Room: G2 |
| Machine learning techniques for time series forecasting | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Lyudmila Grigoryeva | Organizer: Lyudmila Grigoryeva |
| A1731: V. Livina | |
| Tipping point analysis of dynamical | |
| A1691: G. Fechteler | |
| Inference and time series analysis with artificial neural networks | |
| A1631: J.-P. Ortega, L. Grigoryeva | |
| Forecasting and the universality problem in dynamic machine learning | |
| A1662: L. Grigoryeva, O. Kukharenko, J.-P. Ortega | |
| Forecasting of high-dimensional realized covariances with reservoir computing |
| Session CO532 | Room: H2 |
| Empirical macroeconomics | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Nora Traum | Organizer: Nora Traum |
| A0204: C. Boehm, N. Pandalai Nayar | |
| On the convexity of supply curves convex: Implications for state-dependent responses to shocks | |
| A0213: W. Miyamoto, T.L. Nguyen | |
| International linkages and the changing nature of international business cycles | |
| A0193: M. Cacciatore, N. Traum | |
| Trade flows and fiscal multipliers |
| Session CO198 | Room: M2 |
| Macroeconomic uncertainty | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Svetlana Makarova | Organizer: Wojciech Charemza, Svetlana Makarova |
| A0330: R. Golinelli, M.E. Bontempi, M. Squadrani | |
| Uncertainty, perception and internet | |
| A0585: S. Lee, J. Ha, I. So | |
| Identifying uncertainty shocks using geopolitical swings in Korea | |
| A0605: C. Diaz | |
| On the effect of the Bank of England expected inflation uncertainty on private forecasters' risk assessments | |
| A0891: S. Makarova, W. Charemza, C. Diaz | |
| Inflation forecast uncertainty in the three transitional Central and East European countries |
| Session CO538 | Room: N2 |
| Long memory | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Christian Leschinski | Organizer: Philipp Sibbertsen |
| A0481: G. Chevillon, L. Bauwens, S. Laurent | |
| Forecasting long memory via a VAR model | |
| A0641: C. Leschinski, P. Sibbertsen | |
| Spurious fractional cointegration | |
| A0949: L. Giraitis, M. Taniguchi, M. Taqqu | |
| Estimation pitfalls when the noise is not i.i.d. | |
| A1411: K. Wenger, C. Leschinski | |
| Fixed bandwidth CUSUM tests for change-in-mean under long memory |
| Session CC646 | Room: D2 |
| Contributions in risk analysis | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Marc Paolella | Organizer: CFE |
| A1217: R. Liang | |
| Peer to peer personal credit risk assessment based on survival model | |
| A1481: I. Peri, J. Corbetta | |
| A new approach to backtesting and risk model selection | |
| A1571: C. OSullivan, Y. Wang | |
| Option implied tail risk and expected stock returns | |
| A1229: A. Monteiro, A. Santos | |
| Nonparametric risk-neutral density estimation using local cubic polynomials applied to intraday data |
| Session CC653 | Room: E2 |
| Contributions in empirical finance | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Massimo Guidolin | Organizer: CFE |
| A1433: C. Funk, K. Kempa, J. Lips | |
| Oil price shocks and debt in the oil industry: An empirical analysis | |
| A1320: C. Castro | |
| On the market model as a counterfactual for event studies in finance | |
| A1544: R. Bermejo Climent, I.C. Figuerola-Ferretti Garrigues, A. Santos Moreno | |
| ESG transparency and investment: Signaling and the power of social responsibility on performance | |
| A1716: P. Chodnicka - Jaworska | |
| Banks' credit ratings: Impact of the business lines |
| Session CG059 | Room: F2 |
| Contributions in time series II | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Michael Thornton | Organizer: CFE |
| A1636: C. Montes-Galdon | |
| Estimation of permanent and temporary shocks in a factor model framework | |
| A0217: B. Abeln, J. Jacobs | |
| CAMPLET: Seasonal adjustment without revisions | |
| A1641: S. Schreiber | |
| On the reliability of bootstrapped cointegration test findings | |
| A1627: G. Bormetti, F. Corsi, A.A. Majewski | |
| Term structure of variance risk premium and returns' predictability |
| Session CG057 | Room: I2 |
| Contributions in autoregresive models | Sunday 16.12.2018 14:40 - 16:20 |
| Chair: Yohei Yamamoto | Organizer: CFE |
| A1370: M. Meitz, P. Saikkonen | |
| Testing for observation-dependent regime switching in mixture autoregressive models | |
| A0234: F. Sabzikar | |
| Autoregressive tempered fractionally integrated moving average time series: Theory and applications | |
| A1675: C. Euan, Y. Sun | |
| Bernoulli vector autoregressive model | |
| A0556: C. Wang, R. Gerlach | |
| Semi-parametric realized nonlinear conditional autoregressive expectile and expected shortfall models |
| Parallel session O: CMStatistics | Sunday 16.12.2018 | 16:50 - 18:05 |
| Session EO488 | Room: Aula 4 |
| Model selection and inference | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Ulrike Schneider | Organizer: Ulrike Schneider |
| B0362: F. Bachoc, H. Leeb, B. Poetscher | |
| Valid confidence intervals for post-model-selection predictors | |
| B1258: D. Kozbur, C. Hansen, J. Cao, L. Villacorta | |
| Inference in data with high-dimensional dependence structures | |
| B1270: K. Johnson | |
| Post-selection inference in correlation learning |
| Session EO202 | Room: Aula B |
| Analysis of large data sets: Theory and applications | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Malgorzata Bogdan | Organizer: Malgorzata Bogdan |
| B0969: B. Miasojedow, A. Durmus, S. Majewski | |
| Analysis of Langevin Monte Carlo via convex optimization | |
| B1507: H. Bellout, K. Podgorski | |
| Machine learning methods for initial orthonormal basis selection for functional data | |
| B1648: S. Gaiffas, J. Mourtada, E. Scornet | |
| Online adaptive and anytime Mondrian forests |
| Session EO294 | Room: Aula Magna |
| Advance in statistical methods for big and complex data | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Linbo Wang | Organizer: Dehan Kong |
| Session EO032 | Room: A1 |
| Recent development in statistical analysis of brain data | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Guofen Yan | Organizer: Tingting Zhang |
| B0479: S. Iyengar | |
| Inference for first passage times of the Feller process | |
| B0878: J. Harezlak, Z. Lin, M. Kudela, B. Oberlin, J. Goni, D. Kareken, M. Dzemidzic | |
| Lagged hierarchical semiparametric models for task-based dynamic functional connectivity (dFC) estimation | |
| B0937: L. Li | |
| Mixed-effect time-varying stochastic blockmodel and application in brain connectivity analysis |
| Session EO594 | Room: Aula A |
| Advances in analysis of complex time series data | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Seyed Yaser Samadi | Organizer: Ali Shojaie |
| B0587: S. Karmakar, S. Richter, W.B. Wu | |
| Simultaneous inference for curve estimation in time-varying models | |
| B1134: H. Bhat | |
| Learning stochastic dynamical systems via bridge sampling | |
| B1528: S.Y. Samadi | |
| Time series analysis for symbolic interval-valued data |
| Session EO370 | Room: C1 |
| Multiple testing | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Sebastian Doehler | Organizer: Sebastian Doehler, Jacobo de Una-Alvarez |
| B0799: M. Cousido Rocha, J. de Una-Alvarez, S. Doehler | |
| Comparing several adaptive multiple testing methods for discrete uniform homogeneous $p$-values | |
| B0900: S. Doehler, E. Roquain, G. Durand, F. Junge | |
| DiscreteFDR: An R-package for controlling the false discovery rate for discrete tests | |
| B0939: R. Ristl, D. Xi, E. Glimm, M. Posch | |
| Optimal exact tests for multiple binary endpoints |
| Session EO472 | Room: D1 |
| Dimension reduction under high dimension | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Zhigen Zhao | Organizer: Zhigen Zhao |
| B0750: Y. Dong, Z. Li | |
| Model-free variable selection and screening with matrix-valued predictors | |
| B1670: B. Li, J. Song | |
| Dimension reduction for functional data based on weak conditional moments | |
| B1625: S. Park, K. Van Deun, E. Ceulemans | |
| Ignoring the differences in model properties of sparse PCA and standard PCA can be dangerous and misguide practice |
| Session EO174 | Room: F1 |
| Change points analysis and statistical inference for high dimensional data | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Gongjun Xu | Organizer: Ping-Shou Zhong |
| B1114: A. Gibberd, S. Roy | |
| Multiple changepoint estimation in high dimensional Gaussian graphical models | |
| B1137: G. Xu | |
| Asymptotically independent U-statistics for high dimensional adaptive testing | |
| B1567: S. Ryan, R. Killick | |
| Computationally efficient detection of subset multivariate changepoints |
| Session EO572 | Room: I1 |
| Composite likelihood estimation and applications | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Davide Ferrari | Organizer: Davide Ferrari |
| B0266: A.G. Bille, S. Leorato | |
| Quasi-ML estimation, marginal effects and asymptotics for spatial autoregressive nonlinear models | |
| B0526: Z. Huang, D. Ferrari | |
| Sparse and robust composite likelihood inference with application to parcel-based evoked brain activity analysis | |
| B1025: M. Cattelan, C. Varin | |
| Lorelogram models for spatially clustered binary data |
| Session EO024 | Room: L1 |
| Mean shift and localization techniques | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Jochen Einbeck | Organizer: Jochen Einbeck |
| B0472: H. Sasaki | |
| Hunting geometric features in the probability density function with direct density-derivative-ratio estimation | |
| B0645: S. Bigdeli, M. Jin, P. Favaro, M. Zwicker | |
| Learning to mean-shift in $O(1)$ for Bayesian image restoration | |
| B1344: M. Carreira-Perpinan | |
| The K-modes and Laplacian K-modes algorithms for clustering |
| Session EO194 | Room: M1 |
| Heterogeneity in functional data | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Pedro Galeano | Organizer: Pedro Galeano |
| B0832: J.L. Torrecilla | |
| Recursive maxima hunting: Variable selection in FDA | |
| B1000: M. Oviedo de la Fuente, M. Febrero-Bande, W. Gonzalez-Manteiga | |
| Functional variables selection in hyperspectral image classification | |
| B0757: P. Galeano, M. Febrero-Bande, W. Gonzalez-Manteiga | |
| Estimation, imputation and prediction for the functional linear model with scalar response with missing responses |
| Session EO318 | Room: O1 |
| New developments in vine copulas and their applications | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Claudia Czado | Organizer: Claudia Czado |
| B0300: A. Moeller, C. Czado, D. Kraus, L. Spazzini | |
| Probabilistic temperature forecasting using $d$-vine copula regression | |
| B0422: N. Barthel, P. Janssen, C. Geerdens, C. Czado | |
| Estimating dependence patterns in right-censored event time data using R-vine copula models | |
| B0822: L. Yang, C. Czado | |
| Two-part $D$-vine copula models for insurance claim data |
| Session EO248 | Room: O2 |
| CSDA journal: Biostatistics | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Taesung Park | Organizer: Erricos John Kontoghiorghes |
| B0282: B. Berckmoes, A. Ivanova, G. Molenberghs | |
| On the sample mean after a group sequential trial | |
| B0813: M. Mittlboeck, H. Heinzl, U. Poetschger | |
| Variance estimation for generalised pseudo-values | |
| B1708: S. Heritier, M.-P. Victoria-Feser, S. Guerrier | |
| Dealing with a small number of large clusters using iterative bootstrap |
| Session EO278 | Room: Q2 |
| Bayesian quantile regression | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Carolina Euan | Organizer: Huixia Judy Wang |
| B0719: Y. Fan, J.-L. Dortet-Bernadet, T. Rodrigues | |
| Quantile pyramids for quantile regression | |
| B0914: M. Bernardi, P. Stolfi | |
| Bayesian ensemble of quantile regression trees | |
| B1313: K. Sriram | |
| On consistency and inference for Bayesian quantile regression based on the asymmetric Laplace density |
| Session EG006 | Room: E1 |
| Contributions in mixture models | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Florence Forbes | Organizer: CMStatistics |
| B1468: G. Tzougas | |
| An EM type algorithm for maximum likelihood estimation of the negative binomial-gamma regression model | |
| B1536: J. Dias | |
| Multiple-valued symbolic data clustering: A model-based approach | |
| B1442: R. Ascari, S. Migliorati, A. Ongaro | |
| A new Dirichlet-multinomial mixture model for count data |
| Session EC635 | Room: G1 |
| Contributions in methodological statistics and applications II | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Anne Francoise Yao | Organizer: CMStatistics |
| B1736: S. Metelli, N. Heard | |
| Bayesian new edge prediction and anomaly detection in large computer networks | |
| B1732: M. Alduailij | |
| A computational method for estimating the ratio of scale parameters in the two-sample problem | |
| B1200: A. Muhammad | |
| A new modified Liu-type estimator for linear regression models with correlated regressors |
| Session EG263 | Room: H1 |
| Contributions in survival analysis | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Takeshi Emura | Organizer: CMStatistics |
| B1345: S. Bischofberger, J.P. Nielsen, M. Hiabu, E. Mammen | |
| Smooth backfitting of additively structured hazard rates for in-sample forecasting | |
| B1363: A. Andrasikova, E. Fiserova | |
| Behaviour of tests in the Cox proportional hazards model | |
| B1700: M. Lee | |
| On the analysis of discrete time competing risks data |
| Session EG027 | Room: N1 |
| Contributions in functional time series analysis | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Gregory Rice | Organizer: CMStatistics |
| B0411: N. Hernandez, A. Munoz, G. Martos | |
| Minimum entropy forecast for functional time series | |
| B1674: I. Martinez Hernandez, M. Genton | |
| Unit-root test for functional data based on records | |
| B1589: Y. Chen, C.S. Pun | |
| A bootstrap-based KPSS test for functional time series |
| Session EG179 | Room: P1 |
| Contributions in Markov switching regression and hidden Markov models | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Fulvia Pennoni | Organizer: CMStatistics |
| B0996: S. Mews, R. Langrock, T. Adam | |
| Nonparametric estimation in hidden Markov models using the EM algorithm | |
| B1349: E. Aarts | |
| Comparing behavioral dynamics between groups using hierarchical hidden semi Markov models | |
| B1598: T. Besbeas | |
| Efficient estimation for non-linear state space models of population survey data |
| Session EG421 | Room: P2 |
| Contributions in Bayesian modelling and computation | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Sergio Bacallado | Organizer: CMStatistics |
| B1417: V. Potashnikov, O. Lugovoy, A. Polbin | |
| Probabilistic Bayesian updating of IOTs | |
| B1661: P. Stolfi, M. Bernardi, D. Durante | |
| Bayesian probit classification trees | |
| B1515: E. Ruli, L. Ventura, M. Musio | |
| On the use of scoring rules for Bayesian model selection with improper priors |
| Parallel session O: CFE | Sunday 16.12.2018 | 16:50 - 18:05 |
| Session CO454 | Room: D2 |
| Financial networks | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Monica Billio | Organizer: Marco Petracco, Monica Billio |
| A1038: D. Sartore, A. Berardi, M. Billio, R. Casarin | |
| Dependence structure in international bond returns | |
| A1592: K. Baltakys, J. Kanniainen, F. Emmert-Streib | |
| Linkage of contrarian and momentum traders in a stock market: Complex network approach | |
| A1005: M. Iacopini, M. Billio, R. Casarin | |
| Bayesian Markov switching tensor regression for time-varying networks |
| Session CO544 | Room: E2 |
| Contributions in interest rates | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Luca Benzoni | Organizer: CFE |
| A0570: A. Leccadito | |
| The position of the hump as a predictor of the treasury yield curve: A cointegration approach | |
| A0432: Y. Eo, K.H. Kang | |
| Forecasting the term structure of interest rates with potentially misspecified models | |
| A1540: M. Guidolin, M. Pedio | |
| Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models |
| Session CO356 | Room: M2 |
| Macroeconomics and finance applications with linear and nonlinear filters | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Huyen Nguyen | Organizer: Frederic Karame |
| A0471: S. Zakipour-Saber | |
| State-dependent monetary policy regimes | |
| A0613: J. Roman, G. Vermandel | |
| Financial factors and the natural rate of interest puzzle | |
| A1090: H. Nguyen | |
| Dynamic risk-taking behavior of mutual funds |
| Session CG071 | Room: F2 |
| Contributions in high-frequency | Sunday 16.12.2018 16:50 - 18:05 |
| Chair: Toshiaki Watanabe | Organizer: CFE |
| A0812: B. Kwak, A. Kriwoluzky, O. Holtemoeller | |
| Using high-frequency exchange rate to identify direct and information effects of monetary policy shocks | |
| A1487: K. Kuck, D. Baur | |
| The timing of the flight to gold: An intra-day analysis of gold and the S\&P500 | |
| A1603: G. Livieri, F. Lillo, L.P. Mertens, A. Ciacci | |
| Liquidity fluctuations and the latent dynamics of price impact |