KEYNOTE TALKS
Keynote talk 1 | Saturday 14.12.2019 | 08:40 - 09:30 | Room: Beveridge Hall |
Modeling networks and network populations via graph distances | |||
Speaker: S. Olhede Co-authors: S. Lunagomez, P. Wolfe | Chair: Chenlei Leng | ||
Keynote talk 2 | Saturday 14.12.2019 | 10:05 - 10:55 | Room: Beveridge Hall |
The role of factor strength and pricing errors for estimation and inference in asset pricing models | |||
Speaker: M.H. Pesaran Co-authors: R. Smith | Chair: Michael Pitt | ||
Keynote talk 3 | Sunday 15.12.2019 | 18:25 - 19:15 | Room: Beveridge Hall |
Data-driven and science-driven Bayesian methods in astronomy and solar physics | |||
Speaker: D. van Dyk | Chair: Christopher Hans | ||
Keynote talk 4 | Sunday 15.12.2019 | 18:25 - 19:15 | Room: CLO B01 |
Robust tests for white noise and cross-correlation | |||
Speaker: L. Giraitis | Chair: Tommaso Proietti | ||
Keynote talk 5 | Monday 16.12.2019 | 18:05 - 18:55 | Room: Beveridge Hall |
Text as a new source of data: First experience with conference abstracts | |||
Speaker: P. Winker | Chair: Manfred Gilli |
PARALLEL SESSIONS
Parallel session B: CMStatistics | Saturday 14.12.2019 | 09:40 - 10:55 |
Session EO172 | Room: CLO B01 |
Functional data analysis | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Germain Van Bever | Organizer: Germain Van Bever |
B0624: L. Viitasaari, P. Ilmonen, G. Van Bever, T. Sottinen, N. Shafik | |
Prediction of missing functional data with memory | |
B0715: P. Mozharovskyi, K. Mosler | |
Choosing among notions of statistical depth function | |
B1099: M. Chaouch | |
Continuous time scalar-on-function class of regression models with missing at random response |
Session EO645 | Room: MAL B02 |
Statistical methods in biomedical studies | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Florin Vaida | Organizer: Florin Vaida |
B2009: F. Vaida | |
Efficient design of longitudinal, randomized clinical trials with repeated measures | |
B2011: K. Messer | |
Imputation and post-selection inference in models with missing data | |
B1659: T. Ishihara, K. Yamamoto | |
A method for testing multiple binary endpoints having a latent continuous distribution in clinical trials |
Session EO673 | Room: MAL B04 |
Recent developments in privacy-preserving data analysis | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Lukas Steinberger | Organizer: Weijie Su, Adrien Saumard |
B0242: A. Dubois, C. Butucea, M. Kroll, A. Saumard | |
Local differential privacy: Elbow effect in optimal density estimation and adaptation | |
B0979: L. Zhang | |
The cost of privacy: Optimal rates of convergence for parameter estimation with differential privacy | |
B1510: L. Steinberger | |
Estimating functionals under local differential privacy |
Session EO152 | Room: MAL B18 |
Recent development in biostatistics | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Dongchu Sun | Organizer: Dongchu Sun |
B1910: S. Zhang | |
Bayesian adaptive stepped wedge cluster randomized trials based on posterior predictive probability | |
B1961: Z. He | |
Bayesian CUSP catastrophe model for sudden changes | |
B1905: J. Cao, M. Byrd, L. Nghiem | |
Lagged exact Bayesian online change point detection with parameter estimation |
Session EO434 | Room: MAL B20 |
Statistics in psychiatry | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Satish Iyengar | Organizer: Satish Iyengar |
B0271: X. Luo, Y. Zhao, B. Caffo, S. Mostofsky | |
Covariate assisted principal regression for covariance matrix outcomes | |
B0298: T. Nichols | |
Mining the UK Biobank for indicators of brain health | |
B1217: M. Wallace | |
Searching for clusters that are replicable and clinically meaningful with applications to sleep health |
Session EO671 | Room: MAL B35 |
Spatiotemporal modelling in the presence of big data | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Philipp Otto | Organizer: Philipp Otto |
B0836: M.S. Merk | |
Adaptive LASSO estimation of the spatial weights matrix | |
B0948: M. Werner | |
Spatio-temporal big data: Managing social media and trajectories | |
B1164: F. Finazzi, A. Fasso, P. Otto | |
Modelling coastal profiles with a functional space-time model |
Session EO144 | Room: MAL B36 |
Regularization in artificial neural networks | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Sylvain Sardy | Organizer: Sylvain Sardy |
B1700: A. Mollaysa | |
Conditional generation of molecules with disentangling | |
B1956: S. Sardy | |
Sparsity in artificial neural networks (ANN) | |
B2005: A. Jacot, F. Gabriel, C. Hongler | |
Neural tangent kernel: Dynamics of infinitely wide DNNs |
B0310: L. Machado | |
Methods for checking the Markov condition in multi-state survival data | |
B0589: M. Restaino, H. Dai | |
A comparison of nonparametric bivariate survival functions under censored and truncated data | |
B0677: J.E. Ruiz-Castro, M. Dawabsha | |
A complex multi-state redundant system with vacations in the repair |
Session EO857 | Room: G11 |
Advances in regression discontinuity models | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Sebastian Calonico | Organizer: Sebastian Calonico |
B0415: C. Caetano, G. Caetano, J.C. Escanciano | |
Over-identified regression discontinuity design | |
B0483: J. Zubizarreta, J. Diaz | |
Complex discontinuity designs using covariates | |
B1213: L. Forastiere, A. Mattei, F. Mealli | |
Selecting subpopulations for causal inference in regression-discontinuity studies |
Session EO160 | Room: G21A |
Statistical and data science methods for blockchain data analytics | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Soohyun Choi | Organizer: Yulia Gel |
B1644: R. Bush, S. Choi | |
Forecasting Ethereum STORJ token prices: Comparative analyses of applied bitcoin models | |
B1745: M.T. Kurbucz | |
Predicting the price of Bitcoin by its transaction network |
Session EO498 | Room: G3 |
Modeling complex data structure with applications | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Yunpeng Zhao | Organizer: Yunpeng Zhao |
B0304: J. Gastwirth | |
On the progress to reduce economic inequality: Insights from recently proposed measures of inequality | |
B0491: W. Zhou, H. Zou, L. Zhang, L. Wang | |
CESME: Cluster analysis with latent semiparametric mixture models | |
B1815: S. Chen | |
Graph theory and combinatorics for group-level network inference |
Session EO596 | Room: G4 |
Permutation tests | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Olivier Renaud | Organizer: Olivier Renaud |
B0932: L. Finos | |
Robust testing in generalized linear models by sign-flipping score contributions | |
B0971: S. Vantini, M. Fontana, A. Gammerman, V. Vovk | |
Permutation-based prediction bands for functional data: A conformal prediction approach | |
B1194: J. Frossard, O. Renaud | |
Testing time by time differences of EEG signals using the slopes within multiple comparisons procedures |
Session EO446 | Room: Gordon |
ODE inference and applications | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Nicolas Brunel | Organizer: Nicolas Brunel |
B0495: E. Celledoni | |
Deep learning as optimal control: Models and numerical methods | |
B0524: Q. Clairon, C. Pasin, M. Prague, I. Balelli, R. Thiebaut | |
Parameter estimation in mixed effect models based on ordinary differential equations: An optimal control approach | |
B1004: N. Brunel, J. Park | |
The Frenet-Serret equation for the estimation of the mean shape of multidimensional functional data |
Session EO552 | Room: MAL G14 |
Advances in mixed models | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Garth Tarr | Organizer: Garth Tarr |
B0555: D.A. Flores Agreda, E. Cantoni, S. Heritier, R. Wolfe | |
Bootstrapping clustered data via a weighted Laplace approximation | |
B0648: S. Greven, B. Saefken, D. Ruegamer, T. Kneib | |
Conditional model selection in mixed-effects models with cAIC4 | |
B0896: S. Bhatnagar, K. Oualkacha, Y. Yang, T. Lu, E. Schurr, J. Loredo-Osti, M. Forest, C. Greenwood | |
Simultaneous SNP selection and adjustment for population structure in high dimensional prediction models |
Session EO558 | Room: MAL G15 |
Bayesian machine learning | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Julyan Arbel | Organizer: Julyan Arbel |
B1592: G.O. Storvik, A. Hubin | |
Combining model and parameter uncertainty in Bayesian neural networks | |
B1984: P.-A. Mattei, S. Wiqvist, U. Picchini, J. Frellsen | |
Partially exchangeable networks and architectures for learning summary statistics in approximate Bayesian computation | |
B1989: J. Ish-Horowicz, S. Flaxman, S. Filippi | |
Interpreting deep neural networks through variable importance |
Session EO779 | Room: MAL G16 |
The time issue for complex data from humanities and social sciences | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Madalina Olteanu | Organizer: Madalina Olteanu |
B1506: F. Rossi, P. Latouche, M. Corneli | |
Change detection and clustering in temporal graphs | |
B1536: M. Olteanu, J. Alerini | |
Markov and the Dukes of Savoy: A temporal analysis of the Piedmontese-Savoyard legislation | |
B1537: S. Lamasse, M. Olteanu | |
Detecting the evolution phases of a text production |
Session EO781 | Room: Woburn |
Inference for imprecise and indirect data | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Taoufik Bouezmarni | Organizer: Aurore Delaigle |
B1607: F. Camirand Lemyre, R. Carroll, A. Delaigle | |
Semiparametric estimation of the distribution of episodically consumed foods measured with error | |
B1626: C. McMahan, J. Tebbs, C. Bilder, C. Joyner | |
From mixed effects modeling to spike and slab variable selection: A Bayesian regression model for group testing data | |
B1673: M. Birke, M. Dorn, C. Jentsch | |
A test of exogeneity in the functional linear regression model |
Session EO566 | Room: Chancellor's Hall |
Spatial statistics | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Mattias Villani | Organizer: Mattias Villani |
B0672: J. Moeller | |
Determinantal point processes and their usefulness in spatial statistics | |
B0945: M. Quiroz, D. Nott, R. Kohn | |
Gaussian variational approximations for high-dimensional state space models | |
B1185: D. Bolin, K. Kirchner | |
The rational SPDE approach for Gaussian random fields with general smoothness |
Session EO102 | Room: CLO 101 |
High dimensional problems with biological applications | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Juhyun Park | Organizer: Juhyun Park |
B0573: A. Gegout-Petit, A. Muller-Guedin | |
A methodology to select and rank covariates in high-dimensional data under dependence | |
B1201: S. Ray, S. Alghamdi | |
Spatially correlated functional data analysis: Application to brain imaging | |
B1038: I. Kim | |
Multilevel multiclass Gaussian graphical model |
Session EO194 | Room: CLO 102 |
Scalable statistical methods | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Cristiano Varin | Organizer: Cristiano Varin |
B1274: H. Ogden | |
Statistical scalability of approximate inference for spatial models | |
B1787: A. Tsokos, I. Kosmidis | |
Scalable and adaptive smooth modelling | |
B1996: M. Cattelan | |
Pairwise likelihood methods for paired comparison models |
Session EO841 | Room: Court |
Modelling and clustering complex data I | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Geoffrey McLachlan | Organizer: Geoffrey McLachlan |
B1342: H. Nguyen | |
Mixture of autoregressive moving average models | |
B1379: S. Lee | |
Modelling and clustering of private distributed data |
Session EO190 | Room: Jessel |
New methods for dependent data modeling | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Cheng Yong Tang | Organizer: Cheng Yong Tang |
B0221: L. Yang, T. Wu | |
Model-based clustering of high-dimensional longitudinal data | |
B0813: X. Guo, C.Y. Tang | |
Information criteria for latent factor models: A study with general factor pervasiveness and adaptivity | |
B1399: C.Y. Tang | |
A predictive time-to-event modeling approach with longitudinal measurements and missing data |
Session EO100 | Room: Senate |
Extremes of random graphs and Gaussian fields | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Juan Juan Cai | Organizer: Juan Juan Cai |
B1417: A. Cipriani | |
Extremes of Gaussian random interfaces | |
B1444: A. Bhattacharya | |
Asymptotic study of extremes in branching random walk | |
B1337: C. Ling | |
Extremes of stationary random fields on a lattice |
Session EO178 | Room: CLO 204 |
New statistical approaches for imaging and digital data | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Taps Maiti | Organizer: Taps Maiti |
B0383: G. Mukherjee | |
Large-scale constrained joint modeling with applications to freemium mobile games | |
B0931: K. Bharath | |
Geometric and invariant aspects of complex functional data | |
B1466: E. Lock | |
Tensor-on-tensor regression |
Session EO440 | Room: SH349 |
Recent advances for complex data analysis | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Juan Romo | Organizer: Juan Romo |
B1828: H.A. Hernandez, R. Lillo, M.C. Aguilera-Morillo | |
Stringing via manifold learning: Improving the functional representation of high-dimensional data | |
B1912: A. Baillo, J.E. Chacon | |
A new selection criterion for statistical home range estimation | |
B1688: D. Paindaveine, A. Daouia | |
From halfspace M-depth to multiple-output expectile regression |
Session EC805 | Room: MAL 152 |
Contributions in non- and semi-parametric statistics | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Wenceslao Gonzalez-Manteiga | Organizer: CMStatistics |
B0533: I. Barbeito, S. Sperlich, R. Cao | |
Bootstrap bandwidth selection for matching estimators in nonparametric regression | |
B1587: J.M. Jeon, B. Park, I. Van Keilegom | |
Additive regression with metric-spaced-valued predictors and Hilbertian responses | |
B1608: F. Camerlenghi, F. Ayed, M. Battiston, S. Favaro | |
Missing mass estimation in feature sampling |
Session EG111 | Room: MAL 153 |
Contributions in change-points | Saturday 14.12.2019 09:40 - 10:55 |
Chair: Davide Giraudo | Organizer: CMStatistics |
B1612: K. Kasugai, T. Kamakura | |
The estimation of the traffic density and vehicle speed for detecting anomalies | |
B1619: F. Pein, R.D. Shah, P. Fearnhead | |
Change-point regression robustified to smooth artifacts | |
B1704: T. Matsukawa, T. Misumi, Y. Maesono, S. Konishi | |
Structural change detection via common principal component analysis |
Parallel session D: CMStatistics | Saturday 14.12.2019 | 11:25 - 13:05 |
Session EI012 | Room: Beveridge Hall |
Statistical analysis of networks | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Chenlei Leng | Organizer: Chenlei Leng |
B0170: E. Kolaczyk | |
'Statistics 101' for network data objects | |
B0172: J. Zhu | |
Generative link prediction for incomplete networks with node features | |
B0171: K. Rohe | |
Something old, something new, something borrowed, something not BLUE |
Session EO296 | Room: CLO B01 |
Advances in functional data analysis | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Naisyin Wang | Organizer: Jeng-Min Chiou |
B1747: N. Wang | |
Predictive functional linear models with semiparametric single-index interactions | |
B1105: Y. Araki | |
Functional structural equation modeling with high dimensional data in medical research | |
B0861: C. Tang, H.L. Shang, Y. Yang | |
Clustering and forecasting multiple functional time series | |
B0864: Y.-T. Chen, J.-M. Chiou | |
Multiple changepoints detection for a functional data sequence |
Session EO837 | Room: MAL B02 |
Early stopping rules | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Alain Celisse | Organizer: Alain Celisse |
B1430: B. Stankewitz | |
Smoothed-residual stopping for statistical inverse problems via truncated SVD estimation | |
B1440: N. Muecke | |
Early stopping vs late stopping: Different flavors of SGD | |
B1842: Y. Averyanov | |
Smoothed discrepancy principle as an early stopping rule in RKHS | |
B1955: A. Celisse, M. Wahl | |
Improving on discrepancy-based early stopping with Tikhonov smoothing |
Session EO665 | Room: MAL B04 |
Advances in network and matrix data analysis | Saturday 14.12.2019 11:25 - 13:05 |
Chair: David Choi | Organizer: David Choi |
B1360: A. Athreya | |
An omnibus embedding for multiple random graphs, and applications to multiscale joint network inference | |
B1403: M. Tang, J. Cape, C. Priebe | |
Asymptotically efficient estimators for stochastic blockmodels | |
B1516: S. Chatterjee | |
Adaptive estimation of multivariate piecewise constant functions | |
B1772: S. Lunagomez, C. Nemeth, E. Airoldi, K. Turnbull | |
Latent space representations of hypergraphs |
Session EO731 | Room: MAL B18 |
Big bias in big data: Can we correct? | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Patrice Bertail | Organizer: Patrice Bertail |
B1736: P. Waelbroeck | |
Economic biases and algorithms | |
B0631: L. Borrajo, R. Cao | |
Nonparametric estimation for big-but-biased data | |
B0437: C. Tillier, S. Clemencon, R. Vogel, M. Achab | |
Weighted empirical risk minimization: Transfer learning based on importance sampling | |
B0465: G. Ausset, S. Clemencon, F. Portier | |
Empirical risk minimization under random censorship |
Session EO302 | Room: MAL B20 |
Inference on causal parameters using machine learning | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Xavier de Luna | Organizer: Xavier de Luna |
B1768: N. Moosavi, X. de Luna, J. Haggstrom | |
The costs and benefits of valid inference on causal parameters in the presence of high dimensional nuisance parameters | |
B1008: S. Vansteelandt, O. Dukes | |
Robust double machine learning inference for conditional exposure effects | |
B0371: D. Benkeser | |
Collaborative inference for causal effect estimation and general missing data problems | |
B1396: M. Bonvini, E. Kennedy | |
Sensitivity analysis via the proportion of unmeasured confounding |
Session EO747 | Room: MAL B35 |
Marked recurrent event processes with incomplete observations | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Sy Han Chiou | Organizer: Mei-Cheng Wang |
B1663: K.C.G. Chan, R. Wong | |
Covariate balancing with recurrent marker data | |
B1789: Y. Yang, M.-C. Wang | |
Analyzing wearable device data using marked point processes | |
B1994: E. Colantuoni | |
Evaluating the effect of interventions on recurrent event outcomes with multiple competing risks | |
B2017: V. Rondeau, D. rustand, A. Krol | |
The use of joint modelling to analyze recurrent events: Appearance of new lesions in cancer. |
Session EO050 | Room: MAL B36 |
Robust machine learning | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Stephane Chretien | Organizer: Adrien Saumard |
B0296: O. Collier | |
Polynomial-time estimation of the mean | |
B1154: E. Genetay, A. Saumard, C. Saumard | |
Robust clustering algorithm based on Median-of-Means statistics | |
B1413: W.S. Stephane Chretien, S. Chretien | |
Langevin sampling for median of means based estimation | |
B1891: I.M. Helgoy, Y. Li | |
A noise-robust fast sparse Bayesian learning model |
Session EO264 | Room: G3 |
Measures of systemic risk in actuarial science and finance | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Zinoviy Landsman | Organizer: Zinoviy Landsman |
B0212: U. Makov, Z. Landsman, L. Langbord | |
Risk management application of intrinsic discrepancy loss functions | |
B0651: Z. Landsman, T. Shushi | |
A novel multi-elliptical family of distributions: Definitions, properties and risk capital decomposition | |
B0666: T. Shushi, Z. Landsman, U. Makov | |
A novel approach to measure systemic risks using multivariate tail moments: From theory to practice | |
B1023: J. Yao | |
Downside risk optimization with random targets and portfolio amplitude |
Session EO166 | Room: G5 |
CSDA journal | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Ana Colubi | Organizer: Erricos Kontoghiorghes, Ana Colubi |
B1397: Y. Berger | |
Testing parameters of models with conditional moment restrictions using empirical likelihood | |
B1435: E. Cantoni, S. Ranjbar, V. Chavez-Demoulin, G. Marra, R. Radice | |
Modelling the extremes of flu cases | |
B0831: M.D. Jimenez-Gamero, N. Henze | |
On the BHEP test for functional data | |
B1676: Y. Goegebeur, A. Guillou, J. Qin | |
Robust estimation of the Pickands dependence function under random right censoring |
Session EO258 | Room: MAL G13 |
Signal processing | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Rosa Maria Fernandez-Alcala | Organizer: Rosa Maria Fernandez-Alcala |
B0750: A. Oya | |
Change detection with quaternion random signals | |
B1137: S. Weller, C. Cheong Took | |
Signal processing for statistical arbitrage | |
B1148: J.D. Jimenez-Lopez, J. Navarro-Moreno | |
Estimation recursive algorithms of hypercomplex signals from delayed observations | |
B1086: R.M. Fernandez-Alcala, R. Yadav | |
A SWL fixed-lag smoothing algorithm with intermittent observations in the presence of correlated noises |
Session EO106 | Room: MAL G14 |
Recent advances in Bayesian modeling and computation | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Marco Ferreira | Organizer: Marco Ferreira |
B0658: M. Ferreira | |
Fast and scalable posterior simulation for Gaussian hierarchical models with ICAR spatial random effects | |
B0726: T.C.O. Fonseca, A. Schmidt, V. Lobo | |
Dynamical mixture modelling of spatial processes | |
B0793: R. Paulo, G. Garcia-Donato | |
Variable selection in the presence of factors: A model selection perspective | |
B1178: H. Lopes, H. Bolfarine, C. Carvalho, J. Murray | |
Decoupling shrinkage and selection in Gaussian linear factor analysis |
Session EO572 | Room: MAL G15 |
Advances in Bayesian modeling and model selection | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Raffaele Argiento | Organizer: Francesco Stingo |
B0240: A. Cassese, Q. Li, M. Guindani, M. Vannucci | |
Bayesian negative binomial mixture regression models for the analysis of sequence count and methylation data | |
B0270: Y. Ni, F. Stingo, V. Baladandayuthapani | |
Covariate-dependent graphical models | |
B0362: A. Avalos Pacheco, D. Rossell, R.S. Savage | |
Heterogeneous large datasets integration using Bayesian factor regression | |
B1345: B. Nipoti, B. Hernandez | |
Bayesian nonparametric functional mixture modelling to uncover neurocardiovascular profiles in older Irish adults |
Session EO663 | Room: CLO 101 |
High dimensional time series | Saturday 14.12.2019 11:25 - 13:05 |
Chair: George Michailidis | Organizer: George Michailidis |
B0246: S. Mankad, K. Paynabar, M.R. Gahrooei, S. Ebrahimi | |
Monitoring financial networks with online Hurdle models | |
B1102: S. Karmakar | |
Change point estimation for high-dimensional time series | |
B1253: S. Basu | |
Estimation of high-dimensional spectral density matrices | |
B2002: M. Bhattacharjee | |
Asymptotics of large autocovariance matrices |
Session EO476 | Room: CLO 102 |
Categorical data: Advances and challenges | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Sabrina Giordano | Organizer: Sabrina Giordano |
B0617: A. Klimova, T. Rudas | |
Non-homogeneous interaction effects in the joint action of binary features | |
B0684: J. Peyhardi | |
Robustness of Student link function in multinomial choice models | |
B1150: M. Cazzaro, F. Nicolussi, A.M. Di Brisco | |
Learning procedure for chain (stratified) graphical models | |
B1311: C. Varin, D. Firth | |
Rating with the pairwise empirical Bayes method |
Session EO334 | Room: Court |
Modelling and clustering complex data II | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Geoffrey McLachlan | Organizer: Geoffrey McLachlan |
B1303: F. Greselin, A. Cerioli, L.A. Garcia-Escudero, A. Mayo-Iscar, M. Riani | |
Robust estimation and efficient estimates of partition and model parameters: A step beyond the normality assumption | |
B0887: L. Anderlucci, M. Farne, G. Galimberti, A. Montanari | |
Variable screening for high dimensional regression problems via random projections | |
B0904: G. Galimberti, M. Berrettini, S. Ranciati, T.B. Murphy | |
Flexible Bayesian modelling of concomitant covariate effects in mixture models | |
B0889: R. Falcone, L. Anderlucci, A. Montanari | |
Matrix sketching in linear discriminant analysis: An efficient strategy for different problems |
Session EO454 | Room: Jessel |
Robust tests for change-points in time series | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Herold Dehling | Organizer: Herold Dehling |
B0890: K. Vuk, H. Dehling, M. Wendler | |
Change-point detection based on weighted two-sample U-statistics | |
B1173: A. Schnurr, H. Dehling, J. Woerner, I. Muenker, J. Buchsteiner, A. Betken | |
Detecting change-points in time series via ordinal pattern probabilities | |
B1822: T. Kutta, H. Dette | |
Relevant changes in eigensystems of functional time series | |
B0888: D. Giraudo, A. Betken, R. Kulik | |
Testing for a change in the tail parameter of regularly varying time series with long memory |
Session EO516 | Room: MAL 152 |
Semi-parametric models and applications | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Michael Wiper | Organizer: Michael Wiper |
B0224: M.R. Sillero-Denamiel, J.M. Marin, P. Ramirez Cobo, F. Ruggeri, M. Wiper | |
A Bayesian semi-parametric approach to estimate elliptical distributions | |
B0391: M. Wiper, Y. Deng, H. Veiga | |
A semi-parametric approach for stochastic frontier models with exogenous variables | |
B0431: D.-J. Lee | |
Semiparametric nonlinear mixed-effects PK/PD modelling under misspecification | |
B0902: J.M. Marin, M. Wiper, F. Ruggeri | |
A semi-parametric approach to bacteria growth modeling |
Session EO318 | Room: MAL 153 |
Recent developments in quantile regression | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Keith Knight | Organizer: Stanislav Volgushev, Keith Knight |
Session EO272 | Room: CLO 203 |
Advances in directional statistics | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Agnese Panzera | Organizer: Agnese Panzera |
B1264: J. Ameijeiras-Alonso, I. Gijbels, A. Verhasselt | |
Flexible two-piece families of circular distributions | |
B1999: G.C. Porzio, D. Buttarazzi, G. Pandolfo, C. Ley | |
Boxplots for directional data | |
B1522: C.C. Taylor, M. Di Marzio, A. Panzera, S. Fensore | |
Tracking the magnetic north pole | |
B1351: T. Verdebout | |
Some new results on tests for uniformity on the sphere |
Session EO150 | Room: CLO 204 |
Recent advances in neuroimaging statistics | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Damian Brzyski | Organizer: Timothy Johnson |
B0318: F. Nathoo, T. Johnson, M. Teng | |
Bayesian analysis of fMRI data with spatially-varying autoregressive orders | |
B0569: J. Kornak, K. Young | |
Bayesian image analysis in transformed spaces | |
B0987: B. Risk, S. Kundu | |
Scalable Bayesian Matrix Normal Graphical Models for Brain Functional Networks | |
B1468: J. Kang | |
Bayesian spatial blind source separation via thresholded Gaussian processes |
Session EO592 | Room: MAL 252 |
Statistics for large dimensional data | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Yi He | Organizer: Yi He |
B0856: L. Jacobi, D. Zhu, J. Chan | |
Bayesian model comparison and optimisation | |
B1015: H. Kew, W. Zhou, J. Gao, D. Harris | |
Single-index predictive regression | |
B1027: Y. He, J. Gao, S. Jaidee | |
Most powerful test against high dimensional alternatives | |
B1267: B. Zhou, T. Andersen, Y. Li, V. Todorov | |
Robust volatility estimation to semimartingale violations in high-frequency financial data |
Session EO723 | Room: MAL 253 |
Astrostatistics | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Mauro Bernardi | Organizer: Alessandra Rosalba Brazzale |
B0300: D. Jones, D. Stenning, E. Ford, R. Wolpert, T. Loredo, X. Dumusque | |
Improving exoplanet detection power: Multivariate Gaussian process models for stellar activity | |
B0703: R. Trotta | |
Astrostatistical challenges in the next decade of cosmology | |
B1144: A. Sottosanti, M. Bernardi, A.R. Brazzale, L. Campos, A. Siemiginowska, D. van Dyk | |
Continuous time hidden Markov models for astronomical gamma-ray light curves | |
B1241: S. Algeri | |
Detecting new signals under background mismodelling |
Session EG127 | Room: MAL G16 |
Contributions in copulas and dependence modelling | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Takeshi Emura | Organizer: CMStatistics |
B1643: K. Herrmann, M. Coblenz, O. Grothe, M. Hofert | |
Smooth bootstrapping of copula functionals | |
B1827: M.N. Hasan, R. Braekers | |
Modelling the association in bivariate survival data by using a Bernstein copula | |
B1839: X. Dou, S. Kuriki | |
EM algorithms for estimating the B-spline copula | |
B1675: G. Rivieccio, G. De Luca, F. Capitanio, B. Goodwin | |
Copulas for multiple time series: Evidence of asymmetric price transmission along the Italian pork supply chain |
Session EG113 | Room: Senate |
Contributions in extreme values | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Armelle Guillou | Organizer: CMStatistics |
B1734: E.L. Sanjuan, M.I. Parra Arevalo, J. Martin Jimenez, M. Martinez Pizarro | |
Parameter estimation of the generalized Pareto distribution for normal baseline distribution | |
B1737: M.I. Parra Arevalo, E.L. Sanjuan, M. Martinez Pizarro, F.J. Acero Diaz | |
An improved prior choice for Gumbel distribution parameters to model extreme values | |
B1775: I. Gomes, I. Cabral, F. Caeiro | |
Asymptotic comparison of second-order parameters estimators | |
B1622: A. Albdulathem | |
Functional covariate-adjusted extremal dependence |
Session EG579 | Room: MAL 251 |
Contributions in environmental applications | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Serge Guillas | Organizer: CMStatistics |
B1719: T. Besbeas | |
Estimating multispecies biodiversity indicators using hidden Markov models | |
B1881: A.B. Ramos-Guajardo, J. Diaz Cusi, J. Alvarez Pulgar, G. Gonzalez-Rodriguez, E. Fernandez Iglesias, D. Vazquez Tarrio, J. Marquinez | |
Analyzing the relationship between seismic spectrum, water discharge and bedload transport in dynamic gravel-bed rivers | |
B0351: M. Szabo, S. Baran | |
Parametric post-processing of dual resolution precipitation forecasts | |
B1594: A. Moeller, J. Gross | |
Heteroscedastic autoregressive postprocessing of temperature forecasts |
Parallel session D: CFE | Saturday 14.12.2019 | 11:25 - 13:05 |
Session CO212 | Room: Bloomsbury |
Predictive modelling and time series | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Jonas Andersson | Organizer: Jonas Andersson |
A1616: J. Andersson, A. Olden, A. Rusina | |
Fraud detection by a multinomial model: Separating honesty from unobserved fraud | |
A1573: C. Lam | |
Online high dimensional covariance change point detection | |
A1654: I. Mattsson, J. Lyhagen | |
Spatial models with smooth transitions | |
A1708: P. Joneus, J. Lyhagen | |
A smooth transition duration model with an application to the deregulation of the Queensland electricity market |
Session CO406 | Room: G11 |
Network econometrics and financial networks | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Monica Billio | Organizer: Monica Billio |
A0253: P. Caraiani | |
Oil shocks and production network structure: Evidence from the OECD | |
A0850: M. Billio, A. Berardi, R. Casarin | |
A Bayesian graphical VAR model for yield curve fluctuations | |
A1247: S. Tonellato | |
Looking at Bayesian nonparametric clustering from a community detection point of view | |
A1813: S.M. Zema | |
A network centrality approach to stock returns: Sectoral interdependences, communities, and volatility transmission |
Session CO586 | Room: G21A |
Advances in realized volatility estimation | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Ekaterina Kazak | Organizer: Yifan Li, Ekaterina Kazak |
A0435: A. Kolokolov, R. Reno, P. Zoi | |
BUMVU estimators | |
A0704: Y. Li, I. Nolte, S. Nolte | |
Renewal based volatility estimation | |
A0863: C. Muecher | |
Predicting financial risk with artificial neural networks: Whether there is information in high frequency returns | |
A0692: E. Kazak, I. Nolte, S. Nolte, Y. Li | |
Portfolio choice: Balancing forecasting risk |
Session CO240 | Room: G4 |
Forecasting in financial markets | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Robinson Kruse-Becher | Organizer: Robinson Kruse-Becher |
A0525: C. Hanck, M. Demetrescu | |
IVX-based panel predictive regressions for stock returns | |
A0526: R.A. Schuessler | |
Robust dynamic portfolio choice based on out-of-sample performance | |
A0550: S. Otto | |
A dynamic functional factor model for yield curves: Identification, estimation, and prediction | |
A0520: R. Kruse-Becher | |
A robust evaluation of macro-financial predictive content for realized volatility |
Session CO562 | Room: Gordon |
Recent advances in quantile regression | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Carlos Lamarche | Organizer: Carlos Lamarche |
A1035: Y. Bilias | |
Exact computation of censored least absolute deviations estimator | |
A1045: T. Parker | |
Inference for shape constrained quantile regression splines | |
A1082: R. Fan, J.H. Lee | |
High-dimensional predictive quantile regression with mixed roots | |
A1208: C. Lamarche, T. Parker | |
Inference for penalized quantile regression for panel data |
Session CO408 | Room: Montague |
Advances in credit risk modelling I | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Raffaella Calabrese | Organizer: Raffaella Calabrese |
A0702: M. Nagl, D. Roesch, J. Betz | |
Modeling exposure at default under varying systematic conditions | |
A1177: V. Medina-Olivares, R. Calabrese, J. Crook | |
Joint models for longitudinal and survival data with INLA: Applications in credit scoring | |
A1206: M. Spada, R. Calabrese | |
Modelling spatial contagion effects for mortgage defaults using a Bayesian hierarchical approach | |
A1683: M.R. Nieto Delfin, J. Morfin Tarasco | |
Default probability models applied to a Mexican peasant institution |
Session CO432 | Room: Woburn |
Applied macroeconomic and macro-financial topics I | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Christoph Gortz | Organizer: Konstantinos Theodoridis |
A0291: C. Gortz, C. Gunn, T. Lubik | |
Is there news in inventories? | |
A1252: H. Mumtaz, M.S. Miescu | |
Identification, informational sufficiency and the role of monetary policy | |
A1316: A. Theophilopoulou, H. Mumtaz | |
Monetary policy and wealth inequality over the great recession in the UK: An empirical analysis | |
A1478: S. Lhuissier | |
Macroeconomic effects from expectations of ECB's asset purchases |
Session CO576 | Room: Chancellor's Hall |
Theory and application of predictive regressions | Saturday 14.12.2019 11:25 - 13:05 |
Chair: Robert Taylor | Organizer: Robert Taylor |
A0421: M. Demetrescu, R. Taylor, P. Rodrigues | |
Testing in predictive quantile regressions with time-varying volatility | |
A0400: R. Taylor, P. Rodrigues, M. Demetrescu, I. Georgiev | |
Testing for episodic predictability in stock returns | |
A0601: B. Hillmann | |
Performance of predictive regressions when models are uncertain | |
A1081: P. Rodrigues, M. Demetrescu, R. Taylor | |
Long-run predictability revisited |
Parallel session E: CMStatistics | Saturday 14.12.2019 | 14:35 - 16:15 |
Session EI008 | Room: Beveridge Hall |
Directions in statistical modelling | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Jochen Einbeck | Organizer: Jochen Einbeck |
B0165: M. Marbac, C. Biernacki, M. Sedki, V. Vandewalle | |
On the use of clustering in a predictive model | |
B0606: C. Hennig, I. Shamsudheen | |
On whether to check the model before doing model-based inference |
Session EO574 | Room: CLO B01 |
Functional shape data analysis | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Sonja Greven | Organizer: Sonja Greven |
B0613: A. Srivastava | |
Shape-motivated functional data analysis | |
B0652: S. Kurtek, W. Xie, O. Chkrebtii | |
Visualization and outlier detection for multivariate elastic curve data | |
B1233: L. Steyer, A. Stoecker, S. Greven | |
Elastic analysis of irregularly and sparsely sampled curves | |
B1237: A. Stoecker, S. Greven | |
Component-wise gradient boosting for functional shape regression |
Session EO598 | Room: G11 |
Recent advancements in causal inference | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Joseph Antonelli | Organizer: Joseph Antonelli |
B0211: L. Keele | |
Patterns of effects and sensitivity analysis for differences-in-differences | |
B1119: C. Miles, B. Coull, L. Valeri | |
Measurement error-robust causal inference via synthetic instrumental variables | |
B1239: M. Schnitzer, G. Wang, A.A. Siddique, A. Bahamyirou, D. Menzies, A. Benedetti | |
The analysis of relative treatment effects in multi-drug-resistant tuberculosis from fused observational studies | |
B1309: D. Stephens | |
Propensity score regression and G-estimation |
Session EO360 | Room: G3 |
Risk measures, inference, and applications | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Ricardas Zitikis | Organizer: Daniela Escobar, Ricardas Zitikis |
B0374: T. Schmidt | |
Estimation of risk measures | |
B0364: S. Vitali, M. Kopa, V. Moriggia | |
Pension fund ALM with multivariate second order stochastic dominance constraints | |
B0644: D. Escobar, F. Paraschiv, M. Schuerle | |
Explaining the risk behind futures prices with distortion functions | |
B0367: R. Zitikis, R. Wang | |
An axiomatic foundation for the expected shortfall |
Session EO072 | Room: G4 |
Robust modelling | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Eva Cantoni | Organizer: Eva Cantoni |
B1323: W. Aeberhard, E. Cantoni, R. Radice, G. Marra | |
Tuning and smoothing parameter selection for robust estimation of non-parametric effects | |
B0778: R. Radice, W. Aeberhard, E. Cantoni, G. Marra | |
A robust version of GAMLSS | |
B0688: L. Ventura, E. Ruli, M. Musio | |
Robustness and confidence distributions | |
B1375: M. Avella-Medina | |
Privacy-preserving parametric inference: A case for robust statistics |
Session EO775 | Room: G5 |
New methods and models for time series analysis | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Carmela Cappelli | Organizer: Carmela Cappelli, Marcella Niglio |
B1186: G. De Luca, M. Nai Ruscone, G. Rivieccio | |
Studying the influence of economic sectors on stocks through a partial dependence analysis | |
B1515: C. Cappelli, F. Di Iorio, A. Maddaloni, P. Durso | |
A theoretical regression tree for classifying risky financial institutions | |
B1697: M. Niglio, F. Giordano | |
Bootstrap prediction intervals for weighted SETAR forecasts | |
B1929: D. Cucina, F. Battaglia, R. Baragona | |
Unit roots in periodic time series |
Session EO426 | Room: Gordon |
Statistical methods for time-varying multivariate data | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Irina Gaynanova | Organizer: Irina Gaynanova |
B0749: R. Monti | |
A unified probabilistic model for learning latent factors and their connectivities from high-dimensional data | |
B1281: G. Michailidis | |
Change point estimation in a dynamic stochastic block model | |
B1321: J. Breidt, W. Zhou, M. Cao, G. Peers | |
Large scale maximum average power multiple inference on time-course count data with application to RNA-Seq analysis | |
B1334: G. Yoon, I. Gaynanova | |
Time-varying canonical correlation analysis |
Session EO276 | Room: MAL G13 |
Advances in Bayesian methods | Saturday 14.12.2019 14:35 - 16:15 |
Chair: David Rossell | Organizer: David Rossell |
B0373: D. Durante, A. Fasano | |
Partially factorized and tighter variational Bayes for probit models | |
B0498: V. Pena | |
Criteria for Bayesian hypothesis testing in two-sample problems | |
B0603: J. Jewson | |
Generalized variational inference | |
B1329: C. Hans | |
Computational aspects of L1-regularized $g$ priors |
Session EO833 | Room: MAL G14 |
Advances in distributional regression models | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Helga Wagner | Organizer: Nadja Klein, Helga Wagner |
B0521: A. Mayr, A. Stroemer, L. Weinhold, C. Staerk | |
Enhanced variable selection for boosting distributional regression | |
B0579: M.N. Lang, L. Schlosser, T. Hothorn, G.J. Mayr, R. Stauffer, A. Zeileis | |
Distributional trees and forests for circular data | |
B0249: T. Kneib, N. Klein, T. Hothorn | |
Multivariate conditional transformation models | |
B0769: P. Munezero, M. Villani | |
Dynamic mixture of experts models for online predictions |
Session EO060 | Room: MAL G15 |
Track: Bayesian semi- and non-parametric methods I | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Raffaele Argiento | Organizer: Antonio Canale, Bernardo Nipoti, Raffaele Argiento |
B0622: P. Jacob, C. Holmes, C. Robert, L. Murray, G. Nicholson | |
Bayesian inference in models made of modules | |
B1236: R. Corradin, B. Nipoti, A. Canale | |
Importance conditional sampler for Bayesian nonparametric mixtures | |
B1098: I. Manolopoulou, Y. Pokern, T.Y. Hoh | |
Nonparametric Bayesian inference and goodness of fit testing for stochastic differential equations | |
B0587: E. Matechou, R. Argiento | |
Bayesian capture-recapture models with temporary emigration and heterogeneity using mixtures of changepoint processes |
Session EO438 | Room: MAL G16 |
EAS session: Emerging applications with copulas | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Richard Everitt | Organizer: Clara Grazian |
B0330: E. Kurum | |
Time-varying copula models for longitudinal data | |
B0395: R. Barone, L. Dalla Valle | |
Bayesian nonparametric approach for vine copula modelling: An application to preterm birth data in repeated pregnancies | |
B0424: S. Koumoutsaris | |
A catastrophe model for insurance losses due to freeze events using vine copulas | |
B0502: D. Battagliese, C. Grazian, B. Liseo, C. Villa | |
Objective interpretation of the penalised complexity prior in copula models |
Session EO436 | Room: CLO 101 |
Funtional data analysis and dependent sequences | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Anne Francoise Yao | Organizer: Anne Francoise Yao |
B1036: J. Ah-Pine, A.F. Yao | |
A study of the manifold hypothesis for functional data by using spectral clustering | |
B1050: C. Samir, A. Fradi | |
Bayesian inference for shape and high-dimensional inputs with a Gaussian process prior | |
B1060: L. Reboul, D. Pommeret, A.F. Yao | |
A data-driven smooth test of comparison for dependent sequences | |
B1276: A.F. Yao, C. Samir, P. Mbaye | |
Kernel regression estimation for functional predictor with values in a Riemannian submanifold |
Session EO536 | Room: CLO 102 |
Advances in complex data modeling | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Maria Francesca Marino | Organizer: Maria Francesca Marino |
B0434: P. Frumento, M. Bottai | |
Parametric modelling of quantile functions | |
B1058: G. Vink, S. van Buuren | |
Recent advances in iterative imputation models | |
B1273: C. Mollica, L. Tardella | |
Algorithms and diagnostics for the analysis of ranking data with the extended Plackett-Luce model | |
B1297: C. Rampichini, B. Arpino, S. Bacci, L. Grilli, R. Guetto | |
Adjusting for a pre-test in school value-added models: A comparison between gain score and conditional approaches |
Session EO304 | Room: Jessel |
Outliers and structural breaks | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Alexander Duerre | Organizer: Alexander Duerre, Roland Fried |
B1436: H. Dehling, R. Fried, S.K. Schmidt, M. Wornowizki | |
Nonparametric test for heteroscedasticity in time series | |
B0924: K. Fokianos | |
Change point detection by distance covariance function | |
B1480: A. Duerre | |
On the finite sample behaviour of the cusum test | |
B1885: S. Goerz, A. Duerre | |
Estimation of the long run variance in case of multiple level shifts |
Session EO248 | Room: MAL 152 |
Recent developments in statistical multiscale methods | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Michael Vogt | Organizer: Michael Vogt |
B1051: G. Nason, M. Knight, M. Nunes, K. Leeming | |
Quadratic forms of lifting transforms: Spectral analysis and stationarity tests for time series with missing values | |
B0857: F. Dunker, K. Eckle, K. Proksch, J. Schmidt-Hieber | |
Tests for qualitative features in the random coefficients model | |
B0799: K. Proksch, F. Werner, J. Keller | |
Statistical multiscale analysis for molecules | |
B0882: M. Vogt, M. Khismatullina | |
Multiscale inference for nonparametric time trends |
Session EO058 | Room: MAL 153 |
Recent advances in quantile regression | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Yudhie Andriyana | Organizer: Anneleen Verhasselt |
Session EO550 | Room: MAL 254 |
Spatial inference | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Marco Meyer | Organizer: Marco Meyer, Carsten Jentsch |
B0898: C. Jentsch, M. Meyer | |
Finite predictor coefficients and the inverse Yule-Walker matrix: On the extension of Akaike's identity to random fields | |
B0329: S. Bandyopadhyay, S. Lahiri, D. Nordman | |
A general frequency domain method for assessing spatial covariance structures | |
B0566: C. Biscio | |
A general central limit theorem and subsampling variance estimator for alpha-mixing multivariate point processes | |
B0794: P. Otto, W. Schmid | |
Spatial GARCH-type models: A unified approach |
Session EO112 | Room: Senate |
Bayesian inference for extreme values | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Miguel de Carvalho | Organizer: Miguel de Carvalho |
B0248: D. Gamerman | |
Modeling exceedances in extreme value theory: Foundations, regression, time series and multivariate settings | |
B0307: Y. Tian, B. Reich | |
Flexible modeling for spatial extremes with application to environmental studies | |
B0404: I. Antoniano-Villalobos, S. Padoan | |
Data imputation of large observations via Bayesian inference for multivariate extremes | |
B0482: T. Hanson, M. de Carvalho | |
Modeling time-changing joint extremes via Bernstein polynomials |
Session EO588 | Room: CLO 203 |
Two phase designs for correlated data | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Babette Brumback | Organizer: Jonathan Schildcrout |
B1346: G. McGee, J. Schildcrout, S.-L. Normand, S. Haneuse | |
Outcome-dependent sampling in cluster-correlated settings with application to hospital profiling | |
B0654: C. Rivera-Rodriguez, S. Haneuse | |
Optimal sample allocation for two-phase designs in cluster correlated data settings | |
B0650: S. Haneuse, S. Sauer, B. Hedt-Gauthier, C. Rivera-Rodriguez | |
Cluster-based outcome-dependent sampling in resource-limited settings: Inference in small-samples | |
B0720: P. Rathouz | |
Semiparametric generalized linear models: Application to biased samples |
Session EO368 | Room: CLO 204 |
Advance in statistical methods for large and complex data | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Dehan Kong | Organizer: Dehan Kong |
B0908: F. Telschow, A. Schwartzman, D. Cheng, P. Pranav | |
Estimation of expected Euler characteristic curves of nonstationary Gaussian random fields | |
B1339: Y. Chen | |
DeepTune: Visualization and interpretation of deep-network-based models in neuroscience | |
B1970: T. Ogden, H. Park, E. Petkova, T. Tarpey | |
Constrained functional additive models for estimating interactions between a treatment and functional covariates |
Session EO132 | Room: MAL 253 |
Advanced statistical modelling and applications | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Rosaria Simone | Organizer: Rosaria Simone |
B0804: S.A. Osmetti, A. Bonanomi, M. Nai Ruscone | |
Dissimilarity measure for ranking data via copula | |
B0832: B. Francis, E. Davies | |
Bilinear models for score building: When they should be used | |
B0917: A. Barbiero | |
Relationship between Kendall's tau and Goodman and Kruskal's gamma after ordinalizing a bivariate normal random variable | |
B0978: S. Salini, G. Manzi | |
Statistical solutions to improving bike-sharing systems |
Session EG770 | Room: MAL 251 |
Contributions in longitudinal data analysis | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Mahmoud Torabi | Organizer: CMStatistics |
B1757: R. Drikvandi | |
Joint modelling of longitudinal data involving time-varying covariates | |
B1936: C. Marques, M.F. Salgueiro, P. Vicente | |
Deviations from normality: Effects on growth curve models | |
B1920: I. Sousa, A. Vieira | |
Joint longitudinal models with informative time measurements | |
B1705: N. Arai, T. Misumi, H. Matsui, Y. Maesono, S. Konishi | |
Automatic multivariate functional clustering for spatial longitudinal data |
Parallel session E: CFE | Saturday 14.12.2019 | 14:35 - 16:15 |
Session CO628 | Room: MAL B02 |
Predictability of asset returns | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Alexandros Kostakis | Organizer: Alexandros Kostakis |
A0295: E. Hjalmarsson, T. Kiss | |
Testing return predictability with the dividend-growth equation: An anatomy of the dog | |
A1324: G. Skoulakis, J. Xue, H. Jiang | |
Oil and equity return predictability: The importance of dissecting oil price changes | |
A1453: M. Stamatogiannis, T. Magdalinos, A. Kostakis | |
Taking stock of long-horizon predictability tests: Are factor returns predictable? | |
A1484: A. Tamoni, D. Bianchi, M. Buechner | |
What matters when: Time-varying sparsity in expected returns |
Session CO452 | Room: MAL B04 |
Advances in credit risk modelling II | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Raffaella Calabrese | Organizer: Raffaella Calabrese |
A0827: A. Agosto, P. Giudici, D.F. Ahelegbey | |
Network models to assess credit risk contagion | |
A1151: J. Crook, V. Djeundje | |
On stress testing of credit default | |
A1242: L.T. Goldmann, R. Calabrese, J. Crook | |
Use of social media big data for predicting credit rating changes of companies | |
A1678: P. Chodnicka - Jaworska | |
Alternative methods of default risk estimation |
Session CO735 | Room: MAL B18 |
Identification in SVARs | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Robin Braun | Organizer: Robin Braun |
A0938: D. Kaenzig | |
The macroeconomic effects of oil supply news: Evidence from OPEC announcements | |
A0935: C. Martinez Hernandez | |
The role of inflation expectations in the transmission of monetary policy | |
A0280: M. Bruns | |
Identifying smooth transition vector autoregressivemodels | |
A0866: R. Braun | |
The importance of supply and demand for oil prices: Evidence from identification by non-Gaussianity |
Session CO713 | Room: MAL B35 |
Panel data methods for integrated series | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Anindya Banerjee | Organizer: CFE, Anindya Banerjee |
A1149: Y. Karavias, A. Juodis | |
Partially heterogeneous tests for Granger non-causality in panel data | |
A1292: J.L. Carrion-i-Silvestre, A. Banerjee | |
Bounds testing for panel unit roots using common correlated effects estimators | |
A0235: D. Kontana, S. Fountas | |
Consumption, income, wealth and 10-year treasury rate in the 51 States of US: A panel cointegration approach | |
A1637: I. Kheifets, P.C. Phillips | |
Fully modified least square for multicointegrated systems |
Session CO707 | Room: MAL B36 |
Sentometrics | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Kris Boudt | Organizer: David Ardia, Kris Boudt |
A0377: S. Borms, D. Ardia, K. Boudt, A. Algaba | |
Conservative and timely ESG-compliant investment universe screening using textual sentiment analysis | |
A0663: K. Bluteau | |
The GWP R package: Generalized word power approach of calibrating lexicons | |
A0842: A. Algaba, K. Boudt, S. Borms | |
Consumer confidence media indexation | |
A2001: J. Van Pelt, A. Algaba, S. Borms, K. Boudt | |
Media bias detection using sentometrics |
Session CO422 | Room: Montague |
Modelling, forecasting and accuracy | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Mauro Costantini | Organizer: Mauro Costantini |
A0552: M. Pedio, M. Guidolin | |
Forecasting commodity futures returns with stepwise regressions: The contribution of commodity-specific factors | |
A0716: E. Bersimi | |
Volatility forecasting and performance evaluation | |
A0834: C. Lupi, G. Bruno, M. Centoni | |
A forecast-based consumer sentiment index | |
A0667: M. Costantini, G. Angelini | |
DGSE models with expectations correction: Misspecification, forecasting errors and directional accuracy |
Session CO218 | Room: Woburn |
Applied macroeconomic and macro-financial topics II | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Wojtek Paczos | Organizer: Konstantinos Theodoridis |
A0294: W. Paczos, M. Froemel | |
Imperfect financial markets and the cyclicality of social spending | |
A0297: D. Massacci, M. Rubin, D. Ruzzi | |
Comovement changes between stocks and bonds: Evidence from a class of large dimensional threshold group-factor models | |
A0305: D. Meenagh | |
State-dependent pricing and its implications for monetary policy | |
A0446: A. Fuertes | |
External adjustment with a common currency: The case of the euro area |
Session CO416 | Room: Chancellor's Hall |
Bayesian econometrics | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Silvia Montagna | Organizer: Yasuhiro Omori |
A1491: Y. Yamauchi, Y. Omori | |
Factor multivariate realized stochastic volatility model | |
A1505: K. Irie | |
Bayesian dynamic fused lasso | |
A1580: K. McAlinn, K. Takanashi | |
Predictive properties of forecast combination, ensemble methods, and Bayesian synthesis | |
A1596: M. Lindon | |
The state of industry statistics in online AB experiments |
Session CO458 | Room: Court |
Mixture models in econometrics | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Ralf Wilke | Organizer: Ralf Wilke |
A0492: B. Christoffersen, R. Matin | |
Modeling frailty correlated defaults with multivariate latent factors | |
A0565: D. Borowczyk-Martins | |
Addressing measurement error in the estimation of labor market transitions | |
A1769: M. Cavicchioli | |
Statistical inference for mixture GARCH models |
Session CO424 | Room: SH349 |
Econometric methods for sport data modelling and forecasting | Saturday 14.12.2019 14:35 - 16:15 |
Chair: Luca De Angelis | Organizer: Luca De Angelis |
A1172: L. De Angelis, G. Angelini | |
Informational efficiency and price reactions in exchange betting markets | |
A0214: C. Singleton, G. Elaad, J. Reade | |
Information, prices and efficiency in an online betting market | |
A0501: R. Gauriot, L. Page | |
Market prices reaction to information: A quasi-experiment | |
A1300: J. Reade, S. Wang, L. De Angelis, C. Singleton | |
Forecasting football match outcomes with big data and bigger methods |
Parallel session F: CMStatistics | Saturday 14.12.2019 | 16:45 - 18:50 |
Session EO080 | Room: CLO B01 |
Statistics for Hilbert spaces | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Gil Gonzalez-Rodriguez | Organizer: Gil Gonzalez-Rodriguez |
B0901: J. Gertheiss, A. Moeller | |
A classification tree for functional data | |
B0950: H. Matsui | |
Varying-coefficient functional additive models | |
B1064: Y. Liu, X. Qiao | |
Spectral analysis of high-dimensional functional time series | |
B1294: S. Lopez Pintado | |
Depth analysis for sparse functional data | |
B1824: E. Bongiorno, J.-B. Aubin | |
Local dimension reduction using small ball probability factorization |
Session EO460 | Room: MAL B02 |
Novel approaches for high-dimensional medical data | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Damian Brzyski | Organizer: Damian Brzyski, Jaroslaw Harezlak |
B1577: J. Fukuyama | |
Sensitivity biplots | |
B1627: D. Brzyski | |
The adaptive incorporation of multiple sources of information in brain imaging via penalized optimization | |
B1628: M. Bogdan, W. Jiang, J. Josse, B. Miasojedow, V. Rockova | |
Adaptive Bayesian SLOPE: High-dimensional model selection with missing values | |
B1630: P. Tardivel, D. Brzyski, U. Schneider | |
Uniqueness and model selection for SLOPE estimator | |
B2015: C.M. Ting, H. Ombao | |
Identifying aberrant EEG functional connectivity in schizophrenia using an ensemble of convolutional neural networks |
Session EO104 | Room: MAL B04 |
Recent developments in multivariate data analysis | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Anne Ruiz-Gazen | Organizer: Klaus Nordhausen, Anne Ruiz-Gazen |
B0508: V. Gares | |
Regularized optimal transport of covariates and outcomes in data recoding | |
B0561: J. Virta, N. Lietzen, P. Ilmonen, K. Nordhausen | |
Asymptotically and computationally efficient tensorial JADE | |
B0933: V. Roizman, F. Pascal, M. Jonckheere | |
A flexible EM-like clustering algorithm for noisy data | |
B1189: F. Boulfani, A. Ruiz-Gazen, X. Gendre, M. Salvignol | |
Comparing prediction procedures for functional data in aeronautic | |
B1418: C. Croux, I. Wilms, L. Bottmer | |
Cellwise robust and sparse regression with the shooting S |
Session EO643 | Room: MAL B18 |
The state-of-the-art developments for non-ignorable missing data | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Shaun Seaman | Organizer: Jiwei Zhao |
B0776: J. Zhao, Y. Ma | |
How not to estimate the nonignorable missingness mechanism | |
B0934: L. Wen, S. Seaman | |
Methods of handling cohort data with death and non-ignorable dropout | |
B1224: W. Miao | |
Identification, estimation, and semiparametric efficiency of nonignorable missing data | |
B1054: C. Breunig, P. Haan | |
Nonparametric regression with selectively missing covariates | |
B0983: J. Shao | |
Instrument, variable and model selection with nonignorable nonresponse |
Session EO162 | Room: MAL B20 |
Recent advances in network data analysis | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Yuan Zhang | Organizer: Yuguo Chen |
B1500: J. Jin | |
Coauthorship and citation networks for statisticians | |
B0591: M. Pensky, M. Noroozi, R. Rimal | |
Estimation and clustering in popularity adjusted stochastic block model | |
B1378: T. Ke | |
Optimal adaptivity of signed-polygon statistics for network testing | |
B0500: Y. Zhao | |
Network structure inference from grouped data | |
B1355: R. Braun, P. Nguyen | |
From graph structure to network function: Using spectral graph theory to predict and control dynamics |
Session EO146 | Room: MAL B35 |
Multivariate survival models | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Takeshi Emura | Organizer: Takeshi Emura |
B0975: K. Suresh, J. Taylor, A. Tsodikov | |
A Gaussian copula approach for dynamic prediction of survival with a longitudinal biomarker | |
B1366: T. Bouezmarni, Y. Rabhi | |
Nonparametric inference for copulas of dependence under length-biased sampling and informative censoring | |
B1155: A. Doerre | |
Estimating dementia incidence in an illness-death model using health-claims data | |
B0636: R. Wilke, M.S.S. Lo | |
The identifiability of the copula competing risks model under exclusion restrictions | |
B0954: T. Emura, V. Rondeau, S. Casimir | |
Kendalls tau for survival endpoints in meta-analysis: A general definition and a conditional copula approach |
Session EO158 | Room: MAL B36 |
Recent developments on complex data analysis | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Man Wang | Organizer: Xinyuan Song |
B0734: M. Wang | |
MOSUM-based test and estimation method for multiple changes in panel data | |
B0746: R. Sun, J. Pan, J. Cai | |
Sample size determination guidelines for latent mediation models: A Monte Carlo study | |
B1029: Y. Lin | |
Order selection in mixed hidden Markov model | |
B1796: S. Lian | |
Bayesian single-cell transcriptome analysis and related MCMC convergence diagnostics | |
B1805: J. Han | |
Second-order numerical Fourier methods for option pricing |
Session EO070 | Room: MAL G13 |
Empirical processes and nonparametric methods | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Eric Beutner | Organizer: Henryk Zaehle, Eric Beutner |
B1174: J. Carcamo, A. Cuevas, L.-A. Rodriguez | |
Differentiability of supremum-type functionals with applications | |
B1620: D. Dobler | |
Randomization empirical processes and deduced hypothesis tests | |
B1424: C. Doss, J.A. Wellner | |
Likelihood ratio tests and confidence intervals based on the shape constraint of concavity | |
B1462: T. Saegusa | |
Empirical process for merged data from multiple overlapping sources | |
B1290: H. Zaehle, E. Beutner | |
Donsker results for the smoothed empirical process |
Session EO681 | Room: MAL G14 |
Risk, variability and heavy tails | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Anna Panorska | Organizer: Anna Panorska |
B0748: C. Constantinescu | |
Weibull distribution in insurance risk models | |
B0770: A. Wylomanska | |
Heavy-tailed stochastic models with time-dependent coefficients: Applications to financial time series | |
B1373: A. Baxevani, K. Podgorski | |
Non-Gaussian harmonizable processes as sum of harmonics with random frequencies | |
B1532: T. Kozubowski, C. Amponsah | |
A computational approach for the estimation of discrete Pareto parameters | |
B1572: M. Teuerle | |
Spatio-temporal dependence measures for two-dimensional VAR(1) models with alpha-stable innovations | |
B1503: G. Sikora | |
Probabilistic properties of detrended fluctuation analysis for Gaussian processes |
Session EO328 | Room: MAL G15 |
Bayesian methods in medical statistics | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Paulo Canas Rodrigues | Organizer: Vanda Lourenco |
B1100: V. Inacio, N. Klein | |
Distributional ROC surface regression | |
B0339: B. Barney, M. de Carvalho, G. Page | |
Biomarker accuracy determination via an affinity-based measure | |
B0767: A. Posekany, S. Fruhwirth-Schnatter | |
Parallelising Bayesian biostatistical analyses using Yin-Yang sampling | |
B0358: M. Castro | |
Bayesian analysis of survival data with missing censoring indicators | |
B1658: Y. Luo, D. Stephens, D. Buckeridge | |
Bayesian nonparametric clustering of continuous-time hidden Markov models for health trajectories |
Session EO126 | Room: MAL G16 |
Copulas and dependence modelling | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Piotr Jaworski | Organizer: Piotr Jaworski |
B0423: M. Manstavicius, G. Bagdonas | |
Some transformations of bivariate independence copula | |
B0682: P. Jaworski | |
On Archimax copulas and dependence measures | |
B0695: C. Strothmann | |
A Markov product for tail dependence functions | |
B2040: V. Kika, I. Gijbels, M. Omelka | |
Multivariate association measures |
Session EO769 | Room: CLO 101 |
Longitudinal data analysis | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Sanjoy Sinha | Organizer: Sanjoy Sinha |
B0207: O. Goloubeva | |
Analysis of survival and acquired over time treatment toxicities in elderly HNSCC patients: The SEER-Medicare database | |
B0219: M. Torabi, M.E. Hoque | |
Modeling longitudinal data with measurement error in covariates | |
B0372: A. Sattar, S. Sinha | |
Inference with joint models under misspecified random effects distributions | |
B0387: S. Sinha | |
Semiparametric methods for incomplete binary longitudinal data with dropouts | |
B0805: K. Davis | |
Statistical challenges in integrating survey and administrative data in the Canadian census |
Session EO853 | Room: CLO 102 |
Data Science: Regularization and variable selection | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Jia Liu | Organizer: Jan Pablo Burgard, Bertrand Clarke |
B0639: J.P. Burgard, D. Kreber, J. Krause | |
Regularized area-level models for robust small area estimation under measurement errors | |
B0642: J. Krause, J.P. Burgard, R. Muennich | |
Regularized multi-level models for small area estimation using both unit- and area-level data | |
B0796: U. Friedrich, J.P. Burgard | |
Integer programming and machine learning for computational statistics | |
B0817: D. Kreber | |
Cross-validation subset selection for regression | |
B0885: S. Schmaus, J.P. Burgard, J. Krause | |
Small area estimation of transition probabilities for spatial dynamic microsimulation models in socio-economic research |
Session EO170 | Room: Court |
Clustering and classification | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Maria Brigida Ferraro | Organizer: Maria Brigida Ferraro |
B0747: D. Vicari, L. Bocci | |
Clustering objects in three-way proximity data | |
B1166: M. Sato-Ilic | |
Fuzzy clustering-based non-linear dimensionality reduction | |
B1382: M. Fop, P.-A. Mattei, T.B. Murphy, C. Bouveyron | |
Variable role screening for high-dimensional model-based discriminant analysis | |
B1640: M. Ito, K. Adachi | |
An extended k-means clustering procedure with unique factors | |
B1803: C. Gatu, A.M. Puiu | |
Enhanced algorithms for hierarchical clustering |
Session EO260 | Room: Jessel |
Recent advances in time series analysis | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Masayuki Hirukawa | Organizer: Masayuki Hirukawa |
B0557: A. Banerjee | |
Estimating average derivative with multiple integrated regressors | |
B1447: M. Wagner, O. Stypka | |
Testing linear cointegration against smooth transition cointegration | |
B1501: F. Marotta | |
Inference on time series with systematically missing data | |
B1521: H. Solvang | |
Investigation of statistical property in residual series after detrending | |
B0266: R. James, A. Prokhorov, H. Leung | |
Identifying market manipulation \& abusive trading using anomaly detection techniques |
Session EO332 | Room: MAL 152 |
Bandwidth selection for kernel estimation | Saturday 14.12.2019 16:45 - 18:50 |
Chair: M. Dolores Martinez-Miranda | Organizer: M. Dolores Martinez-Miranda |
B0285: Q. Wang, A. Zambom | |
Subsampling-extrapolation bandwidth selection in bivariate kernel density estimation | |
B1052: M.I. Borrajo, W. Gonzalez-Manteiga, M.D. Martinez-Miranda | |
A new framework for kernel intensity estimation in point processes using covariates | |
B0316: Y. Slaoui | |
Data-driven bandwidth selection for recursive kernel density estimators under double truncation | |
B0808: B. Schaefer | |
Bandwidth selection under random fields with short memory | |
B0956: M.D. Martinez-Miranda, V. Asimit, M.L. Gamiz, J.P. Nielsen | |
Creating a safe space for bias correction in kernel hazard estimation |
Session EO350 | Room: Senate |
Statistical advances in extremes and risk management | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Gilles Stupfler | Organizer: Gilles Stupfler |
B0685: A. Usseglio-Carleve, S. Girard, G. Stupfler | |
Nonparametric extreme conditional expectile estimation | |
B0992: H. Kaibuchi, G. Stupfler, Y. Kawasaki | |
A novel GARCH-EVT approach dealing with bias and heteroscedasticity for extreme risk estimations | |
B1205: S. Rizzelli, M. Falk, S. Padoan | |
On the strong convergence of sample maxima, with applications to asymptotic statistical theory for extremes | |
B1256: S. Padoan, G. Stupfler | |
Extreme expectile estimation for heavy-tailed time series |
Session EO793 | Room: CLO 203 |
Human microbiome research: New designs and statistical methods | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Ekaterina Smirnova | Organizer: Ni Zhao, Ekaterina Smirnova |
B1939: E. Smirnova | |
Microbiome data: Current challenges and opportunities | |
B1517: M. Sohn | |
Compositional mediation model for binary outcome: Application to microbiome samples | |
B1817: G. Gloor | |
Accounting for asymmetry and batch effects in meta-transcriptomics | |
B1921: L. Waldron | |
Adapting methods of gene set enrichment analysis to study of the human microbiome | |
B1945: H. Corrada Bravo | |
Experimental and computational frameworks for microbiome data analysis assessment |
Session EO354 | Room: CLO 204 |
Recent development in scientific and clinical studies of the brain | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Guofen Yan | Organizer: Tingting Zhang |
B0200: T. Zhang | |
A Bayesian approach for mapping epileptic brain networks | |
B0306: R. Krafty, J. Zhang, G. Siegle | |
Interpretable principal components analysis for multilevel multivariate functional data | |
B0994: J. Peng | |
Learning structural connectivity of the brain from imaging data | |
B1108: S. Iyengar | |
Identification of spreading depolarization based on potassium and glucose levels | |
B1901: G. Papadogeorgou, Z. Zhang, D. Dunson | |
Soft tensor regression |
Session EO835 | Room: MAL 252 |
Restricted parameters inference and shrinkage estimators | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Genso Watanabe | Organizer: Genso-Y. T. Watanabe-Chang |
B0429: H. Oda, F. Komaki | |
Shrinkage priors on complex statistical manifolds | |
B0436: G. Watanabe, N. Shinozaki, W. Strawderman | |
Pitman closeness domination in predictive density estimation for two ordered normal means under alpha-divergence loss | |
B0458: K. Yano | |
On estimation and prediction for high-dimensional Poisson models with quasi zero inflation | |
B0479: E. Marchand, W. Strawderman | |
On prediction and shrinkage estimation for balanced loss functions | |
B0583: R. Yuasa, T. Kubokawa | |
Shrinkage estimation of the mean of high-dimensional normal distribution |
Session EO428 | Room: MAL 253 |
Oceans of data: High-dimensional statistics for marine data analysis | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Christian L. Mueller | Organizer: Christian L. Mueller |
B1249: A. Mishra, C.L. Mueller, J. Bien, S. Hyun | |
Marine data mining with CMAP using R | |
B0997: J. Bien, C.L. Mueller, X. Yan | |
Structured feature aggregation in regression with microbiome data | |
B1317: S. Hyun, J. Bien, F. Ribalet, M. Cape | |
Joint modeling of continuous flow cytometry data with environmental covariates | |
B0928: C. Mutshinda, A. Irwin, Z. Finkel | |
A trait-based taxonomy for phytoplankton biomass modeling and prediction | |
B1167: J. Siddons, A. Irwin, Z. Finkel | |
Inference of ecological networks from a sparse ocean dataset |
Session EO464 | Room: SH349 |
Statistics in sport | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Marialuisa Restaino | Organizer: Giuseppe Giordano, Marialuisa Restaino |
B0489: F. Addesa | |
Cultural diversity and team performance in the Italian Serie A | |
B1139: L. Pappalardo, A. Rossi, P. Cintia | |
Injury forecasting in sports using artificial intelligence | |
B1199: F. Porro, M. Zenga | |
Two decompositions of the Pietra index with applications to Italian professional football teams | |
B1257: V. Candila, L. De Angelis, G. Angelini | |
Weighted ELO rating predictions in tennis | |
B1900: A. Gyimesi | |
League ranking mobility affects attendance: A dynamic panel model of European football leagues |
Session EC800 | Room: MAL 153 |
Contributions in computational statistics | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Stefan Sperlich | Organizer: CMStatistics |
B0273: H.-W. Teng | |
On a projection estimator for Monte Carlo integration | |
B1624: H. Park | |
Sample-specific stability selection with effective error control | |
B1645: N. Kahale | |
Efficient simulation of high dimensional Gaussian vectors | |
B1777: J. Smith, J. Ferreira, A. Bekker | |
Lower quantile estimation for artificially censored Weibull samples | |
B1610: R. Schefzik | |
Identifying differential distributions using the 2-Wasserstein distance, with application to single-cell RNA-sequencing |
Session EG179 | Room: MAL 254 |
Contributions in statistical modelling I | Saturday 14.12.2019 16:45 - 18:50 |
Chair: David Haziza | Organizer: CMStatistics |
B1712: M. Wagener, A. Bekker, M. Arashi | |
Mastering the body and tail shape of a distribution | |
B1818: M. Meulders, L. Maaya, M. Vandebroek | |
E-consumers' attribute non-attendance switching behavior: Effect of providing information on attributes | |
B1923: K. Van Deun | |
Finding the hidden link: Sparse common component analysis | |
B1880: I. Barranco-Chamorro, G. Martinez-Florez, H. Bolfarine, H.W. Gomez | |
A new flexible Birnbaum Saunders model | |
B1411: S. Makgai, A. Bekker, M. Arashi, J. Visagie | |
Constructing distributions via the beta-generating technique |
Session EG083 | Room: MAL 251 |
Contributions in big and high-dimensional data analysis | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Rosa Lillo | Organizer: CMStatistics |
B0361: I. Batmaz, N. Adams | |
StreamMARS: A streaming multivariate adaptive regression splines algorithm | |
B1692: O. Oyebamiji | |
Bayesian hierarchical models for uncertainty quantification in high-dimensional landscape problems | |
B1800: R. Guerra-Urzola, K. Van Deun, J. Vera Lizcano, K. Sijtsma | |
Implementation guidance of sparse principal component analysis on different methods and when to use them | |
B0880: E. Jorge-Gonzalez | |
Estimating the unemployment rate using big data | |
B1807: A. Mendez Civieta, R. Lillo, M.C. Aguilera-Morillo | |
A new approach to penalized quantile regression |
Parallel session F: CFE | Saturday 14.12.2019 | 16:45 - 18:50 |
Session CI022 | Room: Beveridge Hall |
Advances in financial econometrics | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Roxana Halbleib | Organizer: Roxana Halbleib |
A0158: E. Renault | |
The leverage effect puzzle revisited: Identification in discrete time | |
A0159: R. Liesenfeld, T. Selland Kleppe, G. Moura, A. Oglend | |
Analyzing commodity futures using factor state-space models with Wishart stochastic volatility | |
A0237: J. Grammig, C. Hanenberg, C. Schlag, J. Soenksen | |
Looking forward, looking back: How machine learning predictions compare to expectations from option markets |
Session CO204 | Room: Bloomsbury |
Recent trends in commodity markets | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Christoph Sulewski | Organizer: Claudia Wellenreuther |
A0927: C. Pirrong | |
Sheep in wolves clothing: Using false signals of demand to execute a market power manipulation | |
A1438: J. Miffre, J. Fan, A. Fernandez-Perez, A.-M. Fuertes | |
Speculative pressure | |
A1523: K. Kuck | |
Gold volatility and the safe haven effect | |
A1529: C. Gilbert | |
Cocoa market control 2020 | |
A1140: M. Stefan, C. Wellenreuther, M.T. Bohl | |
An introduction to ESMA's commitments of traders reports: Do hedgers really hedge? |
Session CO420 | Room: G11 |
Empirical applications in economics and finance | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Jesus Otero | Organizer: Jesus Otero |
A1385: A.M. Iregui Bohorquez, J. Otero, H. Nunez | |
Forecast revisions in a changing economic environment | |
A1019: A. Banerjee, V. Bystrov, P. Mizen | |
Structural factor analysis of interest rate pass through in four large Euro area economies | |
A0203: J. Otero, M. Giulietti, M. Waterson | |
Rigidities and adjustments of daily prices to costs: Evidence from supermarket data |
Session CO382 | Room: G21A |
Asset pricing and risk exposures in cryptocurrency markets | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Massimo Guidolin | Organizer: Massimo Guidolin |
A1392: M. Guidolin, D. Bianchi, M. Pedio | |
Time-varying risk exposures of cryptocurrencies: Are they a new asset class? | |
A1395: K. Shakhnov, N. Borri | |
The cross-section of cryptocurrency returns | |
A1400: A. Dickerson, D. Bianchi | |
Trading volume in cryptocurrency markets | |
A1401: E. Iyidogan, K. Yilmaz | |
Return spillovers and connectedness in the cryptocurrency market | |
A1657: J. Sila, M. Mark | |
Price endogeneity and volatility in the cryptocurrency market |
Session CO196 | Room: G5 |
Econometrics methods and models for high dimensional data analysis | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Camilla Mastromarco | Organizer: Walter Distaso, Alessandra Amendola |
A0826: A. Amendola, G. Gallo, V. Candila, M. Boccia | |
Whether commodity price volatility spills over onto African stock markets | |
A0822: A. Insana | |
Daily, intraday and overnight betas | |
A1353: C. Mastromarco | |
Endogenous spatial technological clubs across Europe: A 3D panel data model with cross sectional dependence | |
A1682: L. Leonida, A. Iona | |
Sample separation and the sensitivity of investment to cash flow: On the monotonicity condition | |
A1684: A. Iona, L. Leonida | |
Economic freedom, corporate investment and financing constraints. |
Session CO442 | Room: Gordon |
Robustness to shocks and dependence in networks and financial data | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Artem Prokhorov | Organizer: Artem Prokhorov |
A1118: A. Semenov | |
Identifying important nodes in input-output networks | |
A1291: M. Gladkova, E. Gilenko | |
Machine learning algorithms for profiling of Russian digital entrepreneurs: Social network data analysis | |
A1527: A. Prokhorov | |
Lasso and Dantzig selector for Bernstein copula | |
A1265: E. Gilenko, M. Gladkova, A. Prokhorov, R. Ibragimov, G. Kukhareva | |
Robust estimation of stochastic frontier models | |
A1318: R. Ibragimov, D. Brown | |
Sign tests for dependent observations |
Session CO198 | Room: Montague |
Term structure of interest rates | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Andrea Berardi | Organizer: Andrea Berardi |
A0790: M. Taboga, F. Corsello | |
Yield curve forecasting in the euro area | |
A1550: R. Barros De Rezende, A. Ristiniemi | |
A shadow rate without a lower bound constraint | |
A1576: G. Goy, C. Brand, W. Lemke | |
Natural rate chimera and bond pricing reality | |
A1689: J. Shi | |
Macro-yields modelling in the presence of asymmetrically distributed interest rates | |
A0874: A. Berardi, S. Schaefer | |
Convexity dominates risk premia in long-term forward rates |
Session CO394 | Room: Woburn |
Macroeconomic policies and macroeconometrics | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Etsuro Shioji | Organizer: Etsuro Shioji |
Session CO675 | Room: Chancellor's Hall |
Dynamic factor models and large-scale applications | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Matthias Fengler | Organizer: Loriano Mancini |
A0958: D. Bianchi, K. McAlinn | |
Large-scale dynamic predictive regressions | |
A0577: F. Carlini, P. Gagliardini | |
Contagion and latent factors in large systems | |
A0368: G. Bormetti, D. Di Gangi, F. Lillo | |
Score-driven exponential random graphs: A new class of time-varying parameter models for dynamical networks | |
A0346: H. Ma, P. Gagliardini | |
Extracting statistical factors when betas are time-varying | |
A0578: M. Fengler, W. Dare | |
Global estimation of realized spot volatility inthe presence of price jumps |
Session CC819 | Room: G3 |
Contributions in forecasting | Saturday 14.12.2019 16:45 - 18:50 |
Chair: Uwe Hassler | Organizer: CFE |
A1454: S. Arvanitis, T. Post, V. Poti, S. Karabati | |
Nonparametric tests for superior predictive ability | |
A1732: D. Pedregal, J.R. Trapero | |
Fast solution to the automatic identification of unobserved components models | |
A1738: S.-Y. Yin, C.-C. Lin, W.-J. Tsay | |
Reversed order monitoring CUSUM test with factor structure | |
A1561: A. Allayioti | |
Point and density exchange rate forecasts using yield curve factors in a time-varying framework | |
A1727: D. Atance, E. Navarro, A. Balbas | |
Constructing dynamic life tables with a single factor model |
Parallel session G: CMStatistics | Sunday 15.12.2019 | 08:40 - 10:20 |
Session EO546 | Room: CLO B01 |
Analysis of functional and other object data | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Alexander Petersen | Organizer: Alexander Petersen |
B0514: D. Gervini | |
Spatial kriging for replicated anisotropic point processes | |
B0852: H.-G. Mueller, A. Petersen | |
Wasserstein covariance for vectors of random densities | |
B1066: S. Huckemann | |
Statistical challenges for analysis of data in some non-standard spaces | |
B1251: S. Preston, K. Bharath, R. Carrington | |
Non-identifiability of word embeddings, and connections to shape analysis |
Session EO538 | Room: MAL B02 |
Methodological developments in medical statistics and its applications | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Chao Huang | Organizer: Chao Huang |
B0687: J. Huling, M. Yu, M. Smith | |
Comparative intervention scoring for assessing heterogeneity of long-term health system intervention effects | |
B0907: Q. Li | |
Jointly model longitudinal and semicompeting risks data to accommodate informative dropout and death | |
B0941: C. Ma, J. Pan | |
Multi-state models for multi-type recurrent events and terminal events with feedback in longitudinal covariates | |
B0301: I. Osuntoki, A. Harrison, H. Dai, Y. Bao, N.R. Zabet | |
Bayesian analysis of chromosomal interactions in hi-c data using the hidden Markov random field model |
Session EO448 | Room: MAL B04 |
Recent advances in blind source separation | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Sara Taskinen | Organizer: Sara Taskinen |
B0635: N. Lietzen, L. Viitasaari, P. Ilmonen | |
Statistical properties of a blind source separation estimator for complex-valued weakly stationary stochastic processes | |
B0545: J. Miettinen, S. Vorobyov, E. Ollila | |
Blind source separation of graph signals | |
B0220: F. Bachoc, M. Genton, K. Nordhausen, A. Ruiz-Gazen, J. Virta | |
Spatial blind source separation | |
B1088: G. Van Bever, R. Sabolova, F. Critchley, B. Li, H. Oja | |
Functional independent component analysis |
Session EO590 | Room: MAL B18 |
Statistical methods for missing data in EHR-based research | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Sebastien Haneuse | Organizer: Sebastien Haneuse |
B0655: M. Daniels | |
Bayesian nonparametrics for comparative effectiveness research in EHRs | |
B1220: T. Thaweethai, S. Haneuse | |
Robust variance estimation when combining MI and IPW for missing data in EHR-based studies | |
B1899: J. Chen, L. Zhang, X. Ding, Y. Ma, N. Muthu, I. Ajmal, J.H. Moore, D. Herman | |
Electronic health record phenotyping using anchor-positive and unlabeled patients | |
B1957: E. Williamson | |
Handling missing data in propensity score analyses of electronic health record data |
Session EO761 | Room: MAL B20 |
Causal inference in factorial experiments | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Peng Ding | Organizer: Peng Ding |
Session EO540 | Room: MAL B35 |
Inference methods in survival analysis | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Dennis Dobler | Organizer: Dennis Dobler |
B0302: S. Friedrich | |
Studying the influence of time-varying treatment regimes on a time-to-event outcome using Danish registry data | |
B0320: M. Ditzhaus, M. Pauly, A. Janssen | |
Inference for factorial designs in survival models | |
B0442: M. Overgaard | |
State occupation probabilities in non-Markov models | |
B1286: S.O. Samuelsen | |
Collapsible Cox-regression and non-collapsible Aalen additive hazards regression |
Session EO066 | Room: MAL B36 |
Random forests and applications | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Efoevi Angelo Koudou | Organizer: Efoevi Angelo Koudou |
Session EO564 | Room: MAL G13 |
Local empirical measures and nonparametric statistics | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Davit Varron | Organizer: Davit Varron |
Session EO188 | Room: MAL G14 |
Present-day data analysis challenges meet Bayes | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Mario Peruggia | Organizer: Mario Peruggia |
B0323: A. Frigessi | |
Diversity and precision of Bayesian Mallows to learn preferences from clicking data | |
B0345: P. Craigmile | |
Locally stationary processes and their application to climate modeling | |
B0428: D. Kunkel | |
Hierarchical Hidden Markov models for response time data | |
B0986: C. Forbes, W.O. Maneesoonthorn | |
Assessing forecasts from data of different dimension |
Session EO634 | Room: MAL G15 |
Recent developments in Bayesian computation | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Matti Vihola | Organizer: Matti Vihola |
B0283: R. Craiu, E. Levi | |
Finding our way in the dark: Approximate MCMC for approximate Bayesian methods | |
B0559: R. Everitt | |
Ensemble MCMC: Accelerating pseudo-marginal MCMC for state space models using the ensemble Kalman filter | |
B1077: K. Heine, N. Whiteley, A.T. Cemgil | |
Parallelising particle filters with butterfly interactions | |
B1141: A. Beskos, A. Stuart, M. Girolami, P. Farell, S. Lan | |
Geometric MCMC for infinite-dimensional inverse problems |
Session EO286 | Room: MAL G16 |
Dependence measures | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Sebastian Fuchs | Organizer: Sebastian Fuchs |
B0507: B. Stoeve | |
The local Gaussian correlation with applications to finance | |
B0223: T. Koike, M. Hofert | |
Compatibility and attainability of matrices of correlation-based measures of concordance | |
B0595: C.G. Borroni, L. De Capitani | |
A unified approach for tail-dependence and concordance measures, with some new indices | |
B0597: S. Fuchs | |
On a class of measures of concordance for bivariate copulas |
Session EO148 | Room: CLO 101 |
Learning for high-dimensional data with complex dependence | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Tetyana Pavlenko | Organizer: Tetyana Pavlenko |
B0582: A. Tillander, T. Pavlenko | |
Feature selection for sparse mixtures with dependence structure | |
B0810: T. Yamada, T. Sakurai, Y. Fujikoshi | |
Asymptotic robustness for error rate of 2 group discriminant analysis for large dimensional case | |
B1298: L. Arnroth, M.R. Ahmad | |
A robustness evaluation of some Bayesian testing problems | |
B1293: T. Pavlenko | |
Optimal detection of sparse mixtures with applications to high-dimensional classification |
Session EO340 | Room: CLO 102 |
Novel time series models and applications | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Hernando Ombao | Organizer: Hernando Ombao |
B1713: W. Barreto-Souza, R. Silva | |
Flexible and robust mixed Poisson INGARCH models | |
B1927: D. Degras | |
Dynamic functional connectivity: A sparse group fused lasso approach | |
B1941: A. Sykulski, A. Guillaumin, S. Olhede | |
Fast and efficient parameter estimation in time series and random fields | |
B1948: I. Cribben | |
Change points methods for high dimensional time series networks |
Session EO180 | Room: Court |
Semiparametric and mixture models and their use for fractional imputation | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Changbao Wu | Organizer: Changbao Wu |
Session EO358 | Room: Jessel |
Instabilities in multivariate data | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Zuzana Praskova | Organizer: Zuzana Praskova |
B0891: Z. Hlavka, M. Huskova, S. Meintanis | |
Tests of independence of functional observations | |
B0278: M. Maciak | |
Automatic detection of successive variable groups in a multivariate regression model | |
B0531: J. Ditzen | |
Bootstrapping in large panels with cross sectional dependence | |
B1028: Z. Praskova | |
Testing structural breaks in large dynamic models based on extremal distribution |
Session EO344 | Room: MAL 152 |
Algebraic statistics | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Elisa Perrone | Organizer: Kaie Kubjas, Elisa Perrone |
B1258: C. Amendola, D. Agostini, K. Ranestad | |
Moment identifiability of homoscedastic Gaussian mixtures | |
B1372: P. Zwiernik, C. Uhler, S. Lauritzen | |
Total positivity in structured binary distributions | |
B1080: A. Seigal, G. Montufar | |
Supermodular inequalities in hidden variable models | |
B1530: K. Kubjas, A. Grosdos, O. Kuznetsova, G. Scholten, M.-S. Sorea, B. Sturmfels | |
Exact solutions in log-concave maximum likelihood estimation |
Session EO078 | Room: MAL 254 |
Topics in spatial and space-time statistics | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Federico Crudu | Organizer: Federico Crudu |
B0477: R. Vallejos, W. Creixell, J. Acosta, J. Perez | |
Modeling the reduction of sample size for spatial datasets | |
B0504: V. Morales-Onate, F. Crudu, M. Bevilacqua | |
Blockwise Euclidean likelihood for estimation of space-time covariance model using OpenCL in GPGPUs | |
B0840: F. Osorio, R. Vallejos, W. Barraza, S. Ojeda, M. Landi | |
Estimation of the structural similarity index for remote sensing data | |
B1136: F. Santi, M.M. Dickson, D. Giuliani, G. Espa | |
Spatial models in the space of covariates: Methodological and computational issues |
Session EO130 | Room: Senate |
Statistics of spatiotemporal extremes | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Raphael Huser | Organizer: Raphael Huser |
B0812: B. Hrafnkelsson, R. Huser, A. Johannesson, H. Bakka, S. Siegert | |
Approximate Bayesian inference for spatial flood frequency analysis | |
B0881: C. Rohrbeck | |
Spatio-temporal clustering of extremal behaviour for environmental variables | |
B0610: J. Wadsworth, E. Simpson | |
Spatio-temporal extremes based on single-location conditioning | |
B1026: A. Hazra, R. Huser | |
A semiparametric Bayesian model for large spatiotemporal Red sea surface temperature data and related hotspot estimation |
Session EO098 | Room: CLO 203 |
Modern methods in the analysis of directional data | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Jose Ameijeiras-Alonso | Organizer: Jose Ameijeiras-Alonso |
B0607: F. Lagona | |
Copula-based segmentation of cylindrical time series | |
B0798: A. Meilan-Vila, M. Francisco-Fernandez, R. Crujeiras, A. Panzera | |
Nonparametric circular regression estimation with spatially correlated errors | |
B1223: A. Gottard, A. Panzera | |
Wrapped normal graphical models |
Session EO500 | Room: CLO 204 |
Bayesian approaches to the analysis of neuroimaging | Sunday 15.12.2019 08:40 - 10:20 |
Chair: John Kornak | Organizer: John Kornak |
B0333: R. Guhaniyogi | |
Bayesian generalized sparse symmetric tensor-on-vector regression | |
B0534: P. Siden, F. Lindgren, D. Bolin, A. Eklund, M. Villani | |
Spatial 3D Matern priors for fast whole-brain fMRI analysis | |
B1562: M. Guindani | |
Bayesian approaches for dynamic brain connectivity | |
B1977: A. Scheffler, A. Dickinson, C. DiStefano, S. Jeste, D. Senturk | |
Covariate-adjusted hybrid principal components analysis for EEG data |
Session EO534 | Room: MAL 251 |
Statistics of random processes for analysing high frequency data | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Masayuki Uchida | Organizer: Masayuki Uchida |
B0585: M. Bibinger, M. Trabs | |
Statistics for stochastic PDEs based on high-frequency observations | |
B0673: H. Masuda, Y. Uehara, L. Mercuri | |
Noise estimation for ergodic Levy driven SDE in YUIMA package | |
B1499: A. De Gregorio, F. Iafrate | |
Reguralized estimation with multiple penalties and its application to stochastic differential equations | |
B1431: N. Yoshida, A. Gloter | |
Estimation for degenerate diffusion processes |
Session EO494 | Room: MAL 252 |
Advances in classification and high dimensional statistics | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Daoji Li | Organizer: Daoji Li |
B0204: P. Liu, N. Zhang, B. Jiang, L. Kong, J. Huang | |
Functional partial linear quantile regression based on reproducing kernel Hilbert space | |
B0229: T. Cannings, Y. Fan, R. Samworth | |
Classification with imperfect training labels | |
B1314: J. Shen, J. Pan | |
Bayesian variable selection for joint mean and covariance models |
Session EO336 | Room: MAL 253 |
New methods for modelling ordinal and mixed-type data | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Cristina Mollica | Organizer: Cristina Mollica |
B0580: S. Johnson | |
Bayesian rank aggregation for (mixtures of) Plackett-Luce models | |
B0723: R. Simone | |
Residuals diagnostics for the choice of model-based trees for ordinal responses | |
B0788: S. Cagnone, S. Bianconcini | |
Comparison between likelihood-based methods of factor models for ordinal data |
Session EO568 | Room: SH349 |
Modern approaches to the spectral analysis of time series | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Tobias Kley | Organizer: Tobias Kley |
B0335: L.A. Jordanger, D. Tjoestheim | |
Nonlinear spectral analysis: A local Gaussian approach | |
B0379: M. Meyer, E. Paparoditis, J.-P. Kreiss | |
Extending the validity of frequency domain bootstrap methods to general stationary processes | |
B0737: S. Subbarao | |
An exact expression for the Whittle approximation of the Gaussian likelihood and its application to parameter estimation | |
B1238: D. Rademacher, J.-P. Kreiss, E. Paparoditis | |
Asymptotic normality of integrated periodogram operators |
Session EC809 | Room: MAL 354 |
Contributions in robust statistics | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Agustin Mayo-Iscar | Organizer: CMStatistics |
B1613: T. Nakagawa | |
Robust Bayesian estimation by using the quasi-posterior with divergence | |
B1890: F. Laurini | |
Robustness and shrinkage for GLM with the forward search | |
B1857: B. Poilane, J. Miron, E. Cantoni | |
Robust non-ordinal polytomous regression | |
B2006: A. Cappozzo, F. Greselin, T.B. Murphy | |
Robust variable selection for model-based learning in presence of adulteration |
Session EC813 | Room: MAL 355 |
Contributions in survival analysis | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Taoufik Bouezmarni | Organizer: CMStatistics |
B0357: K.M. Beyene, A. El Ghouch | |
Smoothed time-dependent ROC curve for right censored survival data | |
B1710: A. Andrasikova, E. Fiserova | |
Higher order approximations in the Cox proportional hazards model | |
B1966: A. Mahnashi, F. Coolen, T. Coolen-Maturi | |
Nonparametric predictive inference for discrete time survival data related to the actuarial estimator | |
B1597: F. Shokoohi | |
New insight into the role of intangible heterogeneity of covariate effects in hidden subpopulation subject to censoring |
Session EG171 | Room: MAL 153 |
Contributions in clustering | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Pietro Coretto | Organizer: CMStatistics |
B1874: P.-L. Bithorel, E. Morand, G. De Santis | |
Multichannel qualitative harmonic analysis for two-step patient pathway | |
B1877: V. Potashnikov, A. Zubarev, O. Lugovoy | |
Exploratory data analysis of sustainable development goals | |
B0336: E. Vignotto, S. Engelke | |
Extreme value theory for open set classification: The GPD and GEV classifiers | |
B1702: K. Shimamura, S. Kawano | |
Bayesian sparse convex clustering via NEG distribution |
Parallel session G: CFE | Sunday 15.12.2019 | 08:40 - 10:20 |
Session CI024 | Room: Beveridge Hall |
Econometrics of volatility | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Mathieu Rosenbaum | Organizer: Mathieu Rosenbaum |
A0376: N. Meddahi, J. Kim | |
Volatility regressions with fat tails | |
A0163: M. Podolskij | |
Estimation of the quadratic variation and its eigenvalues for multivariate jump processes | |
A0261: M. Rosenbaum | |
From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect |
Session CO741 | Room: Bloomsbury |
Inflation expectations and inflation dynamics | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Francesco Grigoli | Organizer: Francesco Grigoli |
A0225: C. Raggi | |
The impact of guidance, short-term dynamics and individual characteristics on firms long-term inflation expectations | |
A0226: M. Weber | |
IQ, expectations, and choice | |
A0243: D. Pfajfar, J. Roberts | |
The role of expectations in changed inflation dynamics | |
A0343: F. Grigoli | |
Monetary policy surprises and inflation expectation dispersion |
Session CO528 | Room: G11 |
Recent advances in Bayesian multivariate modelling and estimation | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Michael Smith | Organizer: Michael Smith |
A0201: M. Smith, N. Klein | |
Bayesian inference for regression copulas | |
A0205: N. Klein, M. Smith | |
Bayesian variable selection for non-Gaussian responses: A marginally calibrated copula approach | |
A0218: R. Loaiza-Maya, M. Smith, D. Nott | |
High-dimensional copula variational approximation through transformation | |
A0222: T. Shively | |
Bayesian estimation and testing for constrained multivariate functions |
Session CO414 | Room: G4 |
Modeling regime change I | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Willi Semmler | Organizer: Willi Semmler |
A1525: W. Semmler | |
Credit risk and delayed monetary policy effectiveness: A finite horizon multi-phase model | |
A1495: P. Hubert | |
State-dependent effects of monetary policy: The central bank information channel | |
A1459: M. Minenna | |
The new Eurozone risk morphology | |
A1549: R. Kovacevic, W. Semmler | |
Economic dynamics in the presence of catastrophic risk: The danger of poverty traps |
Session CO847 | Room: G5 |
Business cycle analysis | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Michael Owyang | Organizer: Michael Owyang |
A0410: C. Otrok, M. Owyang, L. Jackson Young | |
Tax progressivity, economic booms, and trickle up economics | |
A0628: J. Schaumburg, T. Dahlhaus, T. Sekhposyan | |
Networking the yield curve | |
A0382: A. De Polis, D. Delle Monache, I. Petrella | |
A score-driven model for GDP-at-risk | |
A1489: B. Kolb, E. Prieto, S. Eickmeier | |
The macroeconomic effects of bank capital regulation |
Session CO200 | Room: Gordon |
Time series econometrics | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Antonio Montanes | Organizer: Antonio Montanes |
A0438: A. Gomez-Loscos, L. Gadea, E. Bandres | |
On what drives regional business cycles in Europe | |
A0691: J. Sapena, M. Camarero, C. Tamarit | |
Time-varying behavior of the equilibrium velocity of money in the Euro area | |
A0951: L. Gadea, J. Gonzalo | |
Long-term climate forecasts | |
A1093: A. Montanes | |
Testing for trends in the presence of seasonal component |
Session CO220 | Room: Montague |
Topics in financial econometrics I | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Leopold Soegner | Organizer: Joern Sass, Leopold Soegner |
A0801: C. Erlwein-Sayer, S. Grimm, P. Ruckdeschel, J. Sass, T. Sayer | |
Varying correlation parametrizations in an HMM setting for filter-based portfolio strategies | |
A0883: A.-K. Thoes, J. Sass | |
Performance of equal weight strategies using fewer assets | |
A1402: J. Reynolds, L. Soegner, M. Wagner | |
Analyzing and testing the forward bias puzzle | |
A1083: C. Zwatz | |
Size and power properties of autocorrelation and heteroskedasticity robust tests in spatial error models |
Session CO224 | Room: Woburn |
Topics in dynamic macroeconomics and macroeconometrics | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Marco Maria Sorge | Organizer: Marco Maria Sorge |
A0299: A. Cantelmo, G. Melina, C. Papageorgiou | |
Macroeconomic outcomes in disaster-prone countries | |
A0311: M. Fragetta, S. Destefanis, E. Gasteiger | |
One size to fit all in the Euro area: Some counterfactual evidence | |
A0584: A. Tryphonides | |
Synthesizing structural evidence on the monetary and fiscal stance in the US: A Bayesian approach | |
A0759: M.M. Sorge | |
Arbitrary initial conditions and the dimension of indeterminacy in linear rational expectations models |
Session CO202 | Room: Chancellor's Hall |
High-frequency econometrics | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Bezirgen Veliyev | Organizer: Bezirgen Veliyev |
A1153: K. Christensen | |
A nonparametric test for commonality in intraday high-frequency data | |
A1020: D. Borup, K.P. Bertelsen, J. Jakobsen | |
Information flows and volatility: Level or persistence shifts | |
A0600: M.M. Kjaer, B. Veliyev, B.J. Christensen | |
Forecasting the volatility of the yield curve | |
A0638: P. Exterkate, O. Knapik | |
A regime-switching stochastic volatility model for forecasting electricity prices |
Session CC816 | Room: MAL 351 |
Contributions in financial time series | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Robert Jung | Organizer: CFE |
A0865: A.M. Sathe, N.S. Upadhye | |
Estimation of the parameters of symmetric stable ARMA and ARMA-GARCH time series process | |
A1716: S. Azmat, M. Gronwald, X. Jin | |
Public attention and financial markets: An analysis using google trends | |
A1618: T. Kiss, E. Hjalmarsson | |
Long-run predictability tests are even worse than you thought | |
A0192: B. Gribisch, T. Eckernkemper | |
Intraday conditional value at risk: A periodic mixed-frequency GAS approach |
Session CC820 | Room: MAL 352 |
Contributions in value-at-risk | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Alexandra Dias | Organizer: CFE |
A1648: A. Stephan, H. Loof, M. Sahamkhadam, A. Stephan | |
The impact of ESG on stocks downside risk and risk adjusted return | |
A1614: A. Titova | |
Asymmetric-loss-based evaluation of daily value-at-risk models | |
A1804: E. Lazar, N. Zhang, R. Tunaru | |
Scoring function-based model risk of risk models |
Session CC824 | Room: MAL 353 |
Contributions in computational econometrics | Sunday 15.12.2019 08:40 - 10:20 |
Chair: Peter Winker | Organizer: CFE |
A1882: Q. Meertens, C. Diks, J. van den Herik, F. Takes | |
Correcting the bias of economic aggregates that is caused by classification errors | |
A1924: R. Seri, M. Martinoli, S. Centorrino, D. Secchi | |
Model calibration and validation via confidence sets | |
A1696: S. Liu, M. Caporin, S. Paterlini | |
Estimating dynamic networks with a state-space model | |
A0187: N. Moiseev, N. Tikhomirov | |
Computation of interval forecast for ARIMA models accounting for the uncertainty of parameters' estimates |
Parallel session H: CMStatistics | Sunday 15.12.2019 | 10:50 - 12:55 |
Session EO300 | Room: CLO B01 |
Applied functional data analysis | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Marzia Cremona | Organizer: Marzia Cremona |
B0258: Y. Okhrin | |
Revealing technical trading rules with the empirical similarity concept | |
B0867: F. Scheipl, J. Minkwitz | |
Functional additive regression for ordinal responses: Modeling EEG- based brain arousal state dynamics | |
B0923: J. Park, E. Koukouli, F. Dondelinger | |
A functional regression model for determining drug-response relationship in cancer genomics | |
B1320: H.B. Kang, Q. Liu, L. Price, K. Lee | |
Mixture of functional graphical models with an application to ADHD data | |
B1001: A. Kenney, M. Reimherr, F. Chiaromonte, S. Craig, K. Makova | |
Polygenic risk score based on weight gain trajectories is predictive of childhood obesity |
Session EO316 | Room: Bloomsbury |
Duration time regression beyond the Cox model | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Riccardo De Bin | Organizer: Rosalba Radice, Riccardo De Bin, Giampiero Marra |
B0929: G. Marra, R. Radice, D. Lazzaro | |
Link-based survival additive models with mixed types of censoring | |
B0966: K. Burke | |
A flexible parametric modelling framework for survival analysis | |
B1053: R. Dettoni, G. Marra, R. Radice | |
Copula link-based additive models for dependent right-censored event time data | |
B1078: J.M. Gran | |
Estimating treatment effects in non-Markov multi-state models | |
B1087: R. De Bin, V. Stikbakke | |
First-hitting-time models for high-dimensional data: A statistical boosting approach |
Session EO492 | Room: G11 |
Methodological and computational aspects of graphical and network models | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Jing Zhang | Organizer: Qi Zhang, Yunzhang Zhu |
B0574: F. Liu | |
Noise injection regularization in large models with applications to neural networks and graphical models | |
B0942: J. Ma | |
Efficient estimation of change points in regime switching dynamic Markov random fields | |
B0967: B. Price, A. Molstad, B. Sherwood | |
Using cluster fusion regularization to estimate multiple precision matrices | |
B0999: H. Chun | |
Sparse additive graphical models | |
B0895: R. Mohammadi | |
Bayesian inference of high-dimensional graphical models: Application to brain connectivity |
Session EO084 | Room: G3 |
Statistical methods for risk management in finance and insurance | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Hideatsu Tsukahara | Organizer: Hideatsu Tsukahara |
B0528: A. Alexander John McNeil | |
Spectral backtests of forecast distributions with application to risk management | |
B0758: D. Kurisu | |
Detecting factors of quadratic variation in the presence of microstructure noise | |
B1328: S. Mittnik, D. Mao | |
Tail-risk aggregation | |
B1132: H. Tsukahara | |
A copula approach to spatial econometrics with applications to finance | |
B1450: P. Walker, M. Paolella | |
Financial systemic risk prediction with non-Gaussian orthogonal-GARCH models |
Session EO508 | Room: G5 |
Retrospective synthetic clinical trials to find new lives for old drugs | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Roy Welsch | Organizer: Roy Welsch |
B1973: M. Albers | |
Harnessing machine learning, chemoproteomics, and in silico drug trials to repurpose drugs for Alzheimer's disease | |
B1752: B. Zheng, B. Su | |
Metformin and risk of dementia incidence among 0.2 million diabetes patients: an EHR-based cohort study | |
B1950: S. Xu, S. Finkelstein, R. Welsch, B. Su, B. Zheng, M.-L. Charpignon, I. Tzoulaki | |
Repurpose anti-diabetic drugs for cancer based on causal evidence | |
B1868: B. Vakulenko-Lagun, R. Betensky, S. Das, M.-L. Charpignon, C. Magdamo, Y.-H. Sheu, D. Blacker, M. Albers | |
Competing risks framework for repurposing of drugs | |
B1917: A. AlShehhi | |
Identifying dementia prognostic factors among diabetes individuals | |
B1992: S. Finkelstein | |
Discussion for Session EO508 |
Session EO462 | Room: MAL G13 |
The Stein method and statistics | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Robert Gaunt | Organizer: Robert Gaunt |
B1469: A. Anastasiou, G. Reinert | |
Bounds for the asymptotic distribution of the likelihood ratio | |
B1475: F. Ghaderinezhad | |
To choose or not to choose a prior? That's the question! | |
B0964: B. Berckmoes, A. Ivanova, G. Molenberghs | |
On asymptotic normality in estimation after a group sequential trial | |
B0745: A. Kumar, N.S. Upadhye | |
Pseudo-binomial Approximation to $(k1, k2)$-runs | |
B0786: N.S. Upadhye, A. Kumar, P. Vellaisamy | |
Approximations related to sum of $m$-dependent random variables |
Session EO290 | Room: MAL G14 |
Computational Statistics in distribution theory | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Andriette Bekker | Organizer: Andriette Bekker |
B0397: P. Nagar, A. Bekker, M. Arashi | |
Circular mean variance mixture models | |
B0837: L. Minkova | |
Geometric Polya-Aeppli process | |
B1152: C. Geldenhuys, R. Ehlers | |
Inference of the weighted type I and type II bivariate Polya-Aeppli distributions | |
B1162: R. Ehlers, C. Geldenhuys | |
Weighted type I and type II bivariate Polya-Aeppli distributions | |
B1269: J. Ferreira, A. Bekker | |
Bayesian estimation of a generalised entropy functional using alternative Dirichlet priors |
Session EO655 | Room: MAL G15 |
Recent developments in Bayesian causal inference | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Genevieve Lefebvre | Organizer: Genevieve Lefebvre |
B0690: S. Geneletti, G. Baio, J. Pina-Sanchez, A. OKeeffe, S. Richardson, F. Ricciardi, J.P. Gosling | |
Prior constraints in estimation of causal effects in natural experiments | |
B0980: A. Beliveau, S. Pocol | |
Modeling baseline treatment effects in Bayesian network meta-analysis of disconnected networks | |
B1121: L. McCandless | |
Bayesian analysis of correlated exposure biomarkers subject to a limit of detection | |
B1204: A. Mattei, M. Bia, A. Mercatanti | |
Assessing causal effects in a longitudinal observational study with truncated outcomes and nonignorable missing data |
Session EO076 | Room: MAL G16 |
Dependence models and copulas | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Fabrizio Durante | Organizer: Wolfgang Trutschnig, Fabrizio Durante |
B1715: M. Crispino, S. Girard, J. Arbel | |
Dependence properties and Bayesian inference for asymmetric multivariate copulas | |
B0430: C. Garcia Gomez, A. Perez Espartero, M. Prieto-Alaiz | |
Copula-based analysis of multivariate dependence patterns between dimensions of poverty in Europe | |
B0821: F. Griessenberger, W. Trutschnig | |
Quantifying and estimating asymmetric dependence | |
B1030: E. Perrone | |
Geometric structure in dependence models and applications |
Session EO612 | Room: CLO 101 |
Advances in high-dimensional statistics | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Rajen D Shah | Organizer: Rajen D Shah |
B0281: J. Lederer | |
Tuning parameter calibration for large and high-dimensional data | |
B0848: C. Leng, M. Chen, K. Kato | |
Analysis of networks via the sparse beta-model | |
B0909: B.G. Stokell, R.J. Tibshirani, R.D. Shah | |
Regression with high-dimensional categorical data using nonconvex penalties | |
B1043: H. Battey | |
Covariance structure induced by sparsity in non-standard domains | |
B1106: D. Cevid, P. Buehlmann, N. Meinshausen | |
Spectral deconfounding |
Session EO090 | Room: CLO 102 |
Shrinkage methods for large time series models | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Ines Wilms | Organizer: Ines Wilms |
B0549: A. Dufays, J. Rombouts, Y. Song, Z. Li | |
Sparse change-point VAR models | |
B0570: E. Wijler, S. Smeekes | |
Sparse single-equation error correction models in high dimensions | |
B0632: S. Ryan, R. Killick | |
Detecting changes in the covariance structure of high dimensional time series using random matrix theory | |
B0830: R. Adamek, I. Wilms, S. Smeekes | |
Desparsified lasso in time series | |
B1182: C.L. Mueller, Z. Kurtz | |
Penalized graphical models for cross-sectional and longitudinal microbiome data |
Session EO298 | Room: Court |
Issues in contemporary clustering | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Taps Maiti | Organizer: Bertrand Clarke |
B0515: C. Tortora | |
On model-based learning and directional outlier detection | |
B0839: A. Murua, F. Quintana | |
A semiparametric Bayesian model for biclustering | |
B1092: N.-H. Kim, R. Browne | |
Effect of penalisation on a mixture of factor analysers | |
B1381: B. Seo, J. Li, L. Lin | |
Optimal transport, mean partition, and uncertainty assessment in cluster analysis | |
B1471: B. Franczak | |
Model-based learning via mixtures of contaminated shifted asymmetric Laplace distributions |
Session EO468 | Room: Jessel |
Structural changes in multivariate and high-dimensional data | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Piotr Fryzlewicz | Organizer: Piotr Fryzlewicz |
B0626: L. Chu, H. Chen | |
Asymptotically distribution-free change-point detection for multivariate and non-Euclidean data | |
B0824: A. Kostic, P. Fryzlewicz | |
Identifying coordinates with change in high-dimensional panel data using tail-summed scores | |
B0974: A. Safikhani, G. Michailidis | |
A block segmentation scheme for structural break detection in large scale high-dimensional non-stationary VAR models | |
B1114: L. Chen, W. Wang, W.B. Wu | |
Inference of break-points in high-dimensional time series | |
B1470: P.-S. Zhong, S. Santo | |
Covariance change point detection and identification with high-dimensional functional data |
Session EO372 | Room: MAL 152 |
Estimation and hypothesis testing for dependent stochastic processes | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Salim Bouzebda | Organizer: Mohamed Chaouch, Salim Bouzebda |
B0279: T. El Hadjali, S. Bouzebda, B. Nemouchi | |
Uniform in bandwidth convergence rate of the kernel regression estimator adaptive to intrinsic dimension | |
B0331: M.D. Fall | |
A dependent stochastic process in Bayesian nonparametrics | |
B0406: A. Amiri | |
Nonparametric regression for locally stationary functional data | |
B0443: G. Toulemonde, J.-N. Bacro, T. Opitz | |
A space-time process for extremes: Application to precipitation data | |
B0490: Y. Boubacar Mainassara | |
Modified portmanteau tests for ARMA models with dependent errors |
Session EO474 | Room: MAL 153 |
Computation and likelihood in biostatistical and environmental models | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Anuradha Roy | Organizer: Anuradha Roy |
B0272: C. Drago | |
Log concave densities in symbolic data analysis | |
B0647: T.-I. Lin | |
Mixtures of factor analyzers with covariates for clustering multiply censored dependent variables | |
B0730: R. Khattree | |
A new all-purpose generic transformation with applications in multivariate modelling and missing value imputation | |
B0903: I. Zezula, D. Klein | |
Testing multiple means in two-level compound symmetry multivariate data | |
B1354: J. Shults | |
Overcoming challenges in the analysis of longitudinal discrete data |
Session EO667 | Room: Senate |
Communicating statistics and data science to the masses | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Jennifer Green | Organizer: Jennifer Green |
B1128: J. Utts | |
Communicating controversial statistical results to the public | |
B1212: L. Vittert | |
Clickbait, fake news, and accidental misleads | |
B1272: R. Nuzzo | |
Writing for newspapers, magazines, and comics | |
B1319: T. Butterworth | |
If data-driven journalism is the future, what do journalists need to know about statistics | |
B1600: K. Schmid | |
You have been asked to talk to the media, now what? |
Session EO322 | Room: CLO 203 |
Recent development in experimental designs and industrial statistics | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Chang-Yun Lin | Organizer: Chang-Yun Lin |
B1350: R. Fontana, P. Semeraro | |
Representation of multivariate Bernoulli distributions with a given set of specified moments | |
B1388: P.-W. Tsai, S. Gilmour | |
Two-level block designs under model uncertainty | |
B1391: S. Gilmour, L. Trinca, H. Oliveira, C. Oliveira | |
Prediction properties of optimum response surface designs | |
B1404: R.-B. Chen | |
Optimal non-collapsing space-filling designs for irregular experimental regions | |
B1437: R. Lekivetz | |
Construction, properties, and analysis of group-orthogonal supersaturated designs |
Session EO114 | Room: CLO 204 |
Novel statistical methods and applications for medical data | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Mihye Ahn | Organizer: Chae Ryon Kang, Mihye Ahn |
B1861: M. Ahn | |
A dimension reduction method for group analysis of functional neuroimaging data | |
B1753: S. Lee | |
Age related network efficiency and the role of multi-modal neural underpinning | |
B1944: A. Schissler, A. Knudson | |
On simulating ultra high-dimensional multivariate data | |
B1601: C.R. Kang, H. Janes, P. Tajik, H. Groen, B. Mol | |
Evaluation of biomarkers for treatment selection using individual participant data from multiple clinical trials | |
B1959: M.J. Ha, V. Baladandayuthapani, F. Stingo | |
Graphical models for data integration and mediation analysis |
Session EO556 | Room: MAL 253 |
Uncertainty in weather, climate, and hydrological forecasts | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Annette Moeller | Organizer: Annette Moeller |
B0284: R. Buizza | |
Ensemble methods for weather prediction | |
B0671: S. Vannitsem, J. Demaeyer | |
Statistical postprocessing under model and climate changes: A challenge | |
B0234: S. Buschow, P. Friederichs | |
Using wavelets to verify the correlation structure of meteorological forecast fields | |
B0327: S. Baran, S. Hemri, M. El Ayari | |
Statistical post-processing of water level forecasts | |
B0393: S. Hemri, C. Spirig, J. Bhend, J. Rajczak, L. Moret, M. Liniger | |
Spatially consistent postprocessing of probabilistic cloud cover forecasts |
Session EC812 | Room: MAL 254 |
Contributions in spatial statistics | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Anastassia Baxevani | Organizer: CMStatistics |
B1639: K. Khan, C. Calder | |
Restricted spatial regression methods: Implications for inference | |
B1642: C. Muehlmann, K. Nordhausen, H. Oja | |
Supervised dimension reduction for spatial data | |
B1034: I. Fabris-Rotelli, R. Kirsten, G. Breetske | |
Re-examining the similarity threshold of Andresen's spatial point pattern S-Index | |
B1739: I. Marques, T. Kneib, N. Klein | |
Non-stationary wrapped Gaussian processes with sparse precision matrices | |
B0208: A. Garcia-Perez | |
Robust cross-variogram estimators and their distributions |
Session EC799 | Room: MAL 354 |
Contributions in statistical modelling II | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Inmaculada Barranco-Chamorro | Organizer: CMStatistics |
B1567: R. Ascari, S. Migliorati, E. Buono | |
A new regression model for discrete data allowing for overdispersion | |
B0185: M. Prieto-Alaiz, C. Garcia Perez, F.J. Callealta Barroso | |
Modelling income distribution using the log Student t distribution: New evidence for EU countries | |
B1762: J.-J. Jeon | |
Regularized Babington-Smith ranking model | |
B0315: K. Fujisawa, K. Tahata | |
On generalized marginal inhomogeneity model for multidimensional contingency tables | |
B1866: M. Takagishi | |
New nonparametric approach to correct response bias on ordinal categorical data using Anchoring vignette |
Session EC807 | Room: MAL 355 |
Contributions in multivariate statistics | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Ioulia Papageorgiou | Organizer: CMStatistics |
B0194: J. Nzabanita, D. von Rosen, M. Singull | |
The MLE-3D algorithm for the 2-fold growth curve model | |
B1852: I. Takasawa, K. Tanioka, H. Yadohisa | |
Structural equation modeling considering cluster structure | |
B1652: A. Nakashima, K. Adachi | |
Three-mode PCA for finding a solution intermediate between Tucker3 and Parafac | |
B1879: N. Shutoh | |
Asymptotic distribution of the linear discriminant function with two-step monotone sample | |
B1858: Y. Morioka, K. Tanioka, H. Yadohisa | |
Mixture of factor analyzers for NMAR missing data |
Session EG267 | Room: MAL 251 |
Contributions on statistics for insurance and actuarial sciences | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Udi Makov | Organizer: CMStatistics |
B0859: Y. Shimizu | |
Why does the human die: Cohort-wise mortality prediction under the survival energy hypothesis | |
B1574: N. Hong, R. Ho, G. Tzougas | |
The Poisson-Lognormal regression model for mean and dispersion with an application to insurance ratemaking | |
B1895: C. Kleiber | |
Some moment-indeterminate distributions from actuarial science | |
B1931: G. Tzougas, D. Karlis | |
A general family of mixed exponential models applied to heavy-tailed losses | |
B1569: C. Ramsay, V. Oguledo | |
Optimal design of long term care insurance for Medicaid seniors using a multi-state Markov model of mortality/morbidity |
Parallel session H: CFE | Sunday 15.12.2019 | 10:50 - 12:55 |
Session CI845 | Room: Beveridge Hall |
Advances in forecasting | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Michael Owyang | Organizer: Michael Owyang |
A0169: M. Owyang | |
Scenario forecasting with the conditional probit | |
A0179: A. Galvao | |
Measuring the effects of expectations shocks | |
A0182: M. McCracken | |
Tests of conditional predictive ability: Some simulation evidence |
Session CO606 | Room: MAL B02 |
Econometric studies of commodity prices and futures | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Martin Stefan | Organizer: Pierre Siklos |
A1079: A. Puetz, C. Sulewski, M.T. Bohl | |
Speculation and the informational efficiency of commodity futures markets | |
A1588: T. Vollmer, S. von Cramon-Taubadel | |
The influence of Brazilian exports on price transmission processes in the coffee sector: A Markov-switching approach | |
A1733: N. Kellard, S. Astill, I. Korkos | |
Testing for bubbles in commodity spot and futures using a co-explosive autoregression | |
A1767: P. Prange, D. Baur, K. Schweikert | |
Flight to quality: Gold mining shares versus gold bullion | |
A1884: C. Sulewski, P. Siklos, A. Puetz | |
Who pays the piper calls the tune: Networks and transaction costs in commodity markets |
Session CO412 | Room: MAL B04 |
Models of dependence, heavy tails and financial networks | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Rustam Ibragimov | Organizer: Rustam Ibragimov |
A0342: R. Bu | |
Oil prices and U.S. stock market dependence: A mixed-frequency data sampling copula approach | |
A0370: A. Skrobotov, R.S. Pedersen, R. Ibragimov | |
New measures of volatility clustering, nonlinear dependence and market (non-)efficiency | |
A0586: M. Jaser, A. Min | |
A simple non-parametric goodness-of-fit test for elliptical copulas | |
A0784: K. Abduraimova | |
Contagion in complex financial networks | |
A1263: R.S. Pedersen | |
Characterization of the tail behavior of a class of BEKK processes |
Session CO478 | Room: MAL B18 |
Commodities finance | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Julien Chevallier | Organizer: Julien Chevallier |
A0319: C. Urom, J. Chevallier | |
A dynamic conditional regime-switching GARCH CAPM for energy and financial markets | |
A0460: N. Rubino | |
A panel study of the effect of commodity price levels and volatility on the real exchange rates | |
A0470: M. Bonato | |
Realized correlations, betas and volatility spillover in the agricultural commodity market: What has changed | |
A0548: C. Wegener, R. Kruse-Becher, T. Nguyen-Huu | |
Investigating bubbles in commodity prices by market expectations and determinants of dynamic persistence | |
A1935: Y. Le Pen, B. Sevi | |
Behavioral, fundamentals and market determinants of the correlation between asset classes |
Session CO206 | Room: MAL B20 |
Large panel models: Estimation and inference | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Kunpeng Li | Organizer: Ying Fang, Degui Li |
A0326: I. Casas, J. Gao, S. Xie, B. Peng | |
Time-varying income elasticities of healthcare expenditure for the OECD and the Eurozone | |
A0855: K. Li, K. Miao, L. Su | |
Panel threshold models with interactive fixed effects | |
A0893: Q. Xu, C. Zongwu, Y. Fang | |
Functional-coefficient panel data models with cross-sectional dependence with an application to asset pricing | |
A1751: M.R. Yeganegi | |
Large panel time series forecasting using functional model | |
A1997: C. Huang, W. Wang, V. Chernozhukov, W.K. Haerdle | |
LASSO-Driven Inference in Time and Space |
Session CO378 | Room: MAL B35 |
Non-standard analysis of non-linear time series | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Anurag Banerjee | Organizer: Anurag Banerjee |
A0209: J.-Y. Pitarakis | |
A novel approach to predictive accuracy testing in nested environments | |
A0233: F. Bec, H.B. Nielsen, S. Saidi | |
Mixed causal-noncausal autoregressions: Bimodality issues in estimation and unit root testing | |
A0568: X. Wang, A. Banerjee | |
Bandwidth choice in functional cointegration | |
A0780: M. Hirukawa | |
Time-series GMM estimation with missing observations: A comparison of two alternative models | |
A1668: J. Gonzalo, J.Y. Peng | |
Multiple long-run equilibria through cointegration eyes |
Session CO685 | Room: MAL B36 |
Statistical learning in macroeconomics and finance | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Henri Nyberg | Organizer: Henri Nyberg |
A0484: T. Virtanen, H. Kauppi | |
Boosting non-linear predictability of macroeconomic time series | |
A0511: J. Becker, C. Leschinski | |
Directional predictability of daily stock returns | |
A0558: A. Chudziak | |
How stock returns predictability using a simple neural network changes over time | |
A0618: L. Nevasalmi | |
Forecasting multinomial stock returns using machine learning methods | |
A0897: H. Nyberg, H. Kauppi | |
Semiparametric selection and optimal weighting of leading economic indicators |
Session CO236 | Room: G4 |
New empirical approaches to long run growth | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Peter Pedroni | Organizer: Peter Pedroni |
A0775: M. Klemp, O. Galor | |
Local population diversity | |
A0872: C. Muller, C. Hannafi | |
Poverty, GDP per capita and health in developing countries: Panel cointegration results with selection | |
A1063: P. Pedroni, E.M. Cervellati, G. Meyerheim, U. Sunde | |
The long-run dynamics of income and inequality | |
A1010: U. Sunde, G. Meyerheim, P. Pedroni | |
The long-run dynamics of capital-skill complementarity | |
A1110: G. Meyerheim, P. Pedroni, U. Sunde | |
Is economic growth really over? A contribution to the secular stagnation debate |
Session CO472 | Room: Gordon |
EcoSta journal Part A: Econometrics | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Alessandra Amendola | Organizer: Erricos Kontoghiorghes |
A1942: G. Gallo, A. Amendola, V. Candila, F. Cipollini | |
Combining different frequencies in modeling non--negative processes: The MEM-MIDAS | |
A0683: J. Jacobs, B. Abeln | |
Seasonal adjustment of high-frequency data | |
A1655: R. Laviste, D. Maringer | |
The portfolio regression approach to mean-variance analysis via the elastic net | |
A1725: S. Paterlini, P.J. Kremer, D. Brzyski, M. Bogdan | |
Sparse index tracking via the sorted $\ell_{1}$ - norm | |
A1556: R. Gerlach, W. Chen, G. Peters, S. Sisson | |
Dynamic quantile function models |
Session CO785 | Room: Montague |
Understanding the cross section of stock returns | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Julien Penasse | Organizer: Julien Penasse |
A0260: A. Neuhierl, A. Chinco, M. Weber | |
Estimating the anomaly baserate | |
A0255: J. Penasse | |
Understanding alpha decay | |
A0264: T. de Oliveira Souza | |
A critique of momentum anomalies | |
A0649: S. Bryzgalova, M. Pelger, J. Zhu | |
Forest through the trees: Building cross-sections of stock returns | |
A1049: C. Sarisoy, P. de Goeij, B. Werker | |
Linear factor models and the estimation of expected returns |
Session CO470 | Room: Woburn |
Applied international macroeconomics | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Mariarosaria Comunale | Organizer: Mariarosaria Comunale, CFE |
A0312: M. Comunale | |
Shock dependence of exchange rate pass-through: A comparative analysis of BVARs and DSGEs | |
A0344: D. Kaufmann | |
Shocking interest rate floors | |
A0488: P. Lastauskas, A. Proskute, A. Zaldokas | |
On how firms adjust when trade stops: Labor market, industrial linkages, and macroeconomic effects | |
A1609: G. Voucharas, T. Panagiotidis | |
Revisiting the manufacturing-led growth hypothesis: A quantile regression approach | |
A1590: B. Sy, S.J. Villejo, R. Lacaza | |
Impact of regional trade agreements on trade creation and trade diversion using the structural gravity model |
Session CO244 | Room: Chancellor's Hall |
Environmental econometrics | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Simone Maxand | Organizer: Simone Maxand |
A0616: D. Hendry, J.L. Castle | |
Econometrics for climate modelling | |
A1288: J.K. Kurle | |
Modelling emissions by saturation estimation | |
A1406: S. Campos Martins, D. Hendry | |
Modelling long-run co-volatilities | |
A1159: F. Dorn, S. Maxand, T. Kneib | |
A panel approach for causalities and the distribution between income inequality and carbon emissions | |
A1022: S. Maxand | |
Economic growth, energy consumption and carbon emissions: Evidence from statistically identified panel SVARs |
Session CC815 | Room: MAL 352 |
Contributions in time series econometrics | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Alessandra Luati | Organizer: CFE |
A1193: H. Kawakatsu | |
Jointly modeling autoregressive conditional mean and variance of positive valued time series | |
A1709: T. Gorshkova | |
Forecasting regional inflation using spatial correlation models | |
A1695: K. Hayakawa, G. Cui, S. Nagata, T. Yamagata | |
A robust approach to heteroskedasticity, serial correlation and slope heterogeneity for large linear panel data models | |
A1916: A. Giovannelli, T. Proietti | |
Nowcasting monthly GDP with big data: A model averaging approach |
Session CG389 | Room: MAL 351 |
Contributions in monetary policy | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Par Osterholm | Organizer: CFE |
A1754: N. Michail, D. Koursaros | |
On the effect of monetary policy on bank behaviour: Evidence from bank credit standards | |
A1829: A. Vaello Sebastia, I. Alonso, P. Serrano | |
The impact of heterogeneous unconventional monetary policy on tail risks | |
A1864: P. Wohlfarth | |
Preferred habitat, policy, and the CIP puzzle | |
A1867: X. Chen | |
Macroeconomic interactions with money in China | |
A1819: H. Rohloff, H. Herwartz | |
Less bang for the buck? Assessing the role of inflation uncertainty for U.S. monetary policy transmission |
Session CG865 | Room: MAL 353 |
Contributions in credit risk | Sunday 15.12.2019 10:50 - 12:55 |
Chair: Jonathan Crook | Organizer: CFE |
A0293: C. Macchiarelli, P. De Grauwe | |
Financial frictions and housing collateral constraints in a macro model with heuristics | |
A0751: R. Latocha | |
Multi-factor model for contingent convertible bonds | |
A1649: P. Brakatsoulas | |
Credit rating downgrade risk on equity returns | |
A1870: D. Cellai, T. Fitzpatrick | |
The network effect in credit concentration risk |
Parallel session I: CMStatistics | Sunday 15.12.2019 | 14:25 - 16:05 |
Session EI014 | Room: Beveridge Hall |
Depth, ensembles and inference | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Peter Rousseeuw | Organizer: Peter Rousseeuw |
B0155: Y. She | |
On a generalization and computation of Tukey's depth | |
B0156: M.-P. Victoria-Feser, S. Guerrier, M. Karemera, S. Orso | |
Accurate parametric inference in high dimensional settings: A step beyond the bootstrap | |
B0157: S. Van Aelst, R. Zamar | |
Ensemble of regularized linear models |
Session EO176 | Room: CLO B01 |
Advanced tools for functional and object data | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Hans-Georg Mueller | Organizer: Hans-Georg Mueller |
B1101: J.-L. Wang | |
Functional snippets | |
B1520: B. Park, I. Van Keilegom, J.M. Jeon | |
Additive regression for predictors of various natures and Hilbertian responses with application to censored/missing data | |
B1261: A. Petersen, S.-Y. Oh, J. Zapata | |
Partial separability and graphical models for multivariate functional data | |
B0196: M. Lopes, Z. Lin, H.-G. Mueller | |
Bootstrapping max statistics in high dimensions: Near parametric rates under weak variance decay and applications |
Session EO584 | Room: Bloomsbury |
Instrumental variables methods | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Babette Brumback | Organizer: Babette Brumback |
B1234: F. Windmeijer, X. Liang, F. Hartwig, J. Bowden | |
The confidence interval method for selecting valid instrumental variables | |
B1295: J. Bowden | |
Bayesian model averaging for two-sample summary data Mendelian randomization in the presence of pleiotropy | |
B1365: E. Goetghebeur, S. le Cessie | |
Three causal lessons from a simulation learner: On SUTVA, instrumental variables and causal estimands | |
B1415: B. Brumback | |
Structural nested models for cluster-randomized trials with cluster-level non-adherence |
Session EO192 | Room: G11 |
Advances in statistical network analysis | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Jonathan Stewart | Organizer: Michael Schweinberger |
B0615: A. Mele, J. Cape, C. Priebe, L. Hao | |
Spectral inference for large stochastic blockmodels with nodal covariates | |
B1180: N. Niezink | |
Modeling the dynamics of social network perceptions | |
B0922: J. Stewart, M. Schweinberger | |
Generalized beta-models with dependent edges and parameter vectors of increasing dimension | |
B1838: S. Chandna, P.-A. Maugis | |
Nonparametric estimation for multiple heterogeneous networks |
Session EO266 | Room: G3 |
Statistical methods applied to insurance and actuarial sciences | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Olivier Lopez | Organizer: Olivier Lopez |
B0183: M. Thomas, J. El Methni | |
A micro-level study of IBNR claims reporting delays using extreme value theory | |
B0252: M. Pesta, M. Maciak, O. Okhrin | |
Micro forecasting | |
B0576: L. Yang | |
Nonparametric copula estimation for mixed insurance claim data | |
B0680: S. Farkas, O. Lopez, M. Thomas | |
Cyber claim analysis through generalized Pareto regression trees with applications to insurance pricing and reserving |
Session EO164 | Room: G5 |
Recent advances in functional and multivariate data analysis | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Yuko Araki | Organizer: Yuko Araki |
B1025: A. Kawaguchi | |
Time course modeling for brain imaging data | |
B1074: T. Misumi, H. Matsui | |
Joint modeling and estimation for multivariate longitudinal data and binary outcome | |
B1107: D. Kong | |
Causal inference in imaging genetics | |
B1270: M. Imaizumi | |
Statistical inference on M-estimators by high-dimensional Gaussian approximation |
Session EO310 | Room: MAL G13 |
Bayesian applications and methods | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Christopher Hans | Organizer: Christopher Hans |
B0407: S. Jensen | |
Modeling crime dynamics and associations with the built environment in Philadelphia | |
B0450: L. House, L. Kodali | |
Evaluating change in learning from different forms of interactive visualizations with a large case study | |
B1306: M. Haran | |
Fast computing for latent Gaussian random field models | |
B1313: C. Calder | |
Community detection in co-location networks |
Session EO128 | Room: MAL G14 |
Advances in Bayesian computation | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Radu Craiu | Organizer: Radu Craiu |
B0448: D. Vats | |
Efficient Bernoulli factory MCMC for intractable likelihoods | |
B0544: M. Vihola, A. Lee, S. Singh | |
On the scalability of conditional particle filters | |
B1003: R. Kohn, M.-N. Tran, D. Gunawan, N. Nguyen | |
A long short-term memory stochastic volatility model | |
B1638: F. Maire | |
Convergence time of some non-reversible MCMC methods |
Session EO338 | Room: MAL G15 |
Track: Bayesian semi- and non-parametric methods II | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Bernardo Nipoti | Organizer: Antonio Canale, Bernardo Nipoti, Raffaele Argiento |
B0625: D. Kowal, A. Canale | |
A simultaneous transformation and rounding approach for modeling integer-valued data | |
B1047: A. Guglielmi, M. De Iorio, S. Favaro, L. Ye | |
Bayesian nonparametric dynamic clustering: An application to gender stereotypes in words | |
B1361: C. Carmona, S. Martinez-Jaramillo | |
Weighted dynamic multi-layer networks via latent Gaussian processes | |
B0596: C. Li, R. Guhaniyogi, T. Savitsky, S. Srivastava | |
Distributed Bayesian inference for varying coefficient spatiotemporal models |
Session EO392 | Room: MAL G16 |
Recent developments in vine copulas | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Thomas Nagler | Organizer: Thomas Nagler, Claudia Czado |
B0742: T. Vatter, N. Tagasovska, D. Ackerer | |
Vine copula autoencoders | |
B0744: T. Nagler, A. Min | |
Vine models for stationary time series | |
B0755: A. Kreuzer | |
Dynamic regular vine copulas with an application to exchange rates dependence | |
B1714: E.A. Kovacs, T. Szantai | |
A new algorithm for finding a good fitting truncated R-vine copula in high dimensions |
Session EO062 | Room: CLO 101 |
Subsampling methods for massive data | Sunday 15.12.2019 14:25 - 16:05 |
Chair: HaiYing Wang | Organizer: HaiYing Wang |
B0454: H. Peng | |
Statistical inference in big data high dimensional generalized estimating equations via optimal subsampling | |
B0823: H. Wang | |
Optimal subsampling: Sampling with replacement vs Poisson sampling | |
B0991: W. Zheng, X. Kong | |
Design based incomplete U-statistics | |
B2000: L. Pronzato, H. Wang | |
Sequential online subsampling for thinning experimental designs |
Session EO096 | Room: CLO 102 |
Complex data in theory and practice | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Johannes Lederer | Organizer: Johannes Lederer |
B0455: L.-X. Qin | |
Statistical assessment of depth normalization methods for microRNA sequencing | |
B0698: K. Hellton | |
Penalized angular regression for personalized predictions | |
B0286: S. Sperlich, E. Mammen | |
Backfitting tests in generalised structured models | |
B1975: L. Zhang, P. Germain, C. Biernacki, Y. Kessaci | |
Domain adaptation from a pre-trained source model |
Session EO659 | Room: Court |
Preparing for the future: PhD programs in statistics education | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Erin Blankenship | Organizer: Erin Blankenship |
Session EO054 | Room: Jessel |
Modern advances in change-point detection | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Andreas Anastasiou | Organizer: Andreas Anastasiou |
B0546: P. Fryzlewicz, R. Baranowski | |
Multiscale autoregression on adaptively detected timescales | |
B0886: A. Betken, M. Wendler | |
Efficiency of rank-based change-point tests for long-range dependent time series | |
B1225: M. Huskova, Z. Hlavka, S. Meintanis | |
Monitoring in one and two sample multivariate situations and some modifications |
Session EO520 | Room: MAL 152 |
Statistical methods for new-age inference problems | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Gourab Mukherjee | Organizer: Peter Radchenko, Gourab Mukherjee |
Session EO578 | Room: MAL 254 |
Computational methods applied to the environment | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Peter Craigmile | Organizer: Peter Craigmile |
B0739: E. Jack, D. Lee, N. Dean | |
Spatio-temporal modelling of respiratory disease risk with changing spatial boundaries | |
B0763: C. Berrett, W. Christensen, S. Sain, N. Sandholtz, D. Coats, C. Tebaldi, H. Lopes | |
Modeling sea level processes on the US Atlantic coast | |
B1302: J. Illian | |
Spatial point processes | |
B1312: S. Guillas | |
Statistical emulation to quantify uncertainties in tsunami modelling using high performance computing |
Session EO510 | Room: Senate |
Modelling extremes | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Holger Rootzen | Organizer: Holger Rootzen |
B1604: C. Mercadier, O. Roustant | |
The tail dependograph | |
B1686: D. Castro-Camilo | |
Practical left-tail correction for the GEV model | |
B1963: R. Kulik | |
Statistical inference for clusters of extremes: Disjoint vs. sliding blocks estimators | |
B1721: L. Trapin, D. Dupuis, S. Engelke | |
Modelling panels of extremes |
Session EO342 | Room: CLO 203 |
Nonparametric and semiparametric inference for directional data | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Davy Paindaveine | Organizer: Davy Paindaveine |
B0711: T.M. Pham Ngoc | |
Adaptive optimal kernel density estimation for directional data | |
B0413: E. Garcia-Portugues, P. Navarro, J.A. Cuesta-Albertos | |
Projection-based uniformity tests for directional data | |
B1161: J.E. Chacon, C. Tenreiro | |
Bandwidth-free pilot pre-smoothing for circular data | |
B1531: M. Di Marzio, S. Fensore, A. Panzera, C.C. Taylor | |
Circular data with error-in-variables |
Session EO092 | Room: CLO 204 |
Statistics in neuroscience I | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Jeff Goldsmith | Organizer: Jeff Goldsmith |
B0198: R. Shinohara | |
Statistical approaches for disentangling the nature of brain lesions | |
B0657: M. Fiecas | |
A grouped Beta process model for multivariate resting-state EEG microstate analysis on twins | |
B0718: J. Wrobel, J. Goldsmith, R. Shinohara, M. Martin | |
Intensity warping for multisite MRI harmonization | |
B1222: E. Sweeney | |
Aging multiple sclerosis lesions on structural magnetic resonance images |
Session EO282 | Room: MAL 251 |
High dimensional and latent variable regression modeling | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Valentin Todorov | Organizer: Valentin Todorov |
B1305: T. Verdonck, S. Hoppner, B. Baesens | |
Instance-dependent cost-sensitive logistic model for detecting transfer fraud | |
B1364: M. Gallo, V. Simonacci | |
A PLS method for seeking canonical correlations in case of perfect multicollinearity | |
B1449: K. Hron, N. Stefelova, J. Palarea-Albaladejo | |
Weighting of logratios in compositional regression | |
B1915: J. Ashwin, M. Ahrens | |
Bayesian topic regression: An econometric model for inference with heterogeneous high dimensional data |
Session EO604 | Room: MAL 252 |
Advances in precision and covariance matrix estimation | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Eugen Pircalabelu | Organizer: Eugen Pircalabelu |
B0807: I. Wilms, S. Aerts | |
Cellwise robust regularized precision matrices for discriminant analysis | |
B0851: Y. Zhao, C. Genest | |
The normal scores estimator for the high-dimensional Gaussian copula model | |
B0937: E. Pircalabelu, G. Claeskens | |
Community detection on precision matrices with group-based penalties | |
B1040: R.D. Shah, B. Frot, G.-A. Thanei, N. Meinshausen | |
RSVP-graphs: Fast high-dimensional covariance matrix estimation under latent confounding |
Session EO348 | Room: MAL 253 |
Societal implications of work in statistics and data science | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Jennifer Hill | Organizer: Ravi Shroff, Jennifer Hill |
B1200: S. Flaxman | |
Bayesian survey design: A new paradigm for social science research | |
B1514: S. Chakraborty | |
A framework to analyze and dissect dissemination of motivated information through social media | |
B1559: A. Chouldechova | |
Evaluating predictive bias in the presence of differential label noise | |
B1560: E. McCoy | |
The effect of London cycle superhighways on traffic congestion |
Session EO056 | Room: SH349 |
Sport analytics | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Andreas Groll | Organizer: Andreas Groll |
B0250: C. Ekstrom | |
Evaluating sports tournament predictions | |
B0289: U. Brefeld | |
Analyzing positional data from soccer games with deep reinforcement learning | |
B0386: H. Van Eetvelde, A. Groll, C. Ley, G. Schauberger | |
A hybrid random forest to predict soccer matches in international tournaments | |
B0833: M. Oetting, A. Groll | |
A regularized hidden Markov model for analysing the ``hot shoe'' in football |
Session EC814 | Room: G21A |
Contributions in biostatistics | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Mireille Schnitzer | Organizer: CMStatistics |
B1250: L. Valeri, C. Proust-Lima, H. Jacqmin-Gadda | |
Mediation analysis when outcome and mediator are semi-competing events with application in health disparities research | |
B1621: J. Klaschka, M. Maly, A. Sipek | |
Interval estimates of event probability from pairwise correlated data: Application in epidemiology of birth defects | |
B1723: T. Nakatsu, T. Kamakura | |
Variable selection method for the logistic regression model using a model-X knockoffs algorithm | |
B1909: A.P. Rocha, C. Amado, A. Martins, M.E. Silva | |
Multivariate and multiscale complexity of long-range correlated cardiovascular variability signals |
Session EC810 | Room: MAL 355 |
Contributions in statistical learning methods and applications | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Charles C Taylor | Organizer: CMStatistics |
B1926: P. Coretto, L. Coraggio | |
Resampling methods for comparing clustering solutions | |
B1830: S. Tonini | |
The evaluation of statistical learning models in macroeconomic time series | |
B1793: S. Moon, J.-J. Jeon, J.S.H. Lee, Y. Kim | |
Learning multiple quantiles with neural networks | |
B1928: M. Godard, C. Mante, C. Guinet, D. Nerini | |
Predicting shape of dives of Southern elephant seals using functional regression tree models |
Session EG571 | Room: MAL 354 |
Contributions in clustering and classification | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Christian Hennig | Organizer: CMStatistics |
B1595: A. Alharbi, F. Coolen, T. Coolen-Maturi | |
A new split criterion for classification trees with binary data | |
B1598: M. Alrasheedi, T. Coolen-Maturi, F. Coolen | |
Classification trees with NPI-based thresholds | |
B1766: M. Nai Ruscone, A. Dambrosio | |
Non-metric unfolding on augmented data matrix: A copula-based approach | |
B1893: A. Svetlosak, R. Calabrese, M. de Carvalho | |
A customer segmentation method for UK open banking-type data |
Session EP002 | Room: Macmillan Hall and Crush Hall |
Poster session CMStatistics I | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Elena Fernandez Iglesias | Organizer: CMStatistics |
Parallel session I: CFE | Sunday 15.12.2019 | 14:25 - 16:05 |
Session CI020 | Room: Chancellor's Hall |
Invited Session 2 | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Marcelo Fernandes | Organizer: Walter Distaso |
A0166: V. Corradi | |
Quantile forecast evaluation: An application to growth-at-risk | |
A0167: M. Fernandes, C. Scherrer, G. Dias | |
Price discovery and market microstructure noise | |
A0168: M. Caporin, D. Erdemlioglu, S. Nasini | |
High dimensional influences and financial contagion |
Session CO214 | Room: MAL B04 |
Risk modelling in equity and option markets | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Jose Olmo | Organizer: Jose Olmo |
A0641: J. Arteche, J. Garcia | |
Singular spectrum analysis for value at risk evaluation in stochastic volatilty models | |
A0985: R. McGee, R. McGee, J. Olmo | |
Optimal quantitative risk factors | |
A1096: M. Kratz | |
On market price extremes of underlying shares in the options market | |
A1846: J. Olmo, H. Calvo-Pardo, T. Mancini | |
Granger-causality detection in high-dimensional systems using feedforward neural networks |
Session CO396 | Room: MAL B20 |
Economics of cryptocurrencies | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Marco Lorusso | Organizer: Marco Lorusso, Francesco Ravazzolo |
A0741: L. Kristoufek | |
Will Bitcoin mining lead to global environmental catastrophe? | |
A1341: M. Gronwald | |
Another look at cryptocurrency bubbles | |
A0503: P. De Pace, J. Rao | |
Comovement and bubbles in cryptocurrency markets | |
A0697: M. Lorusso, F. Ravazzolo, S. Asimakopoulos | |
A new economic framework: A DSGE model with cryptocurrency |
Session CO649 | Room: MAL B35 |
Inflation dynamics | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Edward Knotek | Organizer: Edward Knotek |
A0572: E. Knotek, S. Zaman | |
Real-time density nowcasts of U.S. inflation: A model-combination approach | |
A0693: P. Osterholm, R. Edvinsson, S. Karlsson | |
Does money growth predict inflation: Evidence from vector autoregressions using four centuries of data | |
A0777: C. Fulton, K. Hubrich | |
Forecasting US inflation in real-time | |
A1326: J. Mitchell, M. Weale | |
Forecasting with unknown unknowns: Censoring and fat tails on the Bank of England's monetary policy committee |
Session CO246 | Room: MAL B36 |
Uncertainty and text analysis | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Svetlana Makarova | Organizer: Wojciech Charemza, Svetlana Makarova |
A0811: E. Gabor-Toth | |
Economic policy uncertainty and stock market participation | |
A1558: M. Holda | |
Newspaper-based economic uncertainty indices for Poland | |
A0912: V. Larsen | |
Components of uncertainty | |
A0915: S. Makarova, W. Charemza, K. Rybinski | |
Country-specific uncertainty indices and machine learning: The case of Russia |
A1632: A. Soberon, D. Henderson, J.M. Rodriguez-Poo | |
Nonparametric multi-dimensional fixed effects panel data models | |
A1625: D. Henderson, A. Soberon | |
Inference for multidimensional nonparametric panel data models | |
A1476: J. Schnurbus, H. Haupt | |
Semi- and nonparametric modeling of environmental time series distributions | |
A1485: M. Fritsch, J. Schnurbus, A.A.Y. Pua | |
Practical aspects of using nonlinear moment conditions in linear dynamic panel data models |
Session CO864 | Room: Montague |
Topics in financial econometrics II | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Leopold Soegner | Organizer: Joern Sass, Leopold Soegner |
A0783: D. Hosszejni, G. Kastner | |
Efficient Bayesian estimation of the stochastic volatility model with leverage | |
A1002: M. Scholz, J.P. Nielsen, I. Kyriakou, P. Mousavi | |
Forecasting benchmarks of long-term stock returns via machine learning | |
A1439: P. Gersing, M. Deistler | |
A subspace estimator for mixed frequency VAR systems | |
A0282: R. Hizmeri, A.-M. Dumitru, M. Izzeldin | |
Forecasting the realized variance in the presence of intraday periodicity |
Session CO232 | Room: Woburn |
Macroeconomic policy | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Michael Owyang | Organizer: Michael Owyang |
A0609: N. Traum | |
The Macroeconomic Effects of Carbon Taxes: The Role of Investment and Emission Rate Heterogeneity | |
A1055: A. Guisinger, M. Owyang, M. McCracken | |
Revisiting the Fed's forecasting advantage | |
A1483: K. Dilts Stedman | |
Unconventional monetary policy, (a)synchronicity and the yield curve | |
A1998: E. Wolcott | |
Impact of foreign official purchases of U.S. treasuries on the yield curve |
Session CO254 | Room: MAL 153 |
Multivariate quantile models | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Gabriel Montes-Rojas | Organizer: Gabriel Montes-Rojas |
A0427: G. Montes-Rojas | |
On the distribution of impulse-response functions in macroeconomic shocks | |
A0686: Y. Zu, D. Harvey, S. Leybourne | |
Nonparametric estimation of the variance function in an explosive autoregressive model | |
A0849: A. Galvao | |
On the unbiased asymptotic normality of quantile regression with fixed effect | |
A0189: A. Atak, G. Montes-Rojas, Y. Zhang, J. Olmo | |
Partially linear quantile regression model with time-varying loadings |
Session CC822 | Room: MAL B02 |
Contributions in asset pricing | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Thomas Conlon | Organizer: CFE |
A0394: C. Chorro | |
Discriminating between GARCH models for option pricing by their ability to compute accurate VIX measures | |
A1693: J. Kurka, J. Barunik | |
Horizon-specific risks, higher moments, and asset prices | |
A1808: F. Cech, J. Barunik | |
Dynamic quantile model for bond pricing | |
A0334: T. Kobayashi | |
Global bond market interaction: An arbitrage-free dynamic Nelson Siegel modeling approach |
Session CC821 | Room: MAL 351 |
Contributions in portfolio optimization I | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Abraham Lioui | Organizer: CFE |
A1605: M. Sahamkhadam, A. Stephan, R. Ostermark | |
Dynamic Black Litterman copula based optimal portfolios with tail constraints | |
A1486: S. Anyfantaki, N. Topaloglou, E. Maasoumi, J. Ren | |
Stochastic dominance inefficiency tests | |
A1606: J. Soehl, D. Paulsen | |
A new information criterion for the Sharpe ratio | |
A1660: E. Thorsen, T. Bodnar, N. Parolya, H. Dette | |
Sampling distributions of optimal portfolio weights and characteristics in low and large dimensions |
Session CC828 | Room: MAL 352 |
Contributions in empirical macroeconomics | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Damjan Pfajfar | Organizer: CFE |
A1896: M. Scharnagl, M. Mandler | |
Estimating the effects of the Eurosystem's asset purchase programme at the country level | |
A1347: E. Atta Arsanious Ghaprial, A. Mabrouk | |
Investigating the determinants of exchange rate stability | |
A0445: L.J. Alvarez, A. Gomez-Loscos, L. Gadea | |
Low inflation in advanced economies | |
A1671: P. Tzika, S. Fountas | |
Economic policy uncertainty spillovers in Europe and Greece |
Session CG203 | Room: MAL 353 |
Contributions in high-frequency econometrics | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Markus Bibinger | Organizer: CFE |
A0553: A. Santos | |
Likelihood evaluation through particle filter methods for high-frequency stochastic volatility models | |
A1897: M. Stapper, A. Masuhr | |
Sources of global trading activity: A dynamic factor model for multivariate stock-market data | |
A1983: Y. Luo, Z. Wei | |
The impact of periodicity on volatility-volume relations | |
A1443: X. Xue, E. Lazar | |
Forecasting risk measures using intraday data in a generalized autoregressive score framework |
Session CP001 | Room: Macmillan Hall and Crush Hall |
Poster session CFE | Sunday 15.12.2019 14:25 - 16:05 |
Chair: Elena Fernandez Iglesias | Organizer: CFE |
A1633: Y. Onishi, K. Irie, S. Sugasawa | |
Efficient Bayesian computation for modeling dynamic counts | |
A1726: R. Hendrych | |
State space models for stochastic claims reserving | |
A1821: T. Toyabe, K. Asaba, T. Nakatsuma | |
Modeling financial durations with limit order book information | |
A1826: M. Nakakita, T. Nakatsuma | |
Bayesian modeling of high frequency stochastic volatility with intraday seasonality and skew heavy-tailed error | |
A1913: L. Vacha, J. Barunik | |
Machine learning solution of dynamic models with rational inattention | |
A1494: P. Andreou, N. Lambertides, C. Andreou | |
Financial distress risk and stock price crashes | |
A2038: P. Grau, L.M. Doncel | |
Analysis of the cryptocurrencies market evolution using networks | |
A2042: L. Bielak, A. Wylomanska | |
Long-term prediction of the metals prices using non-Gaussian time-inhomogeneous stochastic process |
Parallel session J: CMStatistics | Sunday 15.12.2019 | 16:35 - 18:15 |
Session EI016 | Room: Beveridge Hall |
Measurement error models and beyond | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Wenqing He | Organizer: Grace Yi |
Session EO711 | Room: CLO B01 |
Functional and shape data analysis | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Anuj Srivastava | Organizer: Anuj Srivastava |
B0447: I. Dryden, K.-R. Kim, H. Le | |
Smoothing splines on Riemannian manifolds, with applications to 3D shape space | |
B0452: P. Harms | |
Curvature correction for distance-based learning on shape space | |
B1014: J. Strait | |
The use of landmarks within elastic planar shape analysis | |
B0480: B. Ben Amor, N. Hosni, H. Drira, F. Chaieb | |
Functional PCA on shape space for gait analysis and assessment |
Session EO697 | Room: MAL B02 |
Statistical methods for risk management | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Marie Kratz | Organizer: Marie Kratz |
B0571: J. Hambuckers, L. Mhalla, M. Lambert | |
Tail risk and style dependence in the fund industry: A multivariate extreme value approach | |
B0627: J. Neslehova, K. Herrmann, M. Hofert | |
Extremes of extendible random vectors | |
B0787: A. Dias | |
Risk aggregation and the effect of reinsurance | |
B1097: M. Brautigam, M. Kratz | |
(F)CLT for functionals of quantile and dispersion estimators: Applications in risk management |
Session EO542 | Room: MAL B04 |
Topics on dimension reduction and kernel methods | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Andreas Artemiou | Organizer: Andreas Artemiou |
B0388: S.J. Shin | |
A weighted learning approach for sufficient dimension reduction in binary classification | |
B0396: E. Christou | |
Central quantile subspace | |
B0640: J. Song, B. Li | |
On sufficient dimension reduction for functional data | |
B1995: B. Jones, A. Artemiou, B. Li | |
The predictive power of kernel principal components regression |
Session EO600 | Room: MAL B18 |
Methods for missing data | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Anders Lundquist | Organizer: Anders Lundquist |
B0766: J. Kuha | |
Latent class response propensity models for non-ignorable item nonresponse in surveys | |
B0952: M. Josefsson | |
Estimating the population partly conditional mean using longitudinal cohort data with non-ignorable drop-out | |
B1254: M. Doretti, S. Geneletti, E. Stanghellini | |
Missing data: A unified taxonomy guided by conditional independence | |
B1279: A. Linero, M. Daniels | |
Bayesian nonparametric methods for longitudinal outcomes missing not at random |
Session EO677 | Room: MAL B20 |
Causal inference using observational longitudinal data | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Shaun Seaman | Organizer: Shaun Seaman |
B1455: A. Ertefaie, R. Strawderman | |
Robust Q-learning | |
B1427: P. Samartsidis, S. Seaman, S. Montagna, A. Charlett, M. Hickman, D. De Angelis | |
A Bayesian factor analysis model for evaluating an intervention using observational panel data on multiple outcomes | |
B0990: R. Keogh, S. Seaman, J.M. Gran, S. Vansteelandt | |
Using sequential trials to estimate treatment effects in longitudinal observational data | |
B0809: S. Seaman, S. Seaman, O. Dukes, R. Keogh, S. Vansteelandt | |
Handling time-dependent confounding using a structural nested cumulative survival time model |
Session EO755 | Room: MAL B35 |
Traditional and modern time series models | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Pauliina Ilmonen | Organizer: Pauliina Ilmonen |
B0522: M. Voutilainen | |
On modelling and estimation of stationary processes | |
B0547: S. Taskinen, K. Nordhausen, M. Matilainen, J. Miettinen, J. Virta | |
Dimension reduction for time series in a blind source separation context | |
B0602: S. Helander, S. Nagy, G. Van Bever, L. Viitasaari, P. Ilmonen | |
On adaptive functional data depths | |
B0637: T. Sottinen | |
Pretty predictable models |
Session EO703 | Room: MAL B36 |
New directions in statistical learning | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Sunyoung Shin | Organizer: Sunyoung Shin |
B0988: Y. Lee, S. Tu, Y. Zhu | |
Assessment of case influence in support vector machine | |
B1282: J. Wilson | |
Analyzing group fMRI with multilayer network embedding methods | |
B1421: M. Miranda, J. Morris | |
Composite hybrid basis approach incorporating residual connectivity in task fMRI data | |
B1422: H. Yang, V. Baladandayuthapani, A. Rao, J. Morris | |
Functional regression analysis of distributional data using quantile functions |
Session EO795 | Room: MAL G13 |
Latent variable models for complex data | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Silvia Cagnone | Organizer: Silvia Cagnone |
B0760: G. Spaccapanico Proietti, S. Mignani, M. Matteucci | |
Dealing with uncertainty in automated test assembly problems | |
B0841: G. McLachlan | |
On the role of latent variables in characterizing some skew distributions | |
B0873: S. Bianconcini, S. Cagnone | |
Dimension-wise likelihood estimation of latent vector autoregressive models | |
B2003: G. Soffritti, G. Galimberti | |
Mixtures of seemingly unrelated linear regression models |
Session EO636 | Room: MAL G14 |
Bayesian inference and computational advances for large data | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Andee Kaplan | Organizer: Brenda Betancourt |
B0288: F. Ferrari, D. Dunson | |
Bayesian factor analysis for inference on interactions | |
B0914: A. Kaplan, B. Betancourt, R. Steorts | |
Posterior prototyping for Bayesian entity resolution | |
B0944: S. Syed, A. Bouchard, G. Deligiannidis, A. Doucet | |
Non-reversible parallel tempering: An embarrassingly parallel MCMC scheme | |
B1387: A. Cadonna, S. Fruehwirth-Schnatter, P. Knaus | |
Triple the gamma A unifying shrinkage prior forvariance and variable selection in sparse state space andTVP models |
Session EO308 | Room: MAL G15 |
Novel applications in Bayesian nonparametrics | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Michele Guindani | Organizer: Michele Guindani |
B0757: R. Argiento | |
Exploiting conjugacy to build time dependent feature allocation models | |
B1327: A. Jara | |
Marginal Bayesian semiparametric modelling of mismeasured multivariate interval-censored data | |
B1340: R. Mena | |
Beta-binomial stick breaking nonparametric prior | |
B1409: F. Leisen | |
Modelling heterogeneous data in Bayesian nonparametrics |
Session EO582 | Room: MAL G16 |
Recent advances in sequential Monte Carlo | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Jere Koskela | Organizer: Adam Johansen |
B0401: L. South, R. Salomone, A. Johansen, C. Drovandi, D. Kroese | |
Unbiased and consistent nested sampling via sequential Monte Carlo | |
B0926: J. Koskela, P. Jenkins, A. Johansen, D. Spano | |
Asymptotic genealogies of SMC methods | |
B1111: A. Finke, A. Johansen, A. Doucet | |
Limit theorems for sequential MCMC methods | |
B1138: S. Brown, A. Johansen, J. Koskela, P. Jenkins | |
Recent progress in genealogies of sequential Monte Carlo algorithms |
Session EO082 | Room: CLO 101 |
Bayesian and frequentist approaches with big data | Sunday 15.12.2019 16:35 - 18:15 |
Chair: HaiYing Wang | Organizer: HaiYing Wang |
B0733: D. Li, Y. Fan, Y. Kong, J. Lv | |
High-dimensional interaction detection with false sign rate control | |
B0940: Y. Xue, H. Wang, J. Yan, E. Schifano | |
An online updating approach for testing the proportional hazards assumption with streams of survival data | |
B1947: Q. Song | |
Bayesian sharp minimax contraction |
Session EO364 | Room: CLO 102 |
Recent advances in high-dimensional statistics and random matrix theory | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Miles Lopes | Organizer: Alexander Aue |
B1971: D. Liebl, M. Reimherr | |
Fast and fair simultaneous confidence bands for functional parameters | |
B0254: R.R. Nadakuditi, A. Prasadan | |
Time series source separation using dynamic mode decomposition | |
B1976: J. Lv | |
Asymptotic theory of eigenvectors for large random matrices | |
B1978: H. Li, A. Aue, D. Paul | |
High dimensional hypothesis testing via spectral shrinkage |
Session EO228 | Room: Court |
Semi and non-parametric mixture modelling | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Frans Kanfer | Organizer: Frans Kanfer |
B1033: Z. Li | |
Joint modeling of survival and longitudinal quality of life data in palliative care studies | |
B1243: S. Millard, F. Kanfer, M. Arashi | |
Mixture of generalised linear models with unknown link | |
B1246: F. Kanfer, S. Millard, M. Arashi | |
Generalised partially linear models with unknown link | |
B1617: D. Chen | |
A statistical distribution for simultaneously modeling skewness, kurtosis and bimodality for mixture modelling |
Session EO839 | Room: Jessel |
Change-points/anomaly detection | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Alain Celisse | Organizer: Alain Celisse |
B1412: L. Sansonnet | |
Nonparametric multiple change-point estimation for analyzing large Hi-C data matrices | |
B1703: G. Rigaill, S. Thepaut, N. Verzelen | |
A statistical method to detect abrupt changes in trees | |
B1806: G. Romano, G. Rigaill, P. Fearnhead, V. Runge | |
Detecting abrupt changes in correlated time-series | |
B1853: V. Runge, N. Deschamps de Boishebert, M. Pascucci, G. Rigaill | |
Efficient change-in-slope optimal partitioning algorithm in a finite-size parameter space |
Session EO614 | Room: MAL 152 |
Methods for understanding network data structures | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Nynke Niezink | Organizer: Kehui Chen |
B0453: J. Cape | |
On spectral embedding performance and elucidating network structure in stochastic blockmodel graphs | |
B0972: D. Choi | |
Change point detection for networks with dynamic community structure | |
B1017: Y. Zhang | |
Consistent polynomial-time unseeded graph matching for Lipschitz graphons | |
B0269: J.W.Y. Leung, D. Matsypura | |
Change point detection in partial correlation networks |
Session EO502 | Room: MAL 153 |
New methods for complex data analysis | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Sayar Karmakar | Organizer: Zhihua Su |
B0713: L. Duan | |
Latent simplex position model: Multiview clustering of high dimensional data | |
B1332: T. Zhang | |
Element-wise estimation error of a total variation regularized estimator for change point detection | |
B0847: G. Zhu, L. Wang, Z. Su, S. Ding | |
Envelope quantile regression | |
B1394: Z. Su | |
A Bayesian approach to envelope quantile regression |
Session EO506 | Room: MAL 254 |
Methods and computation for modeling data in space and time | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Francois Bachoc | Organizer: Stefano Castruccio |
B0536: D. Pigoli, A. Menafoglio, P. Secchi | |
Random domain decomposition for spatial prediction of manifold-valued data | |
B0792: C. Miller | |
Spatio-temporal modelling in environmental and ecological systems | |
B1147: M. Edwards | |
Multivariate Stochastic Climate Generator | |
B1496: F. Lindgren | |
Challenges and solutions for multiscale global temperature reconstruction |
Session EO256 | Room: Senate |
Modern topics in statistics of extremes | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Yuri Goegebeur | Organizer: Yuri Goegebeur |
B0365: A. Guillou, Y. Goegebeur, N.K.L. Ho, J. Qin | |
Robust nonparametric estimation of the conditionaltail dependence coefficient | |
B0485: M. de Carvalho, J. Lee, A. Rua | |
What hides behind an extreme currency demand: Bayesian conditionally heteroscedastic extremes | |
B0487: G. Stupfler | |
On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails | |
B1582: N.K.L. Ho, Y. Goegebeur, A. Guillou, J. Qin | |
Conditional marginal expected shortfall |
Session EO504 | Room: CLO 203 |
Recent developments in optimal experimental designs | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Subir Ghosh | Organizer: Saumen Mandal |
B0719: B. Torsney | |
Optimal design, lagrangian and linear models theories: A fusion | |
B1210: Y. Yi | |
Response adaptive designs with asymptotic optimality | |
B1289: H. Wynn | |
Causation, bias and optimal experimental design | |
B0563: S. Ghosh | |
Search for optimality in the estimation of variance components |
Session EO134 | Room: CLO 204 |
Statistics in neuroscience II | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Russell Shinohara | Organizer: Russell Shinohara |
B0217: K. Linn, R. Shinohara | |
Inter-modal coupling analysis | |
B0247: A. Mejia | |
Leveraging spatial dependencies on the cortical surface to improve estimation of subject-level brain organization | |
B0656: J. Goldsmith | |
What the proportional recovery rule is (and is not): Methodological and statistical considerations | |
B1571: H. Ombao | |
Modeling brain connectivity in real time |
Session EO753 | Room: MAL 251 |
Polynomials in statistics | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Denys Pommeret | Organizer: Denys Pommeret |
B0623: C. Lefevre | |
Polynomials and risk models | |
B0614: Y.I. Ngounou Bakam, D. Pommeret | |
Projection estimation of multivariate copula densities | |
B1067: D. Pommeret, L. Reboul, A.F. Yao | |
Testing equality of two processes | |
B1195: P.-O. Goffard | |
Orthogonal polynomial expansion with applications to insurance |
Session EO512 | Room: MAL 252 |
Recent advances in regression and classification for high dimensional data | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Ziqi Chen | Organizer: Binyan Jiang |
B0957: X. He, J. Wang | |
A general framework for sparse learning in reproducing kernel Hilbert space | |
B0998: Z. Chen | |
Surface functional models | |
B1120: Z. Yang, B. Jiang, C. Wang, C. Leng | |
Linear discriminant analysis with high dimensional mixed variables | |
B1674: T. Fukuda, T. Misumi, Y. Maesono, S. Konishi | |
Multivariate functional subspace classification for high-dimensional longitudinal data and its application |
Session EO292 | Room: MAL 253 |
Spatial models for inference on epidemiological and social indicators | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Veronica Berrocal | Organizer: Veronica Berrocal |
Session EO618 | Room: SH349 |
Topics in time series analysis | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Konstantinos Fokianos | Organizer: Konstantinos Fokianos |
B0523: J. Gillam, R. Killick, S. Taylor, J.-L. Chapman | |
Categorical changepoint detection for activity sequences | |
B0646: M. Knight | |
Wavelet spectral analysis of non-stationary circadian rhythms | |
B0963: A. Luati, L. Catania | |
Semiparametric modeling of multiple quantiles | |
B1259: G. Berentsen, J. Bulla, A. Maruotti, B. Stove | |
Modelling corporate defaults: A Markov-switching Poisson autoregressive model |
Session EG009 | Room: MAL 354 |
Contributions in survival and reliability | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Mariangela Zenga | Organizer: CMStatistics |
B1718: A. Gaponik, M. Kateri | |
Kullback-Leibler goodness-of-fit tests for exponential simple step-stress accelerated life testing models | |
B1863: J.T. Kvaloy, B.H. Lindqvist | |
A class of tests for trend for time censored recurrent event data not following a Possion process | |
B1679: J. Rice, B. Johnson, R. Strawderman | |
Regular HIV testing: Why it matters and how to measure it | |
B1801: S. Bischofberger | |
In-sample hazard forecasting based on survival models with operational time applied to non-life reserving |
Session EP863 | Room: Macmillan Hall and Crush Hall |
Poster session CMStatistics II | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Panagiotis Paoullis | Organizer: CMStatistics |
Parallel session J: CFE | Sunday 15.12.2019 | 16:35 - 18:15 |
Session CI018 | Room: Chancellor's Hall |
Stationarity and causality of time series | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Josu Arteche | Organizer: Josu Arteche |
A0176: M. Nielsen, S. Johansen | |
A cointegrated model allowing for different fractional orders | |
A0177: U. Hassler, M. Hosseinkouchack | |
Powerful self-normalizing tests for stationarity | |
A0178: C. Velasco | |
Identification of possibly nonfundamental Structural VARMA models using higher order moments |
Session CO693 | Room: Bloomsbury |
Financial Econometrics: High-frequency option data research | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Ingmar Nolte | Organizer: Ingmar Nolte |
A0228: V. Todorov | |
Aggregate asymmetry in idiosyncratic jump risk | |
A0244: T.G. Andersen, V. Todorov, N. Fusari, R. Varneskov | |
Spatial dependence in option observation errors | |
A0381: M.C. Pham, I. Archakov, L. Grund, N. Hautsch, S. Nasekin, I. Nolte, S. Taylor | |
A descriptive study of the high-frequency trade and quote option data from OPRA | |
A0819: I. Archakov, P. Hansen, A. Lunde | |
A multivariate realized GARCH model |
Session CO238 | Room: G11 |
Advances in exact and approximate Bayesian computation | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Robert Kohn | Organizer: Robert Kohn |
A0862: D. Zhu, L. Jacobi | |
Automated sensitivity computations for Bayesian Markov chain Monte Carlo inference: A new approach | |
A1169: M. Villani, M. Quiroz, R. Kohn, M.-N. Tran, D.K.D. Dang | |
Recent developments in data subsampling for large-scale Bayesian inference | |
A1196: M.-N. Tran, D. Nguyen, D. Nguyen | |
Variational Bayes on manifolds | |
A1981: D. Gunawan, D. Nott, R. Kohn, M. Quiroz | |
Fast variational approximation for multivariate factor stochastic volatility models |
Session CO797 | Room: G3 |
The theory, applications and computing of indicator saturation | Sunday 15.12.2019 16:35 - 18:15 |
Chair: James Reade | Organizer: James Reade |
A0518: X. Jiao | |
A simple robust procedure in instrumental variables regression | |
A0529: S. Wang, J. Reade | |
Modelling Australian electricity price using indicator saturation | |
A0575: J.L. Castle, J. Doornik, D. Hendry | |
Modelling non-stationary `big data' | |
A1103: M. Qian, B. Nielsen | |
Asymptotic properties of the gauge of step-indicator saturation |
Session CO386 | Room: G4 |
Robust models in the time and frequency domains for high dimensional data | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Pascal Bondon | Organizer: Pascal Bondon, Valderio Anselmo Reisen |
A0736: A. Mian, G. Ginolhac, J.-P. Ovarlez, A. Atto | |
Iterative robust hypothesis testing for change-points detection and application to SAR change detection | |
A0738: S. Chretien | |
Median of means estimation for high dimensional time series | |
A1473: P. Canas Rodrigues | |
Robust singular spectrum analysis: Methodology and application | |
A1215: I. Souza, V.A. Reisen, P. Bondon, G. Franco | |
A robust estimation and testing of the cointegration order based on the frequency domain |
Session CO400 | Room: G5 |
Advances in financial modelling | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Genaro Sucarrat | Organizer: Genaro Sucarrat |
A1056: D. Dupuis, L. Trapin | |
Liquidity tail risk in the wake of the financial crisis: Evidence from the U.S. stock market | |
A1322: F. Violante, S. Grassi | |
Testing asset pricing models on the cryptocurrency market | |
A0838: R. Sandberg | |
M-estimator based unit root tests in nonlinear dynamic models | |
A1231: G. Sucarrat | |
The fractionally integrated log-GARCH model when the conditional density is unknown |
A1512: C. Rust | |
Directed local testing in functional linear regression | |
A0789: K. Wenger, P. Sibbertsen, S. Wingert | |
Testing for multiple structural breaks in multivariate long memory time series | |
A1509: I. Bauer, H. Haupt, M. Fritsch | |
Prediction intervals in quantile regression | |
A1451: H. Haupt | |
Nonlinear quantile regression |
Session CO222 | Room: Montague |
Regime switching, filtering, and portfolio optimization | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Joern Sass | Organizer: Joern Sass, Leopold Soegner |
A0444: L. Veraart | |
When does portfolio compression reduce systemic risk? | |
A0740: D. Westphal, J. Sass | |
Robust utility maximization in continuous-time financial markets | |
A0772: B. Koval, L. Soegner, S. Fruehwirth-Schnatter | |
Estimating a time-varying parameter model with shrinkage for the Standard\&Poor's 500 index | |
A0806: E. Leoff, R. Korn | |
A multi-asset worst-case approach for optimal portfolios facing crash scenarios |
Session CO242 | Room: Woburn |
Macro-finance applications | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Scott Brave | Organizer: Scott Brave |
A0877: C. Robotti, N. Gospodinov | |
Intermediary asset pricing: Empirical evidence revisited | |
A1419: A. Ajello | |
Getting in all the cracks: Monetary policy and indicators of financial stability | |
A0466: A. Butters, S. Brave, D. Kelley | |
The network origins of approximate factor models | |
A0405: L. Benzoni, L. Garlappi, R. Goldstein, C. Ying | |
Optimal debt dynamics, issuance costs, and commitment |
Session CC823 | Room: MAL 352 |
Contributions in financial markets | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Giacomo Bormetti | Organizer: CFE |
A0732: S. Nowak | |
The accuracy of trade classification algorithms: Evidence from the Budapest, Prague and Warsaw stock exchanges | |
A1664: T. Dimpfl, D. Baur | |
Information dissemination across high-latency cryptocurrency markets | |
A0802: L. Aguiar-Conraria, M.J. Soares, M. Ojo | |
A time-frequency analysis of financial market contagion in Europe | |
A0947: T. Mizuno, Y. Yuan | |
Financial market switching-points and economic anomalies: Evidence from S\&P100 |
Session CG479 | Room: MAL 351 |
Contributions in commodities finance | Sunday 15.12.2019 16:35 - 18:15 |
Chair: Neil Kellard | Organizer: CFE |
A1408: X. Jin | |
Commodity financialization and the role of speculators | |
A1911: I.C. Figuerola-Ferretti Garrigues, I. Paraskevopoulos, M.T. Corzo, K. Martin-Bujack | |
Commodity futures: Does the traded volume influence research interest? | |
A1635: K. Rybak, A. Zubarev, A. Polbin | |
Capital mobility in commodity-exporting economies |
Session CG692 | Room: MAL 353 |
Contributions in sentiment analysis | Sunday 15.12.2019 16:35 - 18:15 |
Chair: David Ardia | Organizer: CFE |
A1729: S. Consoli, S. Manzan, L. Barbaglia | |
Fine-grained, aspect-based semantic sentiment analysis on news for economic forecasting and nowcasting | |
A1735: M. Bessec, J. Fouquau | |
Environmental sentiment in financial market: A global warning | |
A0970: S. Behrendt, D. Ballinari | |
How to gauge investor behavior: A comparison of online investor sentiment measures | |
A1847: L. Tiozzo Pezzoli, S. Consoli, E. Tosetti | |
Emotions in macroeconomic news and their impact on the European bond market |
Parallel session M: CMStatistics | Monday 16.12.2019 | 08:40 - 10:20 |
Session EO136 | Room: CLO B01 |
Recent developments in functional data analysis | Monday 16.12.2019 08:40 - 10:20 |
Chair: Sara Lopez Pintado | Organizer: Sara Lopez Pintado |
B1145: G. Gonzalez-Rodriguez, A. Colubi | |
Consistent bootstrap procedures for testing on the coefficients of a Hilbert-valued regression model | |
B1275: M. Karas, C. Crainiceanu, J. Urbanek, A. Bastian, R. Roemmich | |
Functional registration of walking strides in high-density accelerometry data for estimation of gait asymmetry | |
B1456: X. Dai, Z. Lin, H.-G. Mueller | |
Statistical analysis of longitudinal data on Riemannian manifolds | |
B1255: A. Caponera | |
Asymptotics and regularization in spherical functional autoregressive models |
Session EO142 | Room: Bloomsbury |
Recent advances in survival analysis | Monday 16.12.2019 08:40 - 10:20 |
Chair: Chiung-Yu Huang | Organizer: Sangwook Kang, Sy Han Chiou |
B0322: C.H. Lee, J. Ning, Y. Shen | |
Analysis of restricted mean survival time for length-biased data | |
B1000: B. Seo, S. Kang | |
Accelerated failure time model based on nonparametric Gaussian scale mixtures | |
B1763: S. Choi | |
Nonparametric maximum likelihood estimation of acceleratedfailure time models for competing risks | |
B1943: S. Kang, K. Kim | |
Induced smoothed methods in analysis of semiparametric quantile residual lifetimes models |
Session EO138 | Room: G11 |
Recent developments of statistical methods for causal inference | Monday 16.12.2019 08:40 - 10:20 |
Chair: Zheng Zhang | Organizer: Shujie Ma |
B0527: Z. Tan | |
Regularized calibrated estimation and model-assisted inference for treatment effects with high-dimensional data | |
B0562: E. Kennedy | |
Optimal causal inference in a high-dimensional discrete model | |
B1460: S. Yang, L. Wang, P. Ding | |
Causal inference with confounders missing not at random | |
B1544: Z. Zhang | |
A simple and efficient estimation of average treatment effects in the presence of unmeasured confounders |
Session EO632 | Room: G21A |
Modelling dependence through graphical models | Monday 16.12.2019 08:40 - 10:20 |
Chair: Ghislaine Gayraud | Organizer: Sophie Dabo, Ghislaine Gayraud |
B0411: E. Auclair | |
Labelled dynamic Bayesian network: Framework and structure learning for application to ecological network | |
B0412: W. Wiecek, F. Bois, G. Gayraud | |
Learning structures of Bayesian networks with cyclic structures | |
B0417: W. Gao, G. Gayraud, F. Bois | |
Application of dynamic Bayesian network approaches for quantitative adverse outcome pathway modelling | |
B0439: S. Lebre, F. Dondelinger, D. Husmeier | |
Non-homogeneous dynamic Bayesian networks with Bayesian regularization for gene regulatory network inference |
Session EO616 | Room: G3 |
Multivariate extremes and causality | Monday 16.12.2019 08:40 - 10:20 |
Chair: Johanna Neslehova | Organizer: Johanna Neslehova |
B0621: M. Aigner | |
Granger causal analysis of Hawkes processes for extreme events | |
B0645: L. Mhalla, V. Chavez-Demoulin, D. Dupuis | |
Causal mechanism of extreme river discharges in the upper Danube basin network | |
B0743: A. Sabourin, H. Jalalzai, S. Clemencon | |
Nonasymptotic analysis of the angular measure for extremes, application to classification |
Session EO174 | Room: G4 |
Robust statistics | Monday 16.12.2019 08:40 - 10:20 |
Chair: Tim Verdonck | Organizer: Tim Verdonck |
B0752: K. Boudt, E. Heyndels | |
Clustering dynamic panels of income data with robust interactive fixed effects | |
B1356: V. Todorov, P. Filzmoser | |
Robust discriminant analysis for high dimensions | |
B1410: J. Raymaekers, P. Rousseeuw | |
Fast robust correlation for high dimensional data | |
B1615: I. Kalogridis, S. Van Aelst | |
M-type penalized splines with auxiliary scale estimation |
Session EO705 | Room: G5 |
Recent advances in dimension reduction | Monday 16.12.2019 08:40 - 10:20 |
Chair: Eliana Christou | Organizer: Eliana Christou |
B1009: K. Nordhausen, L. Flumian, M. Matilainen | |
Stationary subspace analysis: A statistical perspective | |
B0356: X. Yin, W. Ren, D. Cook | |
Moment kernel for estimating central mean subspace and central subspace | |
B0385: A. Artemiou | |
Adaptively weighted large margin classifiers for sufficient dimension reduction | |
B0389: E. Solea, H. Dette | |
Nonparametric graphical models for high-dimensional functional data |
Session EO717 | Room: Gordon |
Efficient and optimal design of experiments | Monday 16.12.2019 08:40 - 10:20 |
Chair: Heiko Grossmann | Organizer: Heiko Grossmann, Rainer Schwabe |
B0722: S. Biedermann, S. Gilmour, R. Khashab | |
New approaches for experiments with mixtures | |
B1072: R. Harman, S. Rosa | |
On greedy heuristics for computing D-efficient saturated subsets | |
B1207: T. Waite, D. Woods, Y. Englezou | |
Bayesian design of physical experiments for nonlinear and computational models | |
B1551: J. Stufken | |
Subdata selection methods |
Session EO086 | Room: MAL G13 |
Learning and inference methodologies for stochastic processes | Monday 16.12.2019 08:40 - 10:20 |
Chair: Hiroki Masuda | Organizer: Hiroki Masuda |
B0670: Y. Koike | |
De-biased graphical Lasso for high-frequency data | |
B0854: M. Uchida, Y. Kaino | |
Parametric inference for a parabolic SPDE from discrete observations | |
B1006: L. Mercuri | |
Finite mixture approximation of CARMA model |
Session EO737 | Room: MAL G14 |
Bayesian inference | Monday 16.12.2019 08:40 - 10:20 |
Chair: Jeff Hart | Organizer: Jeff Hart |
B0325: D. Rossell, F.J. Rubio | |
The role of sparsity and misspecification in Bayesian model selection | |
B0920: J. Hart, N. Merchant, T. Choi | |
Cross-validation Bayes factors for the nonparametric two-sample test | |
B0953: G. Hu | |
Bayesian spatial homogeneity pursuit methods | |
B1452: C. Vallejos | |
Robust differential variability testing for single-cell expression data: Bayes when single cells become big data |
Session EO294 | Room: MAL G16 |
Bayesian inference via discrete nonparametric priors | Monday 16.12.2019 08:40 - 10:20 |
Chair: Federico Camerlenghi | Organizer: Federico Camerlenghi |
B0538: S. Favaro | |
A Berry-Esseen theorem for Pitman's alpha-diversity | |
B0554: T. Rigon, A. Lijoi, I. Pruenster | |
Bayesian inference for finite-dimensional discrete priors | |
B0721: T. Campbell | |
Universal boosting variational inference | |
B1068: V. Rao | |
Repulsive mixture modeling through Matern processes |
Session EO430 | Room: CLO 101 |
Reduction techniques for large or high-dimensional data | Monday 16.12.2019 08:40 - 10:20 |
Chair: Katja Ickstadt | Organizer: Alexander Munteanu |
B1197: A. Munteanu | |
Sketches and coresets for large-scale statistical data analysis | |
B1221: T. Broderick | |
The kernel interaction trick: Fast Bayesian discovery of pairwise interactions in high dimensions | |
B0464: M. Derezinski | |
Unbiased estimators for linear regression and experimental design | |
B0360: B. Erichson | |
Randomized methods for dimension reduction |
Session EO729 | Room: Court |
Set-valued classification | Monday 16.12.2019 08:40 - 10:20 |
Chair: Mohamed Hebiri | Organizer: Mohamed Hebiri |
B2033: L. Carlsson | |
Conformal prediction, a method that produces valid prediction sets under the assumption of exchangeability | |
B1982: T. Lorieul, A. Joly, D. Shasha | |
Study of error rate reduction in mono-label classification using adaptive set-valued prediction | |
B0588: T. Mortier, M. Wydmuch, K. Dembczynski, E. Hullermeier, W. Waegeman | |
Efficient algorithms for set-valued prediction in multi-class classification | |
B1761: E. Chzhen | |
Minimax semi-supervised confidence sets for multi-class classification | |
B1869: M. Pontil | |
A framework for online meta-learning |
Session EO110 | Room: Jessel |
Miscellaneous results on detection of changes | Monday 16.12.2019 08:40 - 10:20 |
Chair: Marie Huskova | Organizer: Marie Huskova |
B0380: W. Pouliot, S. Wang | |
Multiple change-point detection in regression models via U-statistic type processes | |
B0696: T. Grundy, R. Killick, G. Mihaylov, J. Bradley | |
High-dimensional changepoint detection via a geometrically inspired mapping | |
B0884: A. Rackauskas | |
Testing changed segment by maximal ratio statistics | |
B0911: A. Steland | |
Testing and estimation of change-points in covariance matrices based on weighted CUSUMs in high-dimensions |
Session EO709 | Room: MAL 152 |
Resampling and simulations for inference in complex settings | Monday 16.12.2019 08:40 - 10:20 |
Chair: Maria-Pia Victoria-Feser | Organizer: Maria-Pia Victoria-Feser |
B0321: S. Orso, M.-P. Victoria-Feser, S. Guerrier, M. Karemera | |
Simulated switched Z-estimation for accurate finite sample inference | |
B0402: D.-L. Couturier, S. Guerrier, M.-P. Victoria-Feser | |
Right-censoring bias correction for growth curve linear mixed models | |
B0868: M. Karemera, S. Guerrier, S. Orso, M.-P. Victoria-Feser | |
Finite sample unbiased estimation in high dimensional settings | |
B1227: S. Heritier, M.-P. Victoria-Feser, S. Guerrier | |
Exact finite sample inference for studies with a small number of clusters |
Session EO324 | Room: MAL 153 |
Non-regular statistical modeling and computational methods | Monday 16.12.2019 08:40 - 10:20 |
Chair: Tsung-I Lin | Organizer: Tsung-I Lin |
B0567: M. Bee, L. Trapin, J. Hambuckers | |
An improved approach for estimating large losses using the g-and-h distribution | |
B0853: A. Roy | |
Analysis of interval data using patterned covariance structures | |
B1465: V.H. Lachos Davila, L. Avila Matos, T. do Bem Mattos | |
Likelihood-based inference for mixed-effects models with censored response using the skew-normal distribution | |
B0676: M. Naderi, A. Bekker | |
Family of matrix-variate distributions: A flexible approach based on the mean-mixture of normal model |
Session EO284 | Room: MAL 254 |
Highly structured stochastic systems | Monday 16.12.2019 08:40 - 10:20 |
Chair: Marie-Colette Van Lieshout | Organizer: Marie-Colette Van Lieshout |
B0245: M.-C. Van Lieshout | |
Markov object processes: From area-interaction to linear networks | |
B0513: R. Waagepetersen | |
Semi-parametric multinomial logistic regression for multivariate point processes | |
B1042: J. Heikkinen, A.-K. Ylitalo, I. Kojola | |
Modelling central place foraging of wolves | |
B1374: H. Rue | |
Conditional independence and the Gaussian distribution |
Session EO108 | Room: Senate |
Weather and climate extremes | Monday 16.12.2019 08:40 - 10:20 |
Chair: Marco Oesting | Organizer: Marco Oesting |
B1165: K. Strokorb, M. Ekstrom, O. Jones, A. Gibbons, H. Fowler | |
Sub-daily rainfall extremes in Australia: An analysis of space-time variability and drivers across the continent | |
B0943: R. Huser, B. Shaby, G. Bopp | |
A hierarchical max-infinitely divisible process for extreme areal precipitation over watersheds | |
B1526: J. Koh, E. Koch, A. Davison | |
Trends in the extremes of environments associated with severe US thunderstorms | |
B1248: K. Hees | |
Robust estimation of the extremal index in the context of climate time series |
Session EO524 | Room: MAL 253 |
Recent developments in the analysis of neuroimaging and genetic data | Monday 16.12.2019 08:40 - 10:20 |
Chair: Farouk Nathoo | Organizer: Farouk Nathoo, CMStatistics |
B1553: L. Wang, Y. Song, S. Ge, J. Cao, F. Nathoo | |
A Bayesian spatial model for imaging genetics | |
B1566: K. Batmanghelich | |
Empowering association tests using unpaired data | |
B1631: T. Gorbach, A. Lundquist, X. de Luna, L. Nyberg, A. Salami | |
Hierarchical Bayesian mixture modeling of resting-state functional brain connectivity: An alternative to thresholding | |
B1908: F. Nicol, S. Rebbah, S. Puechmorel | |
Clustering of generalized gamma distributions by using information geometry: An application to medical imaging |
Session EO366 | Room: SH349 |
Statistical methods for sports | Monday 16.12.2019 08:40 - 10:20 |
Chair: Ivor Cribben | Organizer: Ivor Cribben |
B0191: L. Bornn | |
From pixels to points: Using tracking data to measure performance in professional sports | |
B0274: K. Pazdernik, J. Kvam | |
A deeper understanding of quarterback pressure in football | |
B1504: A. Ingolfsson, I. Cribben, L. Ding | |
The hot hand theory in hockey: A multilevel logistic regression analysis | |
B1816: O. Schulte | |
Markov decision processes in sports analytics |
Session EG836 | Room: MAL 251 |
Contributions in restricted parameters inference and shrinkage | Monday 16.12.2019 08:40 - 10:20 |
Chair: Eric Marchand | Organizer: CMStatistics |
B1711: M. Qasim, K. Mansson, B.G. Kibria | |
On some beta ridge regression estimators: Methods, simulation and application | |
B1786: T. Omer, P. Sjolander, K. Mansson, B.G. Kibria | |
Improved estimators for zero-inflated count data models in the presence of multicollinearity | |
B1741: P. Wiemann, T. Kneib | |
Adapting the horseshoe prior for functional effects in distributional regression models | |
B1784: A. Mahmoudi, R. Arabi Belaghi, S. Mandal | |
A comparison of preliminary test, stein-type and penalty estimators in gamma regression models |
Parallel session M: CFE | Monday 16.12.2019 | 08:40 - 10:20 |
Session CO230 | Room: MAL B04 |
Spatial inequalities: Measurements and methods | Monday 16.12.2019 08:40 - 10:20 |
Chair: Marzia Freo | Organizer: Marzia Freo |
A0449: R. Patuelli, S. Halleck-Vega | |
Dynamics of spatial autocorrelation: A new space-time state of mind | |
A1629: S. Sugasawa, G. Kobayashi, Y. Kawakubo | |
Estimation of area-wise spatial income distributions from grouped data | |
A0251: K. Kopczewska | |
Entropy as measure of spatial agglomeration: Interactions of business locations and housing transactions | |
A1771: M. Freo, E. Calegari, A. Reggiani | |
Estimating the heterogeneous impact of the EU cohesion policy across regions |
Session CO168 | Room: MAL B20 |
Fractional motions and artificial neural networks for time series | Monday 16.12.2019 08:40 - 10:20 |
Chair: Matthieu Garcin | Organizer: Matthieu Garcin |
A1730: S. Bianchi, A. Pianese, M. Frezza | |
A distribution-based method to gauge market liquidity through scale invariance between investment horizons | |
A1743: G. Brandi, T. Di Matteo | |
Multiscaling in finance | |
A1434: M. Garcin | |
Selection and estimation of fractional and multifractional models | |
A1534: S. Stephan, M. Garcin | |
Credit scoring: Moving beyond the traditional approach with random forests and artificial neural networks |
Session CO721 | Room: MAL B35 |
Advances in financial modelling and forecasting | Monday 16.12.2019 08:40 - 10:20 |
Chair: Ekaterini Panopoulou | Organizer: Ekaterini Panopoulou |
A0277: N. Voukelatos, C. Argyropoulos, E. Panopoulou, T. Zheng | |
Hedge fund return predictability in the presence of model risk | |
A0701: J. Oberoi, J. Griffin, S. Oduro | |
Dynamic estimation of information asymmetry risk in trading | |
A1163: C.-Y. Huang, E. Panopoulou, S. Hadjiantoni | |
Forecasting spot price in the UK natural gas market | |
A1198: C. Argyropoulos, C. Argyropoulos, B. Candelon, J.-B. Hasse, E. Panopoulou | |
The effects of macroeconomic variables on the cross-section of mutual funds returns: A threshold approach |
Session CO216 | Room: MAL B36 |
Machine learning in finance | Monday 16.12.2019 08:40 - 10:20 |
Chair: Jozef Barunik | Organizer: Michael Ellington, Jozef Barunik |
A0633: L. Rossi | |
Structural models for firm bankruptcy prediction | |
A0876: L. Hanus, J. Barunik | |
Dynamic density forecasting using machine learning | |
A1280: M. Hronec, J. Barunik | |
Asset pricing with quantile machine learning | |
A1511: E. Carnemolla, G. Vinci | |
Climate Risks and Stock Returns |
Session CO739 | Room: Montague |
Factor models | Monday 16.12.2019 08:40 - 10:20 |
Chair: Eric Renault | Organizer: Eric Renault |
A1458: P. Zaffaroni | |
Factor models for conditional asset pricing | |
A1463: S. Tavakoli, G. Nisol, M. Hallin | |
High-dimensional functional factor models |
Session CO388 | Room: Woburn |
Empirical macro and finance | Monday 16.12.2019 08:40 - 10:20 |
Chair: Alessia Paccagnini | Organizer: Alessia Paccagnini |
A0916: G. Magkonis | |
Does trilemma speak Chinese? | |
A1179: A. Paccagnini, V. Colombo | |
Has the credit supply shock asymmetric effects on macroeconomic variables? | |
A1218: F. Ferroni, F. Canova | |
Mind the gap: Stylized dynamic facts and structural models | |
A1260: F. Parla, M. Obrien, S. Velasco, M. Woods, M. Wosser | |
Bank capital and credit supply shock in Ireland: A narrative approach |
Session CO759 | Room: Chancellor's Hall |
Nonparametric/semiparametric estimation and testing | Monday 16.12.2019 08:40 - 10:20 |
Chair: Luke Nicholas Taylor | Organizer: Luke Nicholas Taylor |
A0290: B. Veliyev, A. Kock, D. Preinerstorfer | |
Functional sequential treatment allocation | |
A0467: C. Qiu | |
Minimax learning for average regression functionals with an application to electoral accountability and corruption | |
A0894: L.N. Taylor, S. Kanaya | |
Identification of type I and type II error probabilities: Judging the justice system | |
A1059: M. Xu | |
Semiparametric estimation with isotonic estimator plugged-in |
Session CC818 | Room: MAL 352 |
Contributions in risk analysis | Monday 16.12.2019 08:40 - 10:20 |
Chair: Raimund Kovacevic | Organizer: CFE |
A0348: J.-Y. Lin, H.-W. Teng, Y.-H. Yu, K.-S. Fan, Y.-C. Lin | |
Deep time-series feature extraction in credit scoring models | |
A0215: T. Kaji, H. Kang | |
Controlling tail risk measures with estimation error | |
A1773: M. Nevrla, J. Barunik | |
Tail risks, asset prices, and investment horizons |
Session CC826 | Room: MAL 353 |
Contributions in financial econometrics | Monday 16.12.2019 08:40 - 10:20 |
Chair: Yiannis Karavias | Organizer: CFE |
A1603: Y. Liu | |
A stochastic volatility model with two macro-financial components | |
A1634: D. Ballinari, F. Audrino, F. Sigrist | |
When does attention matter: The effect of investors' attention on stock market volatility during news releases | |
A0694: J. Schnaitmann, T. Dimitriadis | |
Encompassing tests for higher-order elicitable functionals | |
A0197: C. Savva, N. Michail, D. Koursaros | |
Periodic dynamic conditional correlations in bond markets |
Session CC817 | Room: MAL 354 |
Contributions in Bayesian econometrics | Monday 16.12.2019 08:40 - 10:20 |
Chair: Tore Kleppe | Organizer: CFE |
A1513: G. Carallo, R. Casarin, C. Robert | |
Generalized Poisson difference autoregressive processes | |
A1972: J. Mokrzycka | |
Investigating the contagion effect with using Bayesian Copula-GARCH models |
Session CG445 | Room: MAL 351 |
Contributions in portfolio optimization II | Monday 16.12.2019 08:40 - 10:20 |
Chair: Rosella Giacometti | Organizer: CFE |
A1953: R. Giacometti, G. Torri, S. Paterlini | |
Tail risks in vast portfolio selection: A comparison of penalized quantile versus expectile models | |
A1954: G. Torri, R. Giacometti | |
Penalized expectiles optimal portfolios | |
A0564: L. Reh, F. Krueger, R. Liesenfeld | |
Dynamic modeling of the global minimum variance portfolio weights | |
A0190: I. Medovikov, J.-F. Lamarche | |
Multi-asset investing: Correlation structure between Canadian real estate and equity markets |
Session CG443 | Room: MAL 355 |
Contributions in time series I | Monday 16.12.2019 08:40 - 10:20 |
Chair: Richard Luger | Organizer: CMStatistics |
B1823: P. Galeano, A.M. Alonso, D. Pena | |
A robust procedure to build dynamic factor models with cluster structure | |
B0359: Y. Sun, Z. Cai, S. Wang | |
A model-averaging approach for functional-coefficient regression | |
B1919: M. Khismatullina, M. Vogt | |
Estimation of the long-run error variance in nonparametric regression with time series errors | |
B1834: E. Aarts | |
The mHMMbayes R package for fitting mixed hidden Markov models using Bayesian estimation |
Parallel session N: CMStatistics | Monday 16.12.2019 | 10:50 - 12:55 |
Session EI010 | Room: Beveridge Hall |
Sensitivity analysis for uncheckable assumptions | Monday 16.12.2019 10:50 - 12:55 |
Chair: Michael Daniels | Organizer: Michael Daniels |
B0160: G. Baio, M. Daniels, A. Gabrio | |
Bayesian parametric approach to handle missing longitudinal outcome data in trial-based health economic evaluations | |
B0161: X. de Luna | |
Inference taking into account sampling variation and uncertainty due to (un)testable model assumptions | |
B0162: F. Mealli, A. Mattei, L. Forastiere | |
Simulation-based sensitivity analysis for interference in observational studies with unmeasured links |
Session EO356 | Room: CLO B01 |
Recent developments in functional data analysis | Monday 16.12.2019 10:50 - 12:55 |
Chair: Ping-Shou Zhong | Organizer: Ping-Shou Zhong |
B0451: P. Sang, J. Cao | |
Functional single index quantile regression models | |
B0457: X. Li, L. Wang, H.J. Wang | |
Structure identification and sparse learning for image-on-scalar regression with application to imaging genetics studies | |
B0476: C. Li, D. Pak, D. Todem | |
Adaptive lasso for the Cox regression with interval censored and possibly left truncated data | |
B1191: B. Wang, R. Wu | |
Coherent mortality forecasting by weighted multilevel functional principal component approach | |
B1575: H. Wang | |
Order-restricted inference for means with missing values | |
B2012: Z. Lin, M. Lopes, H.-G. Mueller | |
A multiplier bootstrap approach to one-way ANOVA for functional data |
Session EO486 | Room: MAL B02 |
Advanced statistical modelling for biomedical data | Monday 16.12.2019 10:50 - 12:55 |
Chair: Andreas Mayr | Organizer: Andreas Mayr |
B0328: J. Einbeck, A. Errington, D. Endesfelder, J. Cumming | |
The effect of data aggregation on dispersion estimates in count data models | |
B0493: A. Groll, M. Hohberg | |
An adaptive lasso Cox frailty model for time-varying covariates based on the full likelihood | |
B1012: M.X. Rodriguez-Alvarez, V. Inacio, N. Klein | |
Flexible nonparametric Bayesian density regression via dependent Dirichlet process mixture models and penalised splines | |
B0510: C. Staerk, A. Mayr | |
Boosting with random selection of weak learners for variable selection in high-dimensional biomedical data | |
B1348: M. Berger, L. Weinhold, M. Schmid, R. Mitchell, K. Maloney, M. Wright | |
A random forest approach for modeling bounded outcomes |
Session EO695 | Room: MAL B04 |
Robust multivariate methods | Monday 16.12.2019 10:50 - 12:55 |
Chair: Thomas Verdebout | Organizer: Thomas Verdebout |
B0475: J.-M. Poggi, A. Bar-Hen, S. Gey | |
Spatial CART classification trees | |
B1429: G. Geenens | |
An essay on copula modelling for discrete random vectors; or how to pour new wine into old bottles | |
B1524: A. Panzera, M. Di Marzio, S. Fensore, C.C. Taylor | |
Estimating local rotations | |
B1872: J. Remy, D. Paindaveine, J. Remy, T. Verdebout | |
Sign tests for weak principal directions | |
B1958: Y. Swan, G. Reinert, G. Mijoule | |
Characterizing multivariate distributions |
Session EO184 | Room: MAL B20 |
Advances in causal inference methods | Monday 16.12.2019 10:50 - 12:55 |
Chair: Yuya Sasaki | Organizer: Yuya Sasaki |
B0257: S. Calonico, M. Cattaneo, M. Farrell | |
Optimal bandwidth choice for robust bias corrected inference in regression discontinuity designs | |
B0259: O. Bartalotti, D. Kedagni | |
Identifying marginal treatment effects in the presence of sample selection | |
B0268: M. Bertanha, A. McCallum, N. Seegert | |
Better bunching, nicer notching | |
B0287: P. SantAnna, X. Song, Q. Xu | |
Covariate distribution balance via propensity scores | |
B0341: Y. Sasaki | |
Quantile treatment effects in regression kink designs |
Session EO488 | Room: MAL B35 |
Recent advances on joint models for longitudinal and survival data | Monday 16.12.2019 10:50 - 12:55 |
Chair: Lang Wu | Organizer: Lang Wu |
Session EO268 | Room: MAL B36 |
Statistical learning in practice | Monday 16.12.2019 10:50 - 12:55 |
Chair: Alejandro Murua | Organizer: Alejandro Murua |
B0403: N. Cardin | |
Advances in measuring user learning | |
B0463: V. Partovi Nia | |
Neural model compression for edge computing | |
B0976: A. Labbe | |
Spatiotemporal Regularized Factorization for Traffic Data Imputation | |
B1482: S. Tsalidis | |
Car racing strategy | |
B1758: N. Wicker, A. El Dakdouki, Y. Guermeur | |
Hyperbolic support vector machines |
Session EO186 | Room: MAL G13 |
Topics in mathematical statistics | Monday 16.12.2019 10:50 - 12:55 |
Chair: Natalia A Stepanova | Organizer: Natalia A Stepanova |
B0392: U. Mueller | |
Estimating the response density in semiparametric regression | |
B0540: B. Nasri, B. Remillard | |
Copula-based dynamic models for multivariate time series | |
B0705: N.A. Stepanova, Y. Wang | |
On estimation of the amount of sparsity in normal mixture models | |
B0779: L. Dumitrescu, L. Dumitrescu | |
Optimal tests for unordered paired observations | |
B0899: M. Denker | |
Estimations based on resampling by stable motion |
Session EO052 | Room: MAL G15 |
Bayesian models for complex dependence structures | Monday 16.12.2019 10:50 - 12:55 |
Chair: Alessandra Guglielmi | Organizer: Alessandra Guglielmi |
B0828: D. Dahl, R. Warr, T. Jensen | |
Random partition distribution concentrated around a focal partition | |
B0930: F. Bassetti, R. Casarin, I. Epifani | |
CAR neutral to the right processes | |
B1190: M. De Iorio | |
Modelling ethnic differences in metabolic associations via dynamic Bayesian nodewise regression | |
B1229: G. Page, F. Quintana, D. Dahl | |
Spatio-temporal random partition models | |
B1728: J.-P. Fox | |
Bayesian covariance structure modeling of high-dimensional dependence structures |
Session EO522 | Room: MAL G16 |
Statistical inference of copula models | Monday 16.12.2019 10:50 - 12:55 |
Chair: Jean-David Fermanian | Organizer: Jean-David Fermanian |
B0700: O. Lopez | |
Multiple change-point for semiparametric copula models | |
B0541: B.N. Remillard, B. Nasri, C. Genest, J. Neslehova | |
Semiparametric inference for copulas of mixed data | |
B0605: A. Min, J.-D. Fermanian | |
Testing constant conditional dependence structure over partition sets | |
B0664: A. Derumigny, J.-D. Fermanian | |
On the estimation of elliptical copula generators | |
B0193: J.-D. Fermanian, A. Derumigny | |
A classification point-of-view about conditional Kendall tau |
Session EO250 | Room: Chancellor's Hall |
Recent developments in time series forecasting | Monday 16.12.2019 10:50 - 12:55 |
Chair: James Taylor | Organizer: James Taylor |
B0844: J. Taylor, J. Jeon, X. Meng | |
Probabilistic forecasting of an air quality index | |
B0825: S. Ben Taieb, B. Koo | |
Regularized regression for hierarchical forecasting without unbiasedness conditions | |
B0905: S. Arora, J. Taylor | |
Probabilistic forecasting of patient waiting times in the emergency department | |
B1623: Z. Li, M.-N. Tran, R. Gerlach, J. Gao | |
A Bayesian long short-term memory model for value at risk and expected shortfall joint forecasting | |
B0858: X. Meng, J. Taylor, S. Ben Taieb, S. Li | |
Scoring functions for forecasts of multivariate distributions and level sets |
Session EO624 | Room: CLO 101 |
Statistical methods for behavorial data | Monday 16.12.2019 10:50 - 12:55 |
Chair: Philip Reiss | Organizer: Philip Reiss |
B0408: T. Loeys | |
The actor-partner interdependence model for longitudinal dyadic data in the SEM-framework | |
B0712: P. Reiss, M. Xu, I. Cribben | |
Generalized reliability based on distances | |
B0977: L. Bringmann, C. Albers | |
Inspecting gradual and abrupt changes in emotion dynamics with the time-varying change point autoregressive model | |
B1091: M. Fokkema | |
Recursive partitioning of clustered and longitudinal data with GLMM trees |
Session EO074 | Room: Court |
Clustering of multivariate dependent data | Monday 16.12.2019 10:50 - 12:55 |
Chair: Marta Nai Ruscone | Organizer: F Marta L Di Lascio |
B0814: F. Dondelinger | |
Predicting disease progression in neurodegenerative diseases with high phenotypic variability | |
B0653: G. Mazo | |
Semiparametric copula-based mixture models | |
B0180: A. Venkatasubramaniam, K. Ampountolas, L. Evers | |
Nonparametric clustering for spatio-temporal data | |
B1304: A. White, G. Celeux, J. Wyse | |
Comparing EM to a greedy search algorithm to optimize ICL for mixture models | |
B1833: M. Scott, K. Mohan, J.-A. Gauthier | |
Model-based clustering of longitudinal data with nominal, multidimensional outcomes |
Session EO314 | Room: MAL 152 |
Model specification tests | Monday 16.12.2019 10:50 - 12:55 |
Chair: Maria Dolores Jimenez-Gamero | Organizer: Maria Dolores Jimenez-Gamero |
B0598: M. Cousido Rocha, M.D. Jimenez-Gamero, V. Alba-Fernandez | |
Testing the equality of a large number of populations | |
B0630: V. Alba-Fernandez, M.D. Jimenez-Gamero | |
Goodness-of-fit tests for the geometric distribution based on conditional moments | |
B1041: D. Gaigall, M. Ditzhaus | |
Test for detecting risk equivalent or risk neutral portfolios | |
B1244: B. Ebner, N. Henze | |
New tests of multivariate normality by a characterizing property of the Hermite operator | |
B1414: J.-C. Pardo-Fernandez, G. Boente | |
Testing for superiority between two variance functions |
Session EO580 | Room: MAL 153 |
Statistical methods for precision medicine | Monday 16.12.2019 10:50 - 12:55 |
Chair: Paul Kirk | Organizer: Steven Hill, Paul Kirk |
B0764: Y. Zhu, S. Kiddle | |
Relating clusters of patients to distal outcomes: A misclassification-correction approach | |
B1352: B. Taschler, S. Mukherjee | |
On high-dimensional prediction for diagnostics | |
B0878: B. Hejblum, P. Kirk | |
Scaling up nonparametric Bayesian clustering with MCMC for big data applications | |
B1307: A. Rouanet, S. Richardson, P. Kirk, B. Tom | |
A Bayesian clustering approach for the analysis of repeated cognitive tests, imaging, genetic data and time-to-dementia | |
B1235: S. Hill, J. Howlett, S. Kiddle, S. Mukherjee, A. Rouanet, B. Taschler, B. Tom, S. White | |
Individual-level prediction of Alzheimer's disease progression: Tackling the TADPOLE challenge |
Session EO669 | Room: Senate |
Extremes, dependencies and applications | Monday 16.12.2019 10:50 - 12:55 |
Chair: Katharina Hees | Organizer: Katharina Hees |
B1170: M. Oesting, A. Schnurr | |
Patterns in spatio-temporal extremes | |
B1405: D. Walshaw, L. Fawcett | |
Estimating return levels from serially dependent observations | |
B0350: A. Mueller, M. Reuber | |
A time series model for global horizontal irradiation based on extreme value theory and copulas | |
B1563: H. Planinic, B. Basrak | |
Regularly varying random fields and local sequence alignment | |
B1925: J. Lee, M. de Carvalho | |
Bayesian semiparametric regression for heavy-tailed responses |
Session EO496 | Room: MAL 251 |
Statistical methods for non-euclidean data | Monday 16.12.2019 10:50 - 12:55 |
Chair: Karthik Bharath | Organizer: Sebastian Kurtek, Karthik Bharath |
B0276: K. Severn, I. Dryden, S. Preston | |
Manifold valued data analysis of samples of networks, with applications in corpus linguistics | |
B1266: M. Owen | |
Detecting and correcting bias in phylogenetic tree inference | |
B1358: A. Feragen, A. Calissano, S. Vantini | |
The geometry of graph space: Towards graph-valued statistics | |
B1932: A. Kume, A. Wood, T. Sei | |
On the linear combination of chi-squares with applications to inference in shape and directional statistics |
Session EO745 | Room: MAL 252 |
Optimization and new statistical learning tools in data science | Monday 16.12.2019 10:50 - 12:55 |
Chair: Murat A Erdogdu | Organizer: Murat A Erdogdu, Annie Qu |
B1964: Y. Li, A. Qu, R. Zhu | |
Semi-orthogonal non-negative matrix factorization with an application in text mining | |
B1698: L. Xue | |
Time-varying feature selection for longitudinal analysis | |
B0418: K. Balasubramanian | |
Bandit algorithms for nonstationary online nonconvex optimization | |
B1357: M.A. Erdogdu | |
Global nonconvex optimization with discretized diffusions | |
B1441: N. Vanli, M.A. Erdogdu, P. Parrilo, A. Ozdaglar | |
Convergence rate of block-coordinate maximization Burer-Monteiro method for solving large SDPs |
Session EO699 | Room: MAL 253 |
Recent advances on ROC curves estimation | Monday 16.12.2019 10:50 - 12:55 |
Chair: Graciela Boente | Organizer: Graciela Boente |
B0216: P. Martinez-Camblor | |
Improving the biomarker diagnostic capacity via functional transformations | |
B0800: M.D.C. Pardo, C.T. Nakas, A. Franco-Pereira | |
An approach to evaluate and compare biomarkers to diagnose a disease | |
B0303: A.M. Bianco, G. Boente, W. Gonzalez-Manteiga | |
Robust estimation of ROC curves with covariates | |
B0590: V. Lourenco, M. de Carvalho, V. Inacio | |
Robust inference for the covariate-specific ROC curve and its associated summary indices | |
B1176: A. Fanjul Hevia, W. Gonzalez-Manteiga, J.-C. Pardo-Fernandez, I. Van Keilegom | |
Comparing ROC curves conditioned to a multidimensional covariate |
Session EO855 | Room: SH349 |
Recent advances in genomic prediction | Monday 16.12.2019 10:50 - 12:55 |
Chair: Reka Howard | Organizer: Reka Howard, Bertrand Clarke |
B0353: A. Lipka | |
The performance of genotype-to-phenotype models accounting for large-effect loci, epistasis, and pleiotropy | |
B0459: H. Iwata | |
Predicting environmental response of crop plants via the integration of models from different disciplines | |
B0461: R. Howard | |
Response surface analysis of genomic prediction accuracy values using quality control covariates in soybean | |
B0414: J. Crossa, O. Montesinos-Lopez, P. Perez-Rodriguez, R. Howard, J. Cuevas, D. Jarquin, A. Montesins-Lopez | |
Genome and phenome statistical models and methods for prediction | |
B1122: P. Munoz Del Valle | |
Models for autotetraploid genomics in the context of GWAS and GS |
Session EC811 | Room: MAL G14 |
Contributions in stochastic processes | Monday 16.12.2019 10:50 - 12:55 |
Chair: Serguei Dachian | Organizer: CMStatistics |
B1602: Y. Uehara | |
Bootstrap method for misspecified ergodic stochastic differential equation models | |
B1611: S. Eguchi | |
Data driven time scale for diffusion processes in YUIMA | |
B1878: A. Barrera, P. Roman-Roman, F. Torres-Ruiz | |
A stochastic extension of the T growth model | |
B1599: A. Krutto | |
Convergence of the logarithm of empirical characteristic function in stable laws |
Session EC808 | Room: MAL 254 |
Contributions in functional data analysis | Monday 16.12.2019 10:50 - 12:55 |
Chair: Simone Vantini | Organizer: CMStatistics |
B1782: P. Jasko, D. Kosiorowski, J. Rydlewski | |
Exponential smoothing with locality parameter for functional data in robust forecasting of economic phenomena | |
B1848: S. Novo, G. Aneiros, P. Vieu | |
Impact point selection in semiparametric multi-functional regression | |
B0313: E. Bernieri, M. de Carvalho | |
Dependent random measures indexed by a functional covariate | |
B1854: A. Ciarleglio | |
Approaches for extending multiple imputation to handle scalar and functional data | |
B2013: R. Kanai, S. Guillas | |
Functional data analysis application in TEC disturbance caused by Tsunami |
Session EC801 | Room: MAL 355 |
Contributions in applied statistics | Monday 16.12.2019 10:50 - 12:55 |
Chair: Claudia Neves | Organizer: CMStatistics |
B1856: P. Wacker, P. Knabner | |
Statistical inference in hydraulic tomography with wavelet-based priors | |
B1889: P. Drouin, A. Stamm, L. Bellanger, L. Chevreuil, V. Graillot | |
Clustering time-varying quaternion data: Application to the detection of gait abnormalities | |
B1904: E. Rocco, C. Bocci, A. Petrucci | |
Assessing the representativeness of non-probability surveys: The case of public library users' survey in Florence | |
B1691: A. Halka, A. Leszczynska-Paczesna | |
Substitution bias of the consumer price index in Poland | |
B0620: S.J. Villejo | |
Linking climate and dengue using the integrated nested Laplace approximation and the SPDE approach |
Parallel session N: CFE | Monday 16.12.2019 | 10:50 - 12:55 |
Session CO743 | Room: Bloomsbury |
Commodity markets | Monday 16.12.2019 10:50 - 12:55 |
Chair: Ana-Maria Fuertes | Organizer: Ana-Maria Fuertes |
A0768: A.-M. Fuertes, A. Fernandez-Perez, J. Miffre, M. Gonzalez-Fernandez | |
Hazard fear in commodity markets | |
A0879: T. Conlon | |
Crudeo oil return predictability revisited | |
A1367: A. Zaremba, A. Zaremba, R. Bianchi, M. Mikutowski | |
Long-run reversal in commodity returns: Insights from seven centuries of evidence | |
A1498: N. Zhao, A.-M. Fuertes | |
Media tone in commodity markets | |
A1547: Z. He, J. Thijssen, F. OConnor | |
On the existence of a risk free asset: The first empirical test of zero-beta CAPM using T-bills and gold |
Session CO683 | Room: G11 |
Bayesian financial econometrics | Monday 16.12.2019 10:50 - 12:55 |
Chair: Jia Liu | Organizer: Jia Liu |
A1310: M. Kalli | |
Bayesian nonparametric methods for analysing macroeconomic time series | |
A1277: J. Maheu, Y. Song | |
A dynamic Bayesian nonparametric model | |
A0375: Q. Yang, J. Maheu | |
A Bayesian nonparametric approach on model combination for short-term interest rates | |
A1037: C. Li | |
Do better return density forecasts lead to economic gains in portfolio allocation? | |
A0593: J. Liu | |
Bayesian nonparametric covariance estimation with noisy and nonsynchronous asset prices |
Session CO210 | Room: G3 |
Financial modeling and statistics | Monday 16.12.2019 10:50 - 12:55 |
Chair: Jan Vecer | Organizer: Jan Vecer |
A1809: J. Vecer, R. Navratil | |
Utility-based model selection and model averaging | |
A1835: R. Navratil, J. Vecer | |
Long term portfolio protection | |
A1938: S. Taylor | |
Social security benefit valuation, risk, and optimal retirement | |
A1672: E.N.B. Quaye, R. Tunaru | |
Optimisation of trading strategies based on implied volatility and implied dividend volatility | |
A1442: R. Ouysse | |
Asset pricing with endogenous state-dependent aggregate risk aversion |
Session CO450 | Room: G4 |
Financial econometrics | Monday 16.12.2019 10:50 - 12:55 |
Chair: Wenying Yao | Organizer: Wenying Yao, CFE |
A0441: M. Kangogo, V. Volkov | |
Detecting signed spillovers in Asia | |
A1778: M. Bevilacqua, J. Barunik, R. Tunaru | |
Asymmetric network connectedness of fears | |
A0308: S. Clinet, Y. Potiron | |
Cointegration in high frequency data: Estimation and test | |
A1369: Y. Potiron, S. Clinet | |
Disentangling sources of high frequency market microstructure noise | |
A0230: W. Yao, L. Winkelmann | |
Estimating the rank of cojumps in high-dimensional financial data with market microstructure noise |
Session CO749 | Room: G5 |
Forecasting and estimation methods in time series econometrics | Monday 16.12.2019 10:50 - 12:55 |
Chair: Sondre Holleland | Organizer: Yushu Li |
A0369: H. Otneim, D. Tjoestheim | |
Measuring conditional dependence using the local Gaussian partial correlation | |
A0506: F.N. Andersson, Y. Li | |
Inflation: An MCMC estimator of the long-memory parameter in a state space model | |
A0512: M. Chronopoulos, L. Sendstad | |
The value of turning-point detection for optimal investment | |
A1011: S. Holleland, H.A. Karlsen | |
Spatio-temporal ARMA-GARCH models | |
A1129: J. Lyhagen | |
Model specification testing in seasonal ARMA models |
Session CO312 | Room: Montague |
Pricing kernels and factor models | Monday 16.12.2019 10:50 - 12:55 |
Chair: Benjamin Holcblat | Organizer: Benjamin Holcblat |
A0262: I. Zviadadze, R. Uppal, P. Zaffaroni | |
Correcting misspecification in stochastic discount factor models | |
A0263: C. Julliard | |
An information-theoretic asset pricing model | |
A0425: E. Sentana, F. Penaranda, E. Manresa | |
Empirical evaluation of overspecified asset pricing models | |
A0355: A. Lioui, M. Weber, B. Holcblat | |
Anomaly or risk factor? Some simple tests | |
A0347: M. Pelger, J. Zhu, L. Chen | |
Deep learning in asset pricing |
Session CO234 | Room: Woburn |
Assessing macroeconomic policies | Monday 16.12.2019 10:50 - 12:55 |
Chair: Nora Traum | Organizer: Nora Traum |
A0199: M. Karamysheva, N. German | |
Government spending multiplier and the size of the shock: Evidence from U.S. | |
A0206: V. Lewis, M. Dossche, A.G. Gazzani | |
Labor adjustment and productivity in the OECD | |
A0543: B. Kwak, Y. Chang, B. Li, F. Tan | |
Origins of macro policy shifts: A new approach to regime switching in DSGE models | |
A1886: E. Vourvachaki, D. Papageorgiou, D. Malliaropulos, H. Dellas | |
Fiscal multipliers with an informal sector | |
A1887: D. Papageorgiou, H. Balfoussia, H. Dellas | |
Fiscal distress and banking performance: The role of macroprudential regulation |
Session CO404 | Room: Jessel |
Time series econometrics: Nonstationarities and instabilities | Monday 16.12.2019 10:50 - 12:55 |
Chair: Martin Wagner | Organizer: Martin Wagner |
A1446: L. Soegner, M. Wagner | |
Monitoring structural breaks of the cointegration rank in error correction models | |
A1542: L. Matuschek, D. Bauer, P. de Matos Ribeiro, M. Wagner | |
Pseudo maximum likelihood analysis of I(2) processes in the state space framework | |
A1543: P. de Matos Ribeiro, D. Bauer, L. Matuschek, M. Wagner | |
Stochastic trends and economic fluctuations reconsidered | |
A1810: J. Koistinen, B. Funovits | |
Right matrix fraction description for stochastically singular models: Structure theory and estimation | |
A1843: H. Reuvers, Y. Lin | |
Flexible nonlinear trend specifications and cointegration |
Session CC827 | Room: MAL 351 |
Contributions in applied econometrics | Monday 16.12.2019 10:50 - 12:55 |
Chair: Marc Gronwald | Organizer: CFE |
A1749: M. Boccia, A. Amendola, A. Amendola | |
Value added in Italian primary school: An econometric approach | |
A1670: R. Lacaza, B. Sy | |
Relationship between money supply and other macroeconomic variables in the Philippines: A vector autoregression analysis | |
A1844: H. Jedidi, G. Dionne | |
Non-parametric testing of information asymmetry in the U.S. mortgage servicing market | |
A0729: J. Pavlicek, L. Kristoufek | |
Modeling the UK mortgage demand using online searches |
Session CG225 | Room: G21A |
Contributions in macroeconomics and macroeconometrics | Monday 16.12.2019 10:50 - 12:55 |
Chair: Luis Aguiar-Conraria | Organizer: CFE |
A0481: D. Leiva-Leon | |
Endogenous time-variation in vector autoregressions | |
A1589: J. Kukacka, T.-S. Jang, S. Sacht | |
On the estimation of behavioral macroeconomic models via simulated maximum likelihood | |
A1855: N. Fokin, A. Polbin | |
A Bayesian ECM for forecasting real ruble exchange rate under structural change in the monetary policy | |
A0275: Z. Ftiti, A. melki, M. Ben Arab | |
Study of sovereign credit rating determinants: A Bayesian averaging model | |
A1974: A. Ghalayini, M. Izzeldin | |
The role of economic and financial indicators in forecasting stock volatility |
Session CG025 | Room: MAL 352 |
Contributions in econometrics of volatility | Monday 16.12.2019 10:50 - 12:55 |
Chair: Roman Liesenfeld | Organizer: CFE |
A1717: G. Alfelt, T. Bodnar, F. Javed, J. Tyrcha | |
Singular conditional autoregressive Wishart model | |
A1832: E. Allaj | |
Realized volatility estimator under liquidity constraints | |
A1875: Y. Ota | |
Parameters identification for inverse option problems using Markov Chain Monte Carlo methods | |
A1898: A. Kostyrka, D. Malakhov | |
An asymmetrical opposite-signed-shocks GARCH model | |
A1428: C. Wang, R. Gerlach | |
A semi-parametric realized joint value-at-risk and expected shortfall regression framework |
Session CG848 | Room: MAL 353 |
Contributions in business cycle analysis | Monday 16.12.2019 10:50 - 12:55 |
Chair: Christopher Otrok | Organizer: CFE |
A0753: D. Koursaros, C. Savva, N. Michail, N. Papadopoulou | |
Sales and promotions and the great recession deflation | |
A1650: B. van Os, D. van Dijk | |
Score-driven time-varying transition probabilities in a dynamic factor Markov-switching model | |
A1814: T. Christou, V. Vassilatos, A. Apostolis Philippopoulos | |
Modeling rent seeking activities: Quality of institutions, macroeconomic performance and the economic crisis | |
A0939: M.J. Soares, L. Aguiar-Conraria, M. Martins | |
The Phillips Curve at 60: Time for time and frequency | |
A1669: J. Kotlowski, M. Brzoza-Brzezina, G. Wesolowski | |
International information flows, sentiments and cross-country business cycle fluctuations |
Session CG217 | Room: MAL 354 |
Contributions in machine learning in finance | Monday 16.12.2019 10:50 - 12:55 |
Chair: Michael Ellington | Organizer: CFE |
A1432: S. Sun, S. Wang, Y. Wei | |
Evolutionary relaxed support vector regression for exchange rates trading | |
A1507: Y. Zheng, M. Ellington, M. Stamatogiannis | |
Industry return predictability: Evidence from China | |
A1764: L. Barbaglia, S. Manzan, E. Tosetti | |
Loan default analysis in Europe: Tracking regional variations using big data | |
A1820: G. Anderson, A. Audzeyeva | |
A coherent framework for predicting emerging market credit spreads with support vector regression | |
A1765: A. Pereverzin | |
Combining econometrics and machine learning to forecast realized volatility of exchange rates |
Parallel session O: CMStatistics | Monday 16.12.2019 | 14:25 - 16:05 |
Session EO280 | Room: CLO B01 |
Modelling functional data | Monday 16.12.2019 14:25 - 16:05 |
Chair: Fabian Scheipl | Organizer: Fabian Scheipl |
B0433: V. Vitelli | |
A unified framework for joint sparse clustering and alignment of functional data | |
B1188: A. Volkmann, A. Stoecker, F. Scheipl, S. Greven | |
A functional additive mixed model for multivariate functional data | |
B1685: J. Morris, Y. Liu, M. Li | |
Function-on-scalar quantile regression with application to mass spectrometry proteomics data | |
B0846: M. Cremona, F. Chiaromonte, K. Makova | |
Functional data analysis applications to omics sciences |
Session EO480 | Room: MAL B36 |
The new development in the analysis of complex structured data | Monday 16.12.2019 14:25 - 16:05 |
Chair: Wenqing He | Organizer: Wenqing He |
Session EO226 | Room: Bloomsbury |
Recent developments in statistical models for survival data | Monday 16.12.2019 14:25 - 16:05 |
Chair: Marialuisa Restaino | Organizer: Hongsheng Dai, Marialuisa Restaino |
B0661: C. Moreira, J. de Una-Alvarez | |
Nonparametric estimation of hazard rate function from doubly truncated data under dependence | |
B0797: M. Zenga, J.E. Ruiz-Castro | |
A piecewise Weibull survival model for the analysis of breast cancer subject to endogenous and exogenous factors | |
B1219: F. Gasperoni, F. Ieva, A.M. Paganoni, C. Jackson, L. Sharples | |
Evaluating the effect of healthcare providers through semi-Markov multi-state model and nonparametric discrete frailty | |
B1903: M. Jonker, M. Rodriguez-Girondo | |
Disease risk estimation under clustered and outcome-dependent sampling |
Session EO765 | Room: G21A |
Branching processes: Theory, computation and applications I | Monday 16.12.2019 14:25 - 16:05 |
Chair: Ines M del Puerto | Organizer: Ines M del Puerto, Miguel Gonzalez Velasco |
B1539: A. Vidyashankar | |
Asymptotic inference for branching random walks with immigration and applications | |
B1528: E. Yarovaya | |
Branching random walks: Theoretical and simulation results | |
B1707: C. Gutierrez Perez, M. Gonzalez Velasco, R. Martinez Quintana | |
Modeling Y-linked pedigrees through branching processes |
Session EO094 | Room: G3 |
Statistical challenges in policy-relevant problems | Monday 16.12.2019 14:25 - 16:05 |
Chair: Jennifer Hill | Organizer: Jennifer Hill |
B0516: E. Ogburn, Y. Lee | |
Social network dependence, the replication crisis, and (in)valid inference | |
B1046: A. Volfovsky | |
Nearly exact matching in the presence of networks | |
B1065: J. Murray | |
Scaling Bayesian probabilistic record linkage with post-hoc blocking | |
B1076: C. Carvalho, J. Murray | |
Model interpretation through lower dimensional posterior summarization |
Session EO548 | Room: G5 |
Fronts and frontiers: Recent studies in modeling and estimation | Monday 16.12.2019 14:25 - 16:05 |
Chair: Carlos Martins-Filho | Organizer: Vanja Dukic |
B0604: S. Dance | |
On the estimation and treatment of observation uncertainty in data assimilation for numerical weather prediction | |
B0989: D. Bortz | |
Model selection for migrating cell fronts | |
B0611: V. Dukic | |
Bayesian inference in structured epidemics | |
B1262: C. Martins-Filho, L. Xue, L. Yang, Y. Fang | |
Robust estimation of additive boundaries with quantile regression and shape constraints |
Session EO843 | Room: Gordon |
Bayesian design of experiments | Monday 16.12.2019 14:25 - 16:05 |
Chair: Markus Hainy | Organizer: Markus Hainy |
B0378: A. Overstall | |
Bayesian optimal design for ordinary differential equation models | |
B0530: X. Huan, W. Shen | |
Simulation-based optimal sequential Bayesian design using policy gradient reinforcement learning | |
B1069: D. Price | |
Optimal design for infectious diseases | |
B1192: M. Hainy, D. Price, O. Restif, C. Drovandi | |
Optimal Bayesian design for models with intractable likelihoods via supervised learning methods |
Session EO851 | Room: MAL G13 |
Empirical Bayes in the 21st century | Monday 16.12.2019 14:25 - 16:05 |
Chair: Roger Koenker | Organizer: Ivan Mizera |
B1552: J.J. Cai, L. Zhao | |
Nonparametric empirical Bayes methods for sparse, noisy signals | |
B1127: S. Zhao, W. Biscarri | |
A regression modeling perspective on compound decision problems | |
B1123: I. Mizera, S. Tao | |
Nonparametric maximum likelihood estimation of mixture models: Recent developments |
Session EO122 | Room: MAL G14 |
Projection pursuit: Applications | Monday 16.12.2019 14:25 - 16:05 |
Chair: Nicola Loperfido | Organizer: Nicola Loperfido |
B0241: S. Mazur, F. Javed, E. Ngailo | |
Higher order moments of the estimated tangency portfolio weights | |
B0265: F. Javed, N. Loperfido, S. Mazur | |
Fourth cumulant for the random sum of random vectors | |
B0363: C. Franceschini, N. Loperfido | |
Multivariate kurtosis with the R package MultiKurt | |
B1788: M. Giacalone, R. Mattera | |
An improved method of combining forecasts based on fourth cumulant |
Session EO352 | Room: MAL G15 |
Track: Bayesian semi- and non-parametric methods III | Monday 16.12.2019 14:25 - 16:05 |
Chair: Raffaele Argiento | Organizer: Antonio Canale, Bernardo Nipoti, Raffaele Argiento |
B1070: A. Lanteri, R. Argiento, S. Montagna, J. Hopker | |
A Bayesian nonparametric approach for functional regression with application to sport data | |
B1296: P. Kirk, C. Foley | |
Bayesian divisive clustering | |
B1416: X. Miscouridou, F. Caron, Y.W. Teh | |
Modelling sparsity, heterogeneity, reciprocity and community structure in temporal interaction data | |
B1146: R. Piatek | |
A Bayesian nonparametric approach to factor analysis |
Session EO262 | Room: MAL G16 |
Markov chain Monte Carlo for complex data | Monday 16.12.2019 14:25 - 16:05 |
Chair: Galin Jones | Organizer: Galin Jones |
B0354: J. Flegal, N. Robertson, G. Jones, D. Vats | |
New visualizations for Monte Carlo simulations | |
B0519: K.O. Ekvall, G. Jones | |
Convergence analysis of a collapsed Gibbs sampler for Bayesian vector autoregressions | |
B0556: J. Vogrinc, W. Kendall | |
Counterexamples for optimal scaling of Metropolis-Hastings chains with rough target densities | |
B0781: Q. Qin, J. Hobert | |
Convergence complexity analysis of Albert and Chib's algorithm for Bayesian probit regression |
Session EO787 | Room: Montague |
BFF: Foundations of statistics and their impacts on applications | Monday 16.12.2019 14:25 - 16:05 |
Chair: Jan Hannig | Organizer: Jan Hannig |
B0181: S. Neupert, J. Hannig | |
BFF: Bayesian, fiducial, frequentist analysis of age effects in daily diary data | |
B0210: P. Edlefsen, R. Rossenkhan | |
Dempster-Shafer adaptive clinical trials and A/B tests | |
B1584: P. Grunwald | |
Safe testing \& Probabilities: A unified treatment of optional stopping, untrustworthy priors and misspecification | |
B1993: J. Williams | |
The EAS approach for graphical selection consistency in vector autoregression models |
Session EO140 | Room: CLO 101 |
Statistical modelling, comparisons, learning and discoveries | Monday 16.12.2019 14:25 - 16:05 |
Chair: Subir Ghosh | Organizer: Subir Ghosh |
B0662: J. Barrett, A. Wood, M. Sweeting, E. Paige, D. Stevens | |
Statistical methods for dynamic cardiovascular risk prediction | |
B0818: F. Steele | |
Random effects dynamic panel models for unequally-spaced repeated measures | |
B0913: D. Woods | |
Bayesian optimal design of experiments motivated by challenges from science and technology | |
B1158: D. Wilson | |
The harmonic mean p-value for combining dependent tests |
Session EO544 | Room: Court |
Special problems in classification of distressed companies | Monday 16.12.2019 14:25 - 16:05 |
Chair: Raffaella Calabrese | Organizer: Alessandro Beretta, Cedric Heuchenne |
B0843: J. Ansell, A. Gieschen, R. Calabrese, B. Martin-Barragan, G. Andreeva | |
Spatial modelling using clustering | |
B0955: A. Beretta, C. Heuchenne, M. Restaino | |
Competing risks PH cure model and GEV regression: Analysis of bank failures and acquisitions in the U.S. | |
B1175: R. Calabrese | |
Contagion effects for UK small business failures: A spatial hierarchical autoregressive model for binary data | |
B1363: T. Aeschbacher, A. Kostrov | |
Investing in high-yield debt: The case of U.S. bond market |
Session EO482 | Room: MAL 152 |
Semiparametric methods for risk evaluation | Monday 16.12.2019 14:25 - 16:05 |
Chair: Yu Cheng | Organizer: Yu Cheng |
B0332: L. Peng, B. Kianian, J. Kim, J. Fine | |
Causal proportional hazards regression with a binary instrumental variable | |
B1245: J.-H. Jeong | |
Quantile regression on life lost | |
B1112: S. Shin | |
Ensemble estimation and variable selection with semiparametric transformation models | |
B0612: Y. Cheng, Z. Wang, E. Seaberg, J. Becker | |
Novel metrics for assessing importance of new biomarkers for competing outcomes |
Session EO484 | Room: MAL 153 |
Community detection, quantile regression and survival analysis | Monday 16.12.2019 14:25 - 16:05 |
Chair: Oscar Hernan Padilla | Organizer: Yi Yu |
B0678: W. Wang | |
Community detection on social network with complex attributes | |
B1467: O.H. Padilla | |
High dimensional latent quantile regression | |
B1479: T. Sit | |
A quantile localized approach to the accelerated failure time model on survival data with time-dependent covariates | |
B1986: Y. Choi | |
Adaptive community detection via fused l1 penalty |
Session EO120 | Room: MAL 254 |
Asymptotic and computational methods for stochastic processes | Monday 16.12.2019 14:25 - 16:05 |
Chair: Nakahiro Yoshida | Organizer: Nakahiro Yoshida |
B0462: A. Gloter, N. Yoshida, S. Delattre | |
Rate of estimation for the stationary distribution of stochastic damping Hamiltonian systems with continuous observation | |
B0643: I. Muni Toke | |
Intensity ratios of marked point processes for limit order book modeling | |
B0960: E. Guidotti, N. Yoshida | |
Towards coding of the asymptotic expansion formula in YUIMA | |
B1591: K. Kamatani, N. Okamoto | |
Metropolis-within-piecewise deterministic Markov processes |
Session EO641 | Room: Senate |
Advances in temporal extremes | Monday 16.12.2019 14:25 - 16:05 |
Chair: Kirstin Strokorb | Organizer: Kirstin Strokorb |
B0674: J.J. Cai, A. Krajina | |
A nonparametric estimator of the extremal index | |
B1142: B. Basrak | |
Asymptotic analysis of subcritical branching processes with regularly varying immigration | |
B1228: C. Neves | |
On trend estimation and testing with application to extreme rainfall | |
B1336: I. Papastathopoulos | |
Hidden tail chains |
Session EO374 | Room: MAL 251 |
y-SIS: From methodology to applications | Monday 16.12.2019 14:25 - 16:05 |
Chair: Alessia Caponera | Organizer: Alessia Caponera |
B1143: M. Stefanucci, A. Canale | |
Bayesian multiscale mixture of Gaussian kernels for density estimation | |
B0835: C. Capezza, A. Lepore, A. Menafoglio, B. Palumbo, S. Vantini | |
Functional control charts based on scalar-on-function linear model | |
B0900: C. Fronterre, E. Giorgi | |
Model based geostatistics and decision making: A parasite tale | |
B0875: F. Schirripa Spagnolo, R. Borgoni, A. Carcagni, A. Michelangeli, N. Salvati | |
Spatial M-quantile regression with covariate measurement error to model housing price in Milan |
Session EO679 | Room: MAL 252 |
Nonparametric statistics: Bayesian and frequentists | Monday 16.12.2019 14:25 - 16:05 |
Chair: Mayer Alvo | Organizer: Mayer Alvo |
B0399: P. Yu, K. Law, W.-K. Li | |
A new nonparametric tail risk measure | |
B0731: I. Schiopu-Kratina, H.Y. Liu, M. Alvo, P.-J. Bergeron | |
Modeling recurrent gap times and conditional estimating equations | |
B1071: M. Zarepour | |
Some new developments in nonparametric Bayesian inference | |
B0213: M. Alvo, F. Abbas-Aghababazadeh, D.R. Bickel | |
Estimating the local false discovery rate via a bootstrap solution to the reference class problem |
Session EO526 | Room: MAL 253 |
Graphical models and applications | Monday 16.12.2019 14:25 - 16:05 |
Chair: Reza Mohammadi | Organizer: Reza Mohammadi, CMStatistics |
B0961: L.C. Hinoveanu, F. Leisen, C. Villa | |
A loss-based prior for Gaussian graphical models | |
B0973: J. Mulder, D. Williams, L. Pericchi, P. Rast | |
Exploratory and confirmatory Bayesian tests for Gaussian graphical models | |
B1557: F. Rios | |
Bayesian learning of weakly structural Markov graph laws using sequential Monte Carlo methods | |
B1181: E. Perkovic, L. Henckel, M. Maathuis | |
Graphical criteria for efficient total effect estimation in causal linear models |
Session EO727 | Room: SH349 |
Dynamic time series modelling | Monday 16.12.2019 14:25 - 16:05 |
Chair: Pramita Bagchi | Organizer: Pramita Bagchi |
Session EC802 | Room: MAL 354 |
Contributions in time series II | Monday 16.12.2019 14:25 - 16:05 |
Chair: Liudas Giraitis | Organizer: CMStatistics |
B0499: A. Buteikis, R. Leipus | |
An integer-valued autoregressive process for seasonality | |
B2004: C. Nava, M.G. Zoia | |
From detection to forecast of the trend-cycle component in the frequency domain | |
B1701: C.T. Ng | |
Real time prediction of irregular periodic time series data | |
B1746: H. Nagao, S.-I. Ito | |
Uncertainty quantification for parameters and time series forecasting based on data assimilation |
Parallel session O: CFE | Monday 16.12.2019 | 14:25 - 16:05 |
Session CO789 | Room: MAL B02 |
Quantitative asset management | Monday 16.12.2019 14:25 - 16:05 |
Chair: Gaelle Le Fol | Organizer: Serge Darolles, Gaelle Le Fol |
A0773: T. Renault, D. Guegan | |
Investor sentiment and intraday bitcoin returns | |
A1183: B. Sagna | |
Evidence from a horse-race on the top of intra-daily forecasting models for algorithmic trading | |
A1464: N. Moreno, M. Lambert | |
The earnings-announcement-day news puzzle |
Session CO771 | Room: MAL B04 |
Bayesian econometrics | Monday 16.12.2019 14:25 - 16:05 |
Chair: Catherine Forbes | Organizer: Catherine Forbes |
A0494: N. Tomasetti, C. Forbes, A. Panagiotelis | |
Updating variational Bayes: Fast sequential posterior inference | |
A0634: M. Ellington, J. Barunik | |
Asset pricing using time-frequency dependent network centrality | |
A1013: C. Ausin, A. Virbickaite, P. Galeano | |
Copula stochastic volatility in oil returns: Approximate Bayesian computation with volatility prediction | |
A0871: G. Mitrodima | |
A Bayesian transformation model for forecasting asset returns |
Session CO651 | Room: MAL B20 |
Advances in time series and panel data econometrics | Monday 16.12.2019 14:25 - 16:05 |
Chair: Indeewara Perera | Organizer: Indeewara Perera |
A0551: N. Bailey, M.H. Pesaran, M. Aquaro | |
Estimation and inference for spatial models with heterogeneous coefficients: An application to U.S. house prices | |
A1125: A. Kaul, V. Jandhyala, S. Fotopoulos | |
Inference on the change point in high dimensional time series models | |
A1271: I. Perera, M. Silvapulle | |
Bootstrap methods for multiplicative error models | |
A1308: A. Cornea-Madeira, A. Halunga | |
Bootstrap tests for integer-valued GARCH models with covariates |
Session CO777 | Room: MAL B35 |
Forecasting with many predictors | Monday 16.12.2019 14:25 - 16:05 |
Chair: Daniel Borup | Organizer: Daniel Borup |
A0756: J.W. Hansen, C. Thimsen | |
Forecasting corporate earnings with machine learning | |
A1641: M. Siggaard | |
A machine learning approach to volatility forecasting | |
A0968: J. Jakobsen, D. Borup, B. Veliyev | |
The non-linear relationship between macro-financial state variables and market volatility | |
A0771: E.C.M. Schutte | |
Forecasting house prices using online search activity |
Session CO252 | Room: G4 |
Modeling regime change II | Monday 16.12.2019 14:25 - 16:05 |
Chair: Willi Semmler | Organizer: Willi Semmler |
A1426: S. Issa, W. Semmler | |
Oil prices and banking instability: A jump-diffusion model for bank capital structure | |
A1094: F. Jawadi | |
Multivariate nonlinear analysis of quarterly China's GDP and world oil price | |
A1783: V. Ajevskis | |
Non-stationary DSGE models with time-varying steady state | |
A2022: G. Di Bartolomeo, E. Beqiraj | |
The US post-war economic dynamics and price/wage setting processes: A regime-switching DSGE approach |
Session CO859 | Room: Chancellor's Hall |
State-space representations: Computation and applications | Monday 16.12.2019 14:25 - 16:05 |
Chair: Frederic Karame | Organizer: Frederic Karame |
A1750: M. Juillard | |
Kalman filter: A Julia implementation | |
A1790: M. Del Negro | |
Online estimation of DSGE models | |
A1785: F. Karame, A. Brouste | |
One-step online maximum likelihood for linear state-space representations |
Session CO380 | Room: Jessel |
Change point problems in stochastic processes: Theory and applications | Monday 16.12.2019 14:25 - 16:05 |
Chair: Ilia Negri | Organizer: Ilia Negri |
A1130: F. Akashi | |
Self-weighted GEL method for heavy-tailed ARMA models and its applications to various problems | |
A1425: K. Tsukuda | |
A change detection procedure for an ergodic diffusion process | |
A1285: S. Dachian, A. Amiri | |
On smooth change-point estimation for Poisson processes | |
A1211: I. Negri | |
Change point detection based on method of moment estimators |
Session CC830 | Room: MAL 351 |
Contributions in empirical finance | Monday 16.12.2019 14:25 - 16:05 |
Chair: Cesare Robotti | Organizer: CFE |
A0710: S. Ganem | |
Financial markets' reactions to the Greek crisis' policy response: A behavioural finance approach | |
A1791: M.M. Vich Llompart | |
When the (expected) loss quantiles go marching in | |
A1840: N. Zambon, M. Caporin | |
Allocation choice between pension fund and long term care: The investor's perspective in the Italian market | |
A1906: H. Li, C. Diks, V. Panchenko | |
Predicting intraday return patterns based on overnight returns for the US stock market |
Session CC829 | Room: MAL 352 |
Contributions in econometrics modelling | Monday 16.12.2019 14:25 - 16:05 |
Chair: Tso-Jung Yen | Organizer: CFE |
A1812: H. Nguyen, C. Ausin, P. Galeano | |
Sovereign default of European countries: Evidence from truncated factor vine copula model of CDS Spreads | |
A1837: H. Shimizu | |
A Bayesian analysis of the extended Poisson regression | |
A1980: M. Marchese, R. Payne | |
The disposition effect: Behavioural evidences from a quantile regression with fixed effects and attrition | |
A1724: K. Kakamu | |
Bayesian analysis of lognormal mixtures with an unknown number of components from grouped data |
Parallel session P: CMStatistics | Monday 16.12.2019 | 16:35 - 17:50 |
Session EO560 | Room: CLO B01 |
Functional analysis for multiple type data | Monday 16.12.2019 16:35 - 17:50 |
Chair: Xiongtao Dai | Organizer: Catherine Liu |
Session EO306 | Room: MAL B02 |
Imaging genetics | Monday 16.12.2019 16:35 - 17:50 |
Chair: Mark Fiecas | Organizer: Wesley Thompson, Mark Fiecas |
B0232: A. Kaplan, M. Fiecas, E. Lock | |
Bayesian GWAS with structured and non-local priors | |
B1216: A. Schwartzman, A. Schork, R. Zablocki, W. Thompson | |
A simple, consistent estimator of SNP heritability from genome-wide association studies | |
B1555: W. Thompson | |
Covariate-modulated shrinkage estimator for imaging and genetics |
Session EO530 | Room: MAL B04 |
Recent advances in methods for dynamic treatment regimes | Monday 16.12.2019 16:35 - 17:50 |
Chair: Kristin Linn | Organizer: Kristin Linn |
B0227: T. Murray | |
A Bayesian imputation approach to optimizing dynamic treatment regimes | |
B0725: E. Moodie | |
User-friendly estimation of optimal adaptive treatment strategies | |
B1722: N. Seewald, D. Almirall | |
Sample size considerations for comparing dynamic treatment regimes in a SMART with a longitudinal outcome |
Session EO270 | Room: MAL B20 |
Statistical genomics and machine learning | Monday 16.12.2019 16:35 - 17:50 |
Chair: Wei Pan | Organizer: Wei Pan |
B1699: W. Pan | |
Deep learning in neuro-imaging genetics | |
B1740: H. Jiang | |
Efficient algorithms for resampling-based hypothesis testing in genomic data analysis | |
B1960: H. Yang, W. Pan | |
Incorporating a large number of functional annotations in penalized linear regression |
Session EO701 | Room: MAL B35 |
Estimation and prediction using time-to-event data | Monday 16.12.2019 16:35 - 17:50 |
Chair: Feng-Chang Lin | Organizer: Feng-Chang Lin |
B0337: C.-L. Su, R. Platt, J.-F. Plante | |
Causal inference for recurrent event data using pseudo-observations | |
B1774: F.-C. Lin, C.-L. Su | |
Analysis of cyclic recurrent event data with multiple event types | |
B1990: S.H. Chiou, J. Qian, R. Betensky, M. Austin | |
Transformation model estimation of survival under dependent truncation and independent censoring |
Session EO602 | Room: MAL B36 |
Optimal transport and statistics | Monday 16.12.2019 16:35 - 17:50 |
Chair: Quentin Berthet | Organizer: Quentin Berthet |
B1230: V. Perchet | |
Private learning and regularized optimal transport | |
B1343: A. Korba | |
Maximum mean discrepancy gradient flow | |
B1389: A. Genevay | |
Sinkhorn divergences: Bridging the gap between optimal transport and MMD |
Session EO466 | Room: Bloomsbury |
Statistical models for financial distress | Monday 16.12.2019 16:35 - 17:50 |
Chair: Marialuisa Restaino | Organizer: Marcella Niglio, Marialuisa Restaino |
B0409: F. Sigrist | |
Grabit: Gradient tree-boosted Tobit models for default prediction | |
B0962: M.S. Andreano, R. Benedetti, F. Piersimoni, A. Mazzitelli | |
Spatial dependence and localization in bankruptcy prediction: A comparative analysis on Italian manufacturing firms | |
B1497: A.M. Fiori, A. Avellone, I. Foroni | |
Nonlinear loss aversion and portfolio optimization |
Session EO687 | Room: G11 |
Innovative statistical methods for meta-analysis | Monday 16.12.2019 16:35 - 17:50 |
Chair: Lifeng Lin | Organizer: Lifeng Lin |
B0471: L. Lin | |
Hybrid test for publication bias in meta-analysis | |
B0472: J. Zhang | |
Data-dynamic synthesis of historical information through network meta-analysis | |
B0474: H. Chu, J. Zhou, J. Hodges | |
A Bayesian hierarchical CACE model accounting for incomplete noncompliance data in meta-analysis |
B1541: M. Slavtchova-Bojkova, K. Vitanov | |
Numerical schemes and algorithms for branching processes models in cancer | |
B1951: I.M. del Puerto, M. Gonzalez Velasco, C. Minuesa Abril | |
Likelihood-free simulation methodologies for controlled branching processes | |
B1952: M. Gonzalez Velasco, C. Gutierrez Perez, A. Leon Naranjo, R. Martinez Quintana | |
Bayesian inference for a multitype two-sex branching process for X-linked recessive disorders |
Session EO124 | Room: MAL G13 |
Doubly stochastic counting processes | Monday 16.12.2019 16:35 - 17:50 |
Chair: Paula Bouzas | Organizer: Paula Bouzas |
B0599: N. Ramesh | |
Doubly stochastic Poisson processes in hydrological modelling | |
B0608: A.C. Cebrian, J. Asin | |
Multivariate Poisson processes with random effects to model spatial dependence | |
B1214: L.G. Jensen, U. Hahn | |
Doubly stochastic point processes in time and space as a model for photoactivated localization microscopy data |
Session EO068 | Room: MAL G14 |
Projection pursuit: Theory | Monday 16.12.2019 16:35 - 17:50 |
Chair: Nicola Loperfido | Organizer: Nicola Loperfido |
B0422: N. Loperfido | |
Multivariate kurtosis, projection pursuit and tensor eigenvectors: A triangulation | |
B0870: J. Kent | |
Affine vs orthogonal equivariance in multivariate analysis | |
B1109: J.A. Branco, A.M. Pires | |
Limitations of projection pursuit methods for high dimensional data |
Session EO326 | Room: MAL G15 |
Bayesian spatial modelling | Monday 16.12.2019 16:35 - 17:50 |
Chair: Silvia Liverani | Organizer: Silvia Liverani |
B0820: A. Boulieri, M. Blangiardo | |
Detecting life expectancy anomalies in England using a Bayesian hierarchical model | |
B1095: C. Utazi | |
Bayesian statistical machine learning methods for mapping health and development metrics using big data | |
B1171: M. Gramatica, P. Congdon, S. Liverani | |
Bivariate borrowing strength for diabetes risk mapping in London with misaligned data: A multiple membership approach |
Session EO362 | Room: MAL G16 |
Advances in Bayesian modelling | Monday 16.12.2019 16:35 - 17:50 |
Chair: Maria De Iorio | Organizer: Maria De Iorio |
B1914: S. Montagna, T. Nichols, T. Johnson | |
A Bayesian approach to the joint analysis of multi-type image-based and coordinate-based neuroimaging meta-analysis data | |
B2007: G. Rosner, Z. Wang, C. Wang | |
A Bayesian decision-theoretic design for a treatment-selection biomarker | |
B1851: M. Molinari | |
Modelling ethnic differences in metabolic associations via Bayesian nonparametric processes |
Session EO831 | Room: CLO 101 |
Recent developments on data depth and its applications | Monday 16.12.2019 16:35 - 17:50 |
Chair: Pavlo Mozharovskyi | Organizer: Pavlo Mozharovskyi |
B0619: S. Nagy | |
The halfspace depth characterization problem | |
B0709: G. Staerman, P. Mozharovskyi, S. Clemencon | |
The area of the convex hull of sampled curves: A robust functional statistical depth measure | |
B0815: K. Tor, R. Douc, P. Mozharovskyi, F. Roueff | |
Imputation of missing values by pseudo-marginal simulated annealing algorithm using depth statistics |
Session EO490 | Room: MAL 152 |
New advances in nonparametric Bayesian methods | Monday 16.12.2019 16:35 - 17:50 |
Chair: Guanyu Hu | Organizer: Yishu Xue, Guanyu Hu |
B0398: J. Jiao, G. Hu, J. Yan | |
A Bayesian semiparametric approach for spatial nonhomogeneous Poisson process with applications | |
B0324: W. Gao, W. Nam, I. Kim, W. Zhou | |
Nonparametric Bayesian functional clustering for breast cancer disparities | |
B0456: L. Geng, G. Hu | |
Bayesian spatial homogeneity pursuit for survival data |
Session EO154 | Room: MAL 252 |
Multivariate high-dimensional statistical learning | Monday 16.12.2019 16:35 - 17:50 |
Chair: Teng Zhang | Organizer: Xin Zhang |
Session EO518 | Room: MAL 253 |
Data confidentiality for frequency tables | Monday 16.12.2019 16:35 - 17:50 |
Chair: Stefano Favaro | Organizer: Stefano Favaro |
B0236: A. Schein, Z.S. Wu, A. Schofield, M. Zhou, H. Wallach | |
Locally private Bayesian inference for Poisson factorization models | |
B0352: Y. Rinott | |
Privacy in data dissemination, differential privacy, and analysis of perturbed data | |
B1085: F. Panero, S. Favaro, F. Camerlenghi, Z. Naulet | |
Optimal nonparametric disclosure risk assessment |
Session EO116 | Room: SH349 |
Statistics for complex inference problems in data science | Monday 16.12.2019 16:35 - 17:50 |
Chair: Shevaun Neupert | Organizer: Min-ge Xie |
B0384: J. Hannig, H. Iyer | |
On the calibration of Bayes factors | |
B1090: T. Dasgupta, B. Libgober | |
An email-experiment to identify the effect of racial discrimination on legal assistance: A statistical approach | |
B1811: D. Sun | |
Recent developments in Bayesian multivariate one-way ANOVA models |
Session EG732 | Room: MAL 153 |
Contributions in mixed models | Monday 16.12.2019 16:35 - 17:50 |
Chair: Christopher McMahan | Organizer: CMStatistics |
B1548: K. Reluga, M.J. Lombardia, S. Sperlich | |
Simultaneous inference for empirical the best predictor under generalized linear mixed models | |
B1653: A. Wolny-Dominiak, T. Zadlo | |
qape: R package to estimate prediction accuracy in mixed models based on bootstrap methods | |
B1922: S. Elkantassi, A. Davison | |
Accurate likelihood inference on boundaries |
Session EG856 | Room: MAL 251 |
Contributions in computational and methodological statistics | Monday 16.12.2019 16:35 - 17:50 |
Chair: Cristian Gatu | Organizer: CMStatistics |
B1646: A. Muhammad, A. Majid | |
The Almon M-estimator for the distributed lag models in the presence of outliers | |
B2020: D. Palumbo | |
Testing and modelling time series with time varying tails | |
B2027: T. Jendoubi, K. Strimmer | |
Entropy-based criteria for multivariate association and omics network models |