KEYNOTE TALKS
| Opening | Tuesday 19.6.2018 | 08:45 - 09:00 | Room: Wong Cheung Lo Hui Yuet Hall |
| Opening speach | |||
| Speaker: H. Yan | Chair: Alan Wan | ||
| Keynote talk 1 | Tuesday 19.6.2018 | 09:00 - 09:50 | Room: Wong Cheung Lo Hui Yuet Hall |
| Functional mixed effects models for longitudinal functional responses | |||
| Speaker: J.-L. Wang Co-authors: H. Zhu, K. Chen, X. Luo, Y. Yuan | Chair: Ana Colubi | ||
| Keynote talk 2 | Tuesday 19.6.2018 | 17:40 - 18:30 | Room: Wong Cheung Lo Hui Yuet Hall |
| Selection of an optimal rolling window in time-varying predictive regression | |||
| Speaker: Y. Hong Co-authors: Y. Sun, S. Wang | Chair: Alan Wan | ||
| Keynote talk 3 | Thursday 21.6.2018 | 17:25 - 18:15 | Room: LT-1 |
| On choosing mixture components via non-local priors | |||
| Speaker: M. Steel Co-authors: D. Rossell, J. Fuquene | Chair: Mike So | ||
PARALLEL SESSIONS
| Parallel session B: EcoSta2018 | Tuesday 19.6.2018 | 10:25 - 12:30 |
| Session EI002 | Room: LT-17 |
| Recent advances in nonparametric statistics | Tuesday 19.6.2018 10:25 - 12:30 |
| Chair: Alan Wan | Organizer: Alan Wan |
| E0157: D. Henderson, J.M. Rodriguez-Poo, A. Soberon | |
| Nonparametric multi-dimensional fixed effect panel data models | |
| E0526: J. Lv, Y. Fan, J. Wang | |
| DNN: A two-scale distributional tale of causal inference | |
| E0796: X. Wang, J. Berger | |
| Estimating shape constrained functions using Gaussian processes |
| Session EO224 | Room: LT-11 |
| Nonlinearity in regression models | Tuesday 19.6.2018 10:25 - 12:30 |
| Chair: Feng Yao | Organizer: Feng Yao |
| E0166: K. Sun, S. Kumbhakar | |
| A four-component semiparametric stochastic frontier model with endogenous regressors and determinants of inefficiency | |
| E0176: Z. Wu, K. Shi, J. Xu | |
| Intermediate goods price shock, vertical trade and exchange rate regime | |
| E0200: T. Wang, F. Yao | |
| A consistent gradient-based nonparametric test for regression structures | |
| E0286: F. Yao, Q. Lu, J. Zhang | |
| Efficient estimation in varying coefficient panel data model with different smoothing variables and fixed effects | |
| E0687: A. Basistha, R. Startz | |
| Monetary shock measurement and stock markets |
| Session EO149 | Room: LT-12 |
| Statistical machine learning | Tuesday 19.6.2018 10:25 - 12:30 |
| Chair: Yiming Ying | Organizer: Yiming Ying |
| E0175: L. Keele, D. Small | |
| A comparison of matching and machine learning-based covariate adjustment | |
| E0197: T. Hu | |
| Convergence of gradient descent method for minimum error entropy principle | |
| E0205: Q. Wu, N. Zhang | |
| Online learning for supervised dimension reduction | |
| E0260: J. Fan | |
| Spectral algorithms for functional linear regression | |
| E0340: X. Guo, T. Hu, Q. Wu | |
| Reproducing kernels for pairwise learning |
| Session EO328 | Room: LT-13 |
| Financial econometrics | Tuesday 19.6.2018 10:25 - 12:30 |
| Chair: Erricos Kontoghiorghes | Organizer: Erricos Kontoghiorghes |
| E0786: S. Bryzgalova, C. Julliard | |
| Consumption-based risk of bonds and stocks | |
| E0750: C. Kleiber | |
| Some moment problems arising in financial econometrics | |
| E0469: L. Chen | |
| Trending heterogeneous and time-varying coefficient panel data models with endogeneity and fixed effects | |
| E0183: S. Kwok | |
| Nonparametric inference on the self-excitation of jumps in jump diffusion models |
| Session EO034 | Room: LT-14 |
| Efficient learning for large-scale data | Tuesday 19.6.2018 10:25 - 12:30 |
| Chair: Wei Zheng | Organizer: Junhui Wang |
| E0653: J. Zhu | |
| High-dimensional Gaussian graphical model for network-linked data | |
| E0303: P. Ma | |
| Asympirical method: A new paradigm for the statistical analysis of large samples | |
| E0209: S. Yu, T. Cai | |
| Enabling phenotypic big data with PheNorm | |
| E0453: Q. Lin | |
| Global testing under sparse alternative for single index model | |
| E0797: X. Zhang | |
| An asymptotically efficient test for functional coefficient models |
| Session EO192 | Room: LT-16 |
| Recent advances in Bayesian nonparametric theory | Tuesday 19.6.2018 10:25 - 12:30 |
| Chair: Botond Szabo | Organizer: Botond Szabo |
| E0186: J. Schmidt-Hieber, M. Reiss | |
| Nonparametric Bayesian analysis for support boundary recovery | |
| E0206: C. Gao | |
| Convergence rates of variational posterior distributions | |
| E0356: S. van der Pas, V. Rockova | |
| Posterior concentration for Bayesian regression trees and their ensembles | |
| E0491: D. Pati, A. Bhattacharya, Y. Yang | |
| Coverage aspects of Gaussian processes with an application to particle Physics | |
| E0573: A.J. Coca | |
| Nonparametric Bayesian contraction rates for compound Poisson processes observed discretely at arbitrary frequencies |
| Session EO032 | Room: LT-18 |
| Recent development for modern change-point analysis | Tuesday 19.6.2018 10:25 - 12:30 |
| Chair: Hao Chen | Organizer: Hao Chen |
| E0441: X. Fang | |
| Segmentation and estimation of change-point models | |
| E0576: C. Zheng, I. Eckley, P. Fearnhead | |
| A general theory for detecting changes-in-mean and changes-in-slope | |
| E0652: Y. Niu, N. Hao, H. Zhang, F. Xiao | |
| A super scalable algorithm for short segment detection | |
| E0795: G. Wang | |
| Consistent selection of the number of change-points via sample-splitting | |
| E0520: J. Li | |
| Change point detection in high-dimensional time series with both spatial and temporal dependence |
| Session EO044 | Room: P4701 |
| Statistical methods for systems monitoring | Tuesday 19.6.2018 10:25 - 12:30 |
| Chair: Inez Zwetsloot | Organizer: Inez Zwetsloot |
| E0343: K. Zhang, Z. Song, F. Tsung | |
| A transfer learning approach for modeling and monitoring in landslide sensor systems | |
| E0399: S. Wu | |
| Variable sampling interval np chart with estimated parameter | |
| E0405: M. Zhou | |
| A distribution-free multivariate change-point model for statistical process control | |
| E0642: W. Chattinnawat | |
| Generalized design of control chart for weighted-count data under measurement error | |
| E0460: I. Zwetsloot | |
| Monitoring data quality in a personalized health tracking system |
| Session EO018 | Room: P4703 |
| Estimation, modeling checking, and dimension reduction | Tuesday 19.6.2018 10:25 - 12:30 |
| Chair: Sung Nok Chiu | Organizer: Sung Nok Chiu |
| E0401: S.J. Shin | |
| A weighted learning approach for sufficient dimension reduction in binary classification | |
| E0678: L. Jin, S.N. Chiu, L. Zhu | |
| A constrained maximum likelihood estimation for skew normal mixtures | |
| E0679: J.K. Yoo | |
| A method selection guidance in dr-package | |
| E0681: Q. Jiang, F. Chen, Z. Feng | |
| Adaptive model checking for functional single-index models | |
| E0683: K. Hirose, Y. Terada | |
| Simple structure estimation via prenet penalization in factor analysis model |
| Session EO022 | Room: P4704 |
| Recent advances in survival analysis | Tuesday 19.6.2018 10:25 - 12:30 |
| Chair: Xingqiu Zhao | Organizer: Xingqiu Zhao |
| Session EO182 | Room: G4701 |
| Incomplete data and statistics in health studies | Tuesday 19.6.2018 10:25 - 12:30 |
| Chair: Christian Heumann | Organizer: Christian Heumann, Jianhui Zhou |
| E0278: X. Tong | |
| Robust semiparametric Bayesian methods in growth curve modeling with nonnormal missing data | |
| E0593: J. Bai, C. Crainiceanu | |
| Statistical methods for micro- and macro-level accelerometry data | |
| E0297: Y. Lu | |
| Medical image analysis and its applications | |
| E0485: S. Faisal, C. Heumann | |
| Nearest neighbor imputation in longitudinal studies | |
| E0487: F.M. Zahid, C. Heumann | |
| Time efficient multiple imputation with penalization for high-dimensional data |
| Session EO308 | Room: B4302 |
| Alternative risk premia | Tuesday 19.6.2018 10:25 - 12:30 |
| Chair: Serge Darolles | Organizer: Serge Darolles |
| E0565: G. Monarcha | |
| Alternative risk premia: Benchmarking and performance evaluation | |
| E0493: G. Feng, N. Polson, J. Xu | |
| Deep learning alpha | |
| E0319: J. Cao | |
| Volatility uncertainty and the cross-section of option returns | |
| E0358: Z. Gao, W. Jiang, D. Choi | |
| Attention to global warming | |
| E0621: S. Darolles, M. Lambert | |
| Dynamic analysis of the ARP investment universe |
| Parallel session C: EcoSta2018 | Tuesday 19.6.2018 | 14:00 - 15:40 |
| Session EO012 | Room: LT-11 |
| Large-scale modeling and prediction of financial asset returns | Tuesday 19.6.2018 14:00 - 15:40 |
| Chair: Marc Paolella | Organizer: Marc Paolella |
| E0502: P. Walker, M. Paolella | |
| Risk parity portfolio allocation under non-Gaussian returns | |
| E0624: M. Gambacciani | |
| A robust knock-out strategy for an high-dimensional portfolio choice problem | |
| E0734: C. Morana | |
| Regularized semiparametric estimation of vast dynamic conditional covariance matrices | |
| E0800: M. Paolella | |
| COMFORT-Able finance: Extensions of a paradigm for large-scale modeling of asset returns and portfolio construction |
| Session EO202 | Room: LT-12 |
| Recent advances in large-scale inference | Tuesday 19.6.2018 14:00 - 15:40 |
| Chair: Miles Lopes | Organizer: Peter Radchenko, Gourab Mukherjee |
| E0534: P. Radchenko, G. Mukherjee, T. Banerjee | |
| Clustering and feature screening via L1 fusion penalization | |
| E0532: M. Lopes, A. Blandino, A. Aue | |
| Bootstrapping spectral statistics in high dimensions | |
| E0715: Q. Zhao, Y. Song | |
| Confounder adjustment in large-scale linear structural models |
| Session EO081 | Room: LT-13 |
| Advances in financial time series analysis | Tuesday 19.6.2018 14:00 - 15:40 |
| Chair: Mike So | Organizer: Toshiaki Watanabe |
| E0422: M. Ubukata, T. Andersen, V. Todorov | |
| Risk premia dynamics of the Japanese financial markets | |
| E0509: C.W.-S. Chen, T. Watanabe | |
| Bayesian modelling and forecasting of value-at-risk via threshold realized volatility | |
| E0542: S. Mukunoki, K. Oya | |
| Estimation for affine term structure with smooth transition | |
| E0587: M. So | |
| High-dimensional dynamic covariance modeling via risk factors mapping |
| Session EO016 | Room: LT-14 |
| Recent advances in functional data analysis | Tuesday 19.6.2018 14:00 - 15:40 |
| Chair: Ci-Ren Jiang | Organizer: Ci-Ren Jiang |
| E0189: M. Imaizumi, K. Kato | |
| A simple method to construct confidence bands in functional linear regression | |
| E0237: Z. Lin, H.-G. Mueller, F. Yao | |
| Mixture inner product spaces and their application to functional data analysis | |
| E0530: Y. Fan | |
| Correcting selection bias via functional empirical Bayes | |
| E0785: Y. Li | |
| Covariance estimation and principal component analysis for spatially dependent functional data |
| Session EO257 | Room: LT-16 |
| Bayesian methods: Novel applications | Tuesday 19.6.2018 14:00 - 15:40 |
| Chair: Michele Guindani | Organizer: Michele Guindani |
| E0547: R. Argiento | |
| A hierarchical nonparametric approach for robust graphical modelling | |
| E0445: D. Telesca | |
| Probabilistic analysis of multi-way random functions | |
| E0650: W. Johnson | |
| Clustering longitudinal biomarker data using Dirichlet process mixtures | |
| E0717: R. Graziani, S. Venturini | |
| Network meta-analysis for adverse events: A discrete multivariate Bayesian approach with Gaussian copulas |
| Session EO006 | Room: LT-17 |
| Non-causal time series models | Tuesday 19.6.2018 14:00 - 15:40 |
| Chair: Alain Hecq | Organizer: Alain Hecq |
| E0190: S. Fries | |
| Predictive distribution of anticipative alpha-stable Markov processes | |
| E0235: S. Telg, A. Hecq, L. Lieb, S. Telg | |
| Simulation, estimation and selection of mixed causal-noncausal autoregressive models: The MARX package | |
| E0243: L. Sun, A. Hecq | |
| Detecting time reversibility using quantile autoregressions | |
| E0250: G. Cavaliere, I. Georgiev | |
| Bootstrap inference under random distributional limits |
| Session EO079 | Room: LT-18 |
| Statistical modeling and inference for stochastic processes | Tuesday 19.6.2018 14:00 - 15:40 |
| Chair: Yuta Koike | Organizer: Hiroki Masuda |
| E0474: Y. Koike | |
| Testing the absence of lead-lag effects in high-frequency data | |
| E0518: S. Eguchi | |
| Data driven time scale for ergodic diffusion processes in YUIMA package | |
| E0533: Y. Uehara, H. Masuda | |
| Estimation of jump diffusion models by Jarque-Bera normality test |
| Session EO261 | Room: P4701 |
| Latent variable models and psychometrics | Tuesday 19.6.2018 14:00 - 15:40 |
| Chair: Gongjun Xu | Organizer: Gongjun Xu |
| E0173: K.C. Santos, A. de Leon, J. de la Torre, M. Ren | |
| Conditional dependence among items in DINA model: Application of the multivariate probit model | |
| E0212: C. Wang | |
| Item calibration methods for multi-stage design | |
| E0299: J. Liu | |
| A fused latent and graphical model | |
| E0426: C.-Y. Chiu | |
| A procedure for assessing the completeness of the Q-matrices of cognitively diagnostic tests |
| Session EO051 | Room: P4703 |
| Recent advances in modelling and clustering via mixture models | Tuesday 19.6.2018 14:00 - 15:40 |
| Chair: Geoffrey McLachlan | Organizer: Geoffrey McLachlan |
| E0411: S.-K. Ng | |
| A mixture regression model of multivariate generalized Bernoulli distributions | |
| E0527: A. Jones, G. McLachlan | |
| Simultaneous detection of differential gene expression and gene clustering using mixture models | |
| E0682: S. Lee | |
| Mixture modelling with scale mixtures of skew normal distributions | |
| E0594: S. Rathnayake | |
| Assessment of model fit in clustering via mixture models |
| Session EO304 | Room: P4704 |
| Recent advance in (semi)parametric modelling | Tuesday 19.6.2018 14:00 - 15:40 |
| Chair: Thomas Fung | Organizer: Thomas Fung |
| E0457: H. Doosti | |
| Nonparametric tilted function estimation: Some recent development | |
| E0451: J. Stoklosa, W.-H. Hwang | |
| A weighted partial likelihood approach for zero-truncated models | |
| E0589: B. Puang-Ngern, J. Ma, A. Bilgin, T. Kyng | |
| Semiparametric modelling in generalized linear models | |
| E0747: K. Xu | |
| Proportional hazard model estimation under dependent censoring using copulas and penalized likelihood |
| Session EO109 | Room: G4302 |
| Recent advances in time series and spatial analysis | Tuesday 19.6.2018 14:00 - 15:40 |
| Chair: Lily Wang | Organizer: Lily Wang |
| E0208: C. Yu | |
| Achieving parsimony in Bayesian VARs with the horseshoe prior | |
| E0225: P. Wang, J. Zhu | |
| Composite likelihood inference for replications of spatial ordinal data | |
| E0277: P. Du, Z. Gao | |
| Variance change point detection for data on a surface | |
| E0638: X. Song | |
| Proportional hazards model with time-dependent covariates measured with error at informative observation times |
| Session EO172 | Room: G4701 |
| High-dimensional statistics | Tuesday 19.6.2018 14:00 - 15:40 |
| Chair: Emre Barut | Organizer: Emre Barut |
| E0331: J. Lederer | |
| Practical methods for large and complex data | |
| E0339: W. Wang, J. Jin, T. Ke | |
| Influential features PCA for high dimensional clustering | |
| E0386: S. Deshpande, V. Rockova, E. George | |
| Simultaneous variable and covariance selection with the multivariate spike-and-slab lasso | |
| E0667: X. Tong | |
| A Neyman-Pearson approach to feature ranking |
| Session EO143 | Room: B4302 |
| Statistical computation for high-dimensional data and its application | Tuesday 19.6.2018 14:00 - 15:40 |
| Chair: Kei Hirose | Organizer: Kei Hirose |
| E0415: S. Kawano, H. Fujisawa, T. Takada, T. Shiroishi | |
| A one-stage estimation of principal component regression for generalized linear models | |
| E0618: M. Yamamoto | |
| A component-based approach for the clustering of multivariate categorical data | |
| E0698: X. Wang | |
| High dimensional covariance matrix estimation by penalizing the matrix-logarithm transformed likelihood | |
| E0543: H. Nagao, S.-I. Ito | |
| Data assimilation for massive autonomous systems based on a second-order adjoint method |
| Parallel session D: EcoSta2018 | Tuesday 19.6.2018 | 16:10 - 17:25 |
| Session EO113 | Room: LT-11 |
| Dynamic econometric modelling | Tuesday 19.6.2018 16:10 - 17:25 |
| Chair: Maria Kyriacou | Organizer: Chi Wan Cheang, Maria Kyriacou |
| E0548: X. Li, J. Davidson | |
| Moment and memory properties of exponential-type conditional heteroscedasticity models | |
| E0555: M. Kyriacou, Z. Lu, P.C. Phillips | |
| Spatial heterogeneous autoregression with varying-coefficient covariate effects | |
| E0586: C.W. Cheang | |
| Modelling nonlinear and fractionally cointegrated price discovery in commodity markets |
| Session EO233 | Room: LT-13 |
| Topics in financial econometrics and forecasting | Tuesday 19.6.2018 16:10 - 17:25 |
| Chair: Rachida Ouysse | Organizer: Rachida Ouysse |
| E0529: R. Ouysse | |
| Asset pricing with endogenous state-dependent risk aversion | |
| E0461: L. Pauwels, M. Asai, M. McAleer | |
| Volatility spillovers and latent network linkages |
| Session EO204 | Room: LT-14 |
| Computation and inference with large amounts of data | Tuesday 19.6.2018 16:10 - 17:25 |
| Chair: HaiYing Wang | Organizer: HaiYing Wang |
| E0223: F. Roosta, M. Mahoney | |
| Efficient second-order optimization methods for machine learning | |
| E0686: D. Wiens, R. Nie, Z. Zhai | |
| Model robust scenarios for active learning | |
| E0746: G. Hu | |
| A Bayesian spatial-temporal model with latent MLG random effects with application to earthquake magnitudes |
| Session EO117 | Room: LT-15 |
| Bayesian hierarchical models and computational methods | Tuesday 19.6.2018 16:10 - 17:25 |
| Chair: Siew Li Linda Tan | Organizer: Siew Li Linda Tan |
| E0321: C. Li, R. Guhaniyogi, T. Savitsky, S. Srivastava | |
| A divide-and-conquer Bayesian approach to large-scale kriging | |
| E0360: D. Gunawan, C.K. Carter, R. Kohn | |
| Efficiently combining pseudo marginal and particle Gibbs sampling | |
| E0424: X. Wang, D. Nott, C. Drovandi, K. Mengersen, M. Evans | |
| Using history matching for prior choice |
| Session EO141 | Room: LT-16 |
| Theoretical perspectives for Bayesian nonparametrics | Tuesday 19.6.2018 16:10 - 17:25 |
| Chair: Yongdai Kim | Organizer: Yongdai Kim |
| E0185: M. Chae, L. Lin, D. Dunson | |
| Bayesian sparse linear regression with unknown symmetric error | |
| E0472: B. Szabo, I. Castillo, T. van Erven | |
| Uncertainty quantification and computational methods for the spike and slab prior | |
| E0553: B. Kleijn | |
| What is asymptotically testable and what is not |
| Session EO065 | Room: LT-17 |
| New developments in time series econometrics | Tuesday 19.6.2018 16:10 - 17:25 |
| Chair: Daniel Preve | Organizer: Daniel Preve |
| E0192: T. Yang | |
| Asymptotic trimming for importance sampling estimators with infinite variance | |
| E0731: L. Cui, Y. Hong, Y. li | |
| Solving asset pricing models Via nonparametric two-stage penalized B-spline regression | |
| E0591: D. Preve, M. Meitz, P. Saikkonen | |
| A mixture autoregressive model based on Student's t-distribution |
| Session EO030 | Room: LT-18 |
| Statistical methods for functional data | Tuesday 19.6.2018 16:10 - 17:25 |
| Chair: Jeng-Min Chiou | Organizer: Jeng-Min Chiou |
| E0619: Y. Terada, M. Yamamoto | |
| Subspace clustering for functional data | |
| E0437: Y.-T. Chen, J. Aston, J.-M. Chiou | |
| Spatially constrained functional clustering using nearest neighbors |
| Session EO231 | Room: P4302 |
| Stochastic frontier analysis, heterogeneity and dependence | Tuesday 19.6.2018 16:10 - 17:25 |
| Chair: Artem Prokhorov | Organizer: Artem Prokhorov |
| E0788: L. Wang | |
| A new approach to estimate intergenerational mobility elasticities | |
| E0253: H.-P. Lai | |
| Firm heterogeneity and dynamic panel stochastic frontier Models | |
| E0812: H.-J. Wang, Y.-F. Huang, S. Luo | |
| Uncertainty and business cycle asymmetry: An application of a serially-correlated two-tier SF model | |
| E0467: A. Prokhorov, P. Schmidt, C. Amsler | |
| A new family of copulas, with application to the estimation of a production frontier system |
| Session EO170 | Room: P4703 |
| Recent advances in functional and multivariate data analysis | Tuesday 19.6.2018 16:10 - 17:25 |
| Chair: Yuko Araki | Organizer: Yuko Araki |
| E0604: Y. Araki | |
| Functional classification for high dimensional data | |
| E0514: T. Misumi, H. Matsui, S. Konishi | |
| Multivariate functional clustering and its application to typhoon data | |
| E0362: A. Kawaguchi | |
| Supervised sparse hierarchical components analysis with application to resting-state functional MRI data |
| Session EO318 | Room: P4704 |
| Advanced computational methods for modelling complex survival data | Tuesday 19.6.2018 16:10 - 17:25 |
| Chair: Yi Niu | Organizer: Jiajia Zhang |
| E0305: A. Lawson, G. Onicescu | |
| Bayesian cure-rate survival modeling with spatially structured censoring | |
| E0458: L. Guo, X.J. Hu, Y. Liu | |
| The Cox proportional hazards cure model in application of disease screening | |
| E0471: Y. Peng | |
| Some computational methods for cure models |
| Session EO121 | Room: G4302 |
| Forecasting/forecast combination | Tuesday 19.6.2018 16:10 - 17:25 |
| Chair: Andrey Vasnev | Organizer: Andrey Vasnev |
| E0330: W. Wang, X. Zhang, R. Paap | |
| To pool or not to pool: Looking for a good strategy for parameter estimation and forecasting in panel regressions | |
| E0450: A. Vasnev, L. Pauwels, P. Radchenko | |
| Theory and practice of combining forecasts of higher moments in financial data | |
| E0180: R. Zhu, A. Wan, X. Zhang, G. Zou | |
| A Mallows-type model averaging estimator for the varying-coefficient partially linear model |
| Session EO119 | Room: G4701 |
| Inference for large complex data | Tuesday 19.6.2018 16:10 - 17:25 |
| Chair: Heng Lian | Organizer: Ming-Yen Cheng |
| E0199: T. Tong | |
| A diagonal likelihood ratio test for equality of mean vectors in high-dimensional data | |
| E0280: Y. Zhu | |
| A regularized model-based clustering method for image classification |
| Parallel session F: EcoSta2018 | Wednesday 20.6.2018 | 08:30 - 09:50 |
| Session EO275 | Room: LT-12 |
| Recent advances in high-dimensional nonparametric inference | Wednesday 20.6.2018 08:30 - 09:50 |
| Chair: Miles Lopes | Organizer: Debashis Paul |
| E0252: H. Chen, Y. Xia | |
| Gaussianity test for high-dimensional data | |
| E0344: R. Cheung | |
| Consistent estimation for partition-wise regression and classification models | |
| E0503: S. Chaudhuri | |
| Empirical likelihood based covariance matrix estimation |
| Session EO322 | Room: LT-14 |
| Statistical computing and optimization | Wednesday 20.6.2018 08:30 - 09:50 |
| Chair: Yoonkyung Lee | Organizer: Yoonkyung Lee |
| Session EO075 | Room: P4703 |
| Mixture models for censored and longitudinal data | Wednesday 20.6.2018 08:30 - 09:50 |
| Chair: Victor Hugo Lachos Davila | Organizer: Victor Hugo Lachos Davila |
| E0275: W.-L. Wang | |
| Clustering multi-outcome longitudinal data via finite mixtures of multivariate t linear mixed models | |
| E0579: C.E. Galarza Morales, V.H. Lachos Davila | |
| Analysis of longitudinal interval censored data using finite mixture of multivariate Student-t distributions | |
| E0361: V.H. Lachos Davila | |
| Finite mixture modeling of censored data using the multivariate Student-t distribution |
| Session EC295 | Room: LT-11 |
| Contributions in forecasting | Wednesday 20.6.2018 08:30 - 09:50 |
| Chair: Henghsiu Tsai | Organizer: EcoSta |
| E0778: L. Tafakori, H. Manner, B. Liu | |
| Forecasting multivariate realized volatility using time varying coefficient models | |
| E0766: A. Naghi | |
| Identification robust predictive ability testing | |
| E0790: B. Zhang | |
| Forecasting macroeconomic series by unobserved component models with ARMA-SV errors | |
| E0716: P. Gamakumara, A. Panagiotelis, G. Athanasopoulos, R. Hyndman | |
| Probabilistic forecasts in hierarchical time series |
| Session EC296 | Room: LT-18 |
| Contributions in computational and numerical methods | Wednesday 20.6.2018 08:30 - 09:50 |
| Chair: Berwin Turlach | Organizer: EcoSta |
| E0732: K.K. Osmundsen, T. Selland Kleppe, R. Liesenfeld | |
| Pseudo-Marginal Hamiltonian Monte Carlo with Efficient Importance Sampling | |
| E0737: M. Kuroda, Y. Mori | |
| Speed-up of bootstrap computation of the covariance matrix of MLEs from incomplete data | |
| E0780: F. Komaki | |
| Numerical computation of the higher order central moments of the multivariate normal distribution | |
| E0725: B.A.S. Lunde, T. Selland Kleppe, H. Skaug | |
| Saddlepoint adjusted inversion of characteristic functions |
| Session EC303 | Room: P4701 |
| Contributions in applied statistics and econometrics | Wednesday 20.6.2018 08:30 - 09:50 |
| Chair: Feng Chen | Organizer: EcoSta |
| E0677: J. Wang | |
| Optimal model averaging estimation for correlation structure in generalized estimating equations | |
| E0761: S. Wu, Y. Liu, M. Ng, M. Tanaka | |
| Application of multi-domain clustering to C. elegans neural network analysis | |
| E0760: L. Hanus, L. Vacha | |
| Time-frequency response analysis of monetary policy transmission | |
| E0168: P.C. Tsai | |
| Identifying leverage effect in intra-day volatility pattern: Toward a functional data analysis |
| Session EC298 | Room: P4704 |
| Contributions in statistical modelling | Wednesday 20.6.2018 08:30 - 09:50 |
| Chair: Ray-Bing Chen | Organizer: EcoSta |
| E0764: S. Sumetkijakan, T. Printechapat | |
| Full hairpin copulas are not factorizable | |
| E0743: T.F. Schaffland, S. Noventa, A. Kelava | |
| Estimation of factor scores: Comparing parametric and non-parametric approaches. | |
| E0727: Y. Jung, S. MacEachern, H. Kim | |
| Modified check loss for efficient model selection in quantile regression | |
| E0338: J. Guan, L. Wang | |
| Instrumental variable estimation in ordinal probit models with latent predictors |
| Session EC291 | Room: G4302 |
| Contributions in time series | Wednesday 20.6.2018 08:30 - 09:50 |
| Chair: Qiying Wang | Organizer: EcoSta |
| E0357: R.J. Ocenar, E. Barrios | |
| Anomaly detection in clustered multiple time series | |
| E0739: J. Lee, G. Kapetanios | |
| A test for serial dependence using neural networks | |
| E0799: L. Truquet, K. Fokianos | |
| Stationary and nonstationary time series models for categorical data | |
| E0670: C. Baum, J. Otero | |
| Response surface models for the Elliott-Rothenberg-Stock and Leybourne unit root tests |
| Session EC292 | Room: G4701 |
| Contributions in multivariate methods | Wednesday 20.6.2018 08:30 - 09:50 |
| Chair: Donatello Telesca | Organizer: EcoSta |
| E0783: Z.L. Lu, F. Gu | |
| Structural equation modeling and canonical correlation analysis | |
| E0729: T. Cannings, Y. Fan, R. Samworth | |
| Classification with imperfect training labels | |
| E0620: T. Soler, P. De Peretti, C. Chorro, E. Jay | |
| VAR estimation impacts on frequency causality measures | |
| E0748: S. Halder | |
| Selecting the number of maximum autocorrelation factors |
| Session EG329 | Room: LT-13 |
| Contributions in financial econometrics | Wednesday 20.6.2018 08:30 - 09:50 |
| Chair: Yang Shen | Organizer: EcoSta |
| E0712: F. Dias, F. Kiraly, G. Peters | |
| Testing for serial correlation of unknown form using signed path dependence | |
| E0722: P. Tuijp, T. van der Zwan, E. Hennink | |
| Equity risk factors for the long and short run: Pricing and performance at different frequencies | |
| E0759: F. Cech, J. Barunik | |
| A dynamic quantile model for bond pricing | |
| E0782: T. Tichy | |
| Portfolio strategies with optimal investment to derivatives |
| Session EG033 | Room: LT-17 |
| Contributions on structural breaks and change analysis | Wednesday 20.6.2018 08:30 - 09:50 |
| Chair: Bonsoo Koo | Organizer: EcoSta |
| E0302: M. Pesta, B. Pestova | |
| Abrupt change in mean using block bootstrap and avoiding variance estimation | |
| E0689: Y. Lin, E. Beutner, S. Smeekes | |
| GLS estimation and confidence sets for the date of a single break in models with trends | |
| E0733: Y. Rao | |
| Structural change and the problem of phantom break locations | |
| E0336: Y. Wang | |
| Optimal window selection for forecasting in the presence of recent structural breaks |
| Session EG056 | Room: P4302 |
| Contributions in modelling finance data and risk assessment | Wednesday 20.6.2018 08:30 - 09:50 |
| Chair: Kaijian He | Organizer: EcoSta |
| Session EG025 | Room: B4302 |
| Contributions on regression and applications | Wednesday 20.6.2018 08:30 - 09:50 |
| Chair: Hung-pin Lai | Organizer: EcoSta |
| E0261: X. Yao, M. Izzeldin | |
| Volatility forecasting using the HAR and lasso-based models: An empirical investigation | |
| E0714: M. Kim, Y. Ma | |
| Semiparametric efficient estimators in heteroscedastic error models | |
| E0801: P. Ng, Z. Xiao, K. Guler | |
| Forecast evaluations under asymmetric loss functions | |
| E0808: Y. Lin, W. Tang, J. Xie | |
| Active predictor detection by controlling the false discovery rate |
| Parallel session G: EcoSta2018 | Wednesday 20.6.2018 | 10:20 - 12:25 |
| Session EI008 | Room: LT-18 |
| Bayesian modeling for complex structures | Wednesday 20.6.2018 10:20 - 12:25 |
| Chair: Igor Pruenster | Organizer: Igor Pruenster |
| Session EO042 | Room: LT-11 |
| Recent advances in econometric theory and methods | Wednesday 20.6.2018 10:20 - 12:25 |
| Chair: Kaiji Motegi | Organizer: Kaiji Motegi |
| E0606: T. Kitagawa, Y. Arai, Y.-C. Hsu, I. Mourifie, Y. Wan | |
| Testing identifying assumptions in a fuzzy regression discontinuity design | |
| E0627: K. Zhu | |
| Model checks for nonlinear cointegrating regression | |
| E0254: F. Akashi, S. Bai, M. Taqqu | |
| Robust statistical inference for time series regression model by self-normalized subsampling method | |
| E0730: Z. Zhang, C. Ai, O. Linton | |
| A simple and efficient estimation method for models with nonignorable missing data | |
| E0210: K. Motegi, Z. Zhang, S. Hamori | |
| Calibration estimation for semiparametric copula models under missing data |
| Session EO186 | Room: LT-13 |
| Financial econometrics with high frequency data | Wednesday 20.6.2018 10:20 - 12:25 |
| Chair: Binyan Jiang | Organizer: Cheng Liu |
| E0270: Y. Dong, Y.-K. Tse | |
| Factor correlation matrix modelling of large-dimensional portfolio with high-frequency data | |
| E0273: N. Xia, J. Fan, Y. Li, X. Zheng | |
| Testing equality of principle components in factor models | |
| E0631: B. Jiang | |
| Penalized interaction estimation for ultrahigh dimensional quadratic regression | |
| E0794: S. Clinet, Y. Potiron | |
| Testing if the market microstructure noise is a function of the limit order book | |
| E0779: P. Tomanova | |
| Autoregressive conditional duration model with time-varying parameters for discrete trade durations |
| Session EO251 | Room: LT-14 |
| Machine learning theory | Wednesday 20.6.2018 10:20 - 12:25 |
| Chair: Andreas Christmann | Organizer: Ding-Xuan Zhou, Andreas Christmann |
| E0214: D.-X. Zhou | |
| Universality of deep CNNs and distributed learning | |
| E0211: D. Xiang, A. Christmann, D.-X. Zhou | |
| Total stability of support vector machines | |
| E0218: Y. Feng, J. Fan, J. Suykens | |
| Statistical learning for modal regression | |
| E0248: N. Muecke | |
| Lepskii principle in supervised learning | |
| E0429: A. Christmann | |
| Robustness and stability of kernel based learning |
| Session EO053 | Room: LT-17 |
| Modelling complex time series: Estimation and forecasting | Wednesday 20.6.2018 10:20 - 12:25 |
| Chair: Hsein Kew | Organizer: Degui Li |
| E0345: E. Kong | |
| An iterative approach for model selection in single-index varying coefficient models | |
| E0423: Y. Song, J. Maheu | |
| On the distribution of US banks size over time | |
| E0473: H. Kew, J. Gao, Y. Tu | |
| Adaptive estimation of semi-parametric partially linear predictive regression under heteroskedasticity | |
| E0562: J. Chen | |
| Semiparametric ultra-high dimensional model averaging of nonlinear dynamic time series | |
| E0582: D. Guo, P. Boyle, C. Weng, T. Wirjanto | |
| Eigen portfolio selection: A robust approach to Sharpe ratio maximization |
| Session EO040 | Room: P4701 |
| Recent semi/nonparametric statistical developments and their applications | Wednesday 20.6.2018 10:20 - 12:25 |
| Chair: Heng Lian | Organizer: Xiangrong Yin |
| E0231: Y. Niu | |
| Variable selection via penalized GEE for a marginal survival model | |
| E0329: E. Barut | |
| Stein discrepancy methods for robust estimation | |
| E0521: S. Harrar, X. Kong | |
| Multivariate tests in high dimensions and unstructured dependence | |
| E0455: Y. Zhang, C. Chu, W. Tu | |
| Analysis of longitudinal data anchored by interval censored events | |
| E0755: B. Yang | |
| Sufficient variable selection using independence measures for continuous responses |
| Session EO162 | Room: P4703 |
| Modern statistical methods for quality engineering | Wednesday 20.6.2018 10:20 - 12:25 |
| Chair: Mei Han | Organizer: Matthias Tan |
| Session EO147 | Room: P4704 |
| Semi- and nonparametric inference in survival analysis and reliability | Wednesday 20.6.2018 10:20 - 12:25 |
| Chair: Eric Beutner | Organizer: Eric Beutner, Laurent Bordes |
| E0348: S. Choi | |
| Locally weighted regression quantiles with competing risks | |
| E0367: J.-H. Shih, T. Emura | |
| Likelihood-based inference for latent failure time models with competing risks under the generalized FGM copula | |
| E0484: D. Dobler, M. Pauly | |
| Resampling-based inference for the Mann-Whitney effect for right-censored and tied data | |
| E0647: E. Beutner, L. Bordes, L. Doyen | |
| Semiparametric methods for recurrent event times models with application to virtual age models | |
| E0669: R. Braekers | |
| Modelling unbalanced hierarchical survival data using nested Archimedean copula functions |
| Session EO059 | Room: G4302 |
| Recent advances in time series and spatial econometrics and statistics | Wednesday 20.6.2018 10:20 - 12:25 |
| Chair: Zudi Lu | Organizer: Zudi Lu |
| E0198: H. Shiraishi, Y. Izumisawa, J. Hirukawa, T. Uno | |
| Time-varying graphs by locally stationary Hawkes processes | |
| E0163: G. Li | |
| Hybrid quantile regression estimation for time series models with conditional heteroscedasticity | |
| E0370: Y. Ke | |
| Robust factor model with partially explained covariates | |
| E0559: Z. Lu, D. Alsulami, Z. Jiang | |
| Semiparametric regularisation and estimation for partially nonlinear spatio-temporal regression models | |
| E0575: Q. Wang | |
| Least squares estimation for nonlinear regression models with heteroscedasticity |
| Session EO155 | Room: G4701 |
| Mixed-effects models and statistical modeling for complex data | Wednesday 20.6.2018 10:20 - 12:25 |
| Chair: Dalei Yu | Organizer: Dalei Yu |
| E0290: F. Chen, L. Shi, L. Zhu, X. Zhu | |
| Principal Hessian directions for mixture multivariate skew elliptical distributions | |
| E0285: X. Lai, K. Yau, L. LIU | |
| A competing risk model with bivariate random effects for clustered survival data | |
| E0751: S. Ferreira, D. Ferreira, C. Nunes, J. Mexia | |
| Estimation and confidence regions in models with orthogonal block structure | |
| E0752: J. Kim, K. Lee | |
| Bayesian cumulative logit random effects models for longitudinal ordinal data | |
| E0293: D. Yu, X. Zhang, K. Yau | |
| On the asymptotic properties and information criteria for misspecified generalized linear mixed models |
| Session EO137 | Room: B4302 |
| Optimality for insurance risk models | Wednesday 20.6.2018 10:20 - 12:25 |
| Chair: KC Yuen | Organizer: KC Yuen |
| E0323: Z. Sun | |
| Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option | |
| E0402: M. Chen, K. Yuen, W. Wang | |
| Optimal excess-of-loss reinsurance and dividend under thinning dependence | |
| E0390: M. Zhou, K. Yuen | |
| Optimal risk control with both fixed and proprotional transaction costs | |
| E0723: X. Liang, V. Young | |
| Annuitization and asset allocation under exponential utility | |
| E0374: K. Yuen | |
| Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure |
| Session EP001 | Room: 4/F University Concourse |
| Poster Session | Wednesday 20.6.2018 10:20 - 12:25 |
| Chair: Elena Fernandez Iglesias | Organizer: EcoSta |
| Parallel session H: EcoSta2018 | Wednesday 20.6.2018 | 14:00 - 15:40 |
| Session EO218 | Room: LT-11 |
| Seemingly unrelated papers in nonparametric econometrics | Wednesday 20.6.2018 14:00 - 15:40 |
| Chair: Daniel Henderson | Organizer: Daniel Henderson |
| E0318: A. Soberon, J.M. Rodriguez-Poo, P. Robinson | |
| Nonparametric panel data models with cross-sectional dependence | |
| E0177: C.-Y. Chu | |
| Nonparametric quantile regression for double censored data with application to stock markets with price limits | |
| E0420: J.-E. Chen | |
| Debiased machine learning for instrumental variable quantile regressions | |
| E0410: J. Tian | |
| Exporting behavior and labor share in Chinese manufacturing industries: A semiparametric approach |
| Session EO247 | Room: LT-12 |
| Nonparametric approaches for functional and high-dimensional data | Wednesday 20.6.2018 14:00 - 15:40 |
| Chair: Zhengwu Zhang | Organizer: Hongxiao Zhu |
| Session EO057 | Room: LT-14 |
| New development of functional data analysis | Wednesday 20.6.2018 14:00 - 15:40 |
| Chair: Lily Wang | Organizer: Yuhang Xu |
| E0322: L. Wang, G. Wang | |
| Spatially varying coefficient model for functional image-on-scalar regression | |
| E0349: J. Li | |
| Multi-threshold accelerated failure time model | |
| E0347: H. Liang | |
| Two-sample functional linear models | |
| E0470: Y. Wu, K. Shen, H.-G. Mueller, F. Yao | |
| Binary classification of functional data via continuously additive modeling |
| Session EO111 | Room: LT-15 |
| Methods for modeling spatio-temporal data | Wednesday 20.6.2018 14:00 - 15:40 |
| Chair: Won Chang | Organizer: Won Chang |
| E0417: W. Chang, S. Kim, H. Chae | |
| A Bayesian spatial market segmentation method using Dirichlet process-Gaussian mixture models | |
| E0387: X. Wang, L.L. Duan, R. Szczesniak | |
| Functional Inverted-Wishart for Bayesian multivariate spatial modeling | |
| E0431: R. Jandarov, Z. Zhu | |
| A unified exposure prediction approach for multivariate spatial data | |
| E0695: S. Yoon, D. Park | |
| Hierarchical Bayesian autoregressive models in South Korea ozone |
| Session EO194 | Room: LT-16 |
| Recent advances in Bayesian methods | Wednesday 20.6.2018 14:00 - 15:40 |
| Chair: Antonio Lijoi | Organizer: Matteo Ruggiero |
| E0178: D. Rossell | |
| Bayesian variable selection under misspecified errors | |
| E0408: M. Guindani | |
| A Bayesian nonparametric spiked process prior for dynamic model selection | |
| E0193: Y. Ni | |
| Scalable Bayesian nonparametric clustering and classification | |
| E0428: Z. Wu, L. Casiola-Rosen, A. Rosen, S. Zeger | |
| Estimating clusters from multivariate binary data via hierarchical Bayesian Boolean matrix factorization |
| Session EO061 | Room: LT-17 |
| Recent developments in time series analysis and insurance | Wednesday 20.6.2018 14:00 - 15:40 |
| Chair: Sangyeol Lee | Organizer: Sangyeol Lee |
| E0187: J. Hirukawa, S. Lee | |
| Asymptotic properties of mildly explosive processes with locally stationary disturbance | |
| E0219: S.-F. Huang, H.-L. Hsu | |
| Prediction intervals for time series and their applications to portfolio selection | |
| E0378: J.Y. Ahn, W. Lee, R. Oh | |
| Modeling the dependence in compound model using copula representation when the size of frequency is informative | |
| E0463: B. Ko | |
| Valuing equity-indexed annuities with icicled barrier options |
| Session EO320 | Room: LT-18 |
| Advances in statistical modelling for complex biomedical and health data | Wednesday 20.6.2018 14:00 - 15:40 |
| Chair: Shu-Kay Ng | Organizer: Shu-Kay Ng |
| Session EO259 | Room: P4302 |
| Bayesian methods in network analysis | Wednesday 20.6.2018 14:00 - 15:40 |
| Chair: Peter Orbanz | Organizer: Peter Orbanz |
| E0648: B. Bloem-Reddy | |
| Subsampling and inference for beta neutral-to-the-left models of random graphs | |
| E0661: C. Heaukulani | |
| Bayesian extensions of neural network-based graphon approximations | |
| E0617: A. Kirichenko, H. Zanten | |
| Function estimation on a large graph using Bayesian Laplacian regularization | |
| E0663: S. Williamson | |
| Nonparametric models for structured sparse graphs |
| Session EO014 | Room: P4701 |
| New advances in statistical computing and complex data analysis | Wednesday 20.6.2018 14:00 - 15:40 |
| Chair: Tsung-I Lin | Organizer: Tsung-I Lin |
| E0337: C.Y.-L. Hsiao, R. Fry-McKibbin, V. Martin | |
| Measuring financial interdependence in asset returns with an application to Euro Zone equities | |
| E0501: I. Beaudry, K. Gile | |
| Correcting for differential recruitment with respondent-driven sampling data | |
| E0599: M. Castro, V.H. Lachos Davila, W.-L. Wang, V. Inacio | |
| Bayesian semiparametric modeling for HIV longitudinal data with censoring and skewness | |
| E0531: T.-I. Lin, W.-L. Wang, L.M. Castro Cepero | |
| Mixtures of common restricted skew-t factor analyzers |
| Session EO200 | Room: P4703 |
| Recent advances in incomplete data analysis | Wednesday 20.6.2018 14:00 - 15:40 |
| Chair: Kin Yau Wong | Organizer: Kin Yau Wong |
| E0230: Q. Zhou | |
| Outcome-dependent sampling with interval-censored failure time data | |
| E0244: K. Morikawa, J.K. Kim | |
| Semiparametric optimal estimation with nonignorable nonresponse data | |
| E0355: B. Chen | |
| Generalization of Heckman selection model to nonignorable nonresponse using call-back information | |
| E0580: Y. Li | |
| Partition-based screening with ultrahigh-dimensional data |
| Session EO028 | Room: P4704 |
| Survival and count data analysis | Wednesday 20.6.2018 14:00 - 15:40 |
| Chair: Geoffrey Tso | Organizer: Geoffrey Tso |
| E0464: J. Wu | |
| JobEnomics: Firm growth prediction by online job posting data | |
| E0306: Y. Li | |
| Integrative gene-gene interaction analysis for high dimensional data | |
| E0259: K. He, G. Tso, Y. Zou | |
| Multiscale risk forecasting: A deep learning based ensemble approach | |
| E0232: L. Song, G. Tso | |
| A new survival model based on extended diffusion theory |
| Session EO105 | Room: G4701 |
| New algorithms in complex data analysis | Wednesday 20.6.2018 14:00 - 15:40 |
| Chair: Samuel Mueller | Organizer: Samuel Mueller |
| E0181: A. Zammit Mangion, B. Cseke, G. Sanguinetti, T. Heskes | |
| Sparse approximate inference for spatio-temporal point process models | |
| E0324: G. Tarr, I. Wilms | |
| Multi-class modelling for muscle level prediction of beef eating quality | |
| E0363: A. Huang, T. Fung | |
| Zero-inflated exponential families, with applications to count times-series | |
| E0612: B. Turlach | |
| Fitting models with complex qualitative constraints |
| Session EO010 | Room: B4302 |
| Modelling financial and insurance risks | Wednesday 20.6.2018 14:00 - 15:40 |
| Chair: Tak Kuen Siu | Organizer: Tak Kuen Siu |
| Parallel session I: EcoSta2018 | Wednesday 20.6.2018 | 16:10 - 17:50 |
| Session EO089 | Room: LT-11 |
| Big data in finance | Wednesday 20.6.2018 16:10 - 17:50 |
| Chair: Ningning Xia | Organizer: Xinghua Zheng |
| E0427: M. Ao, Y. Li, X. Zheng | |
| Solving the Markowitz optimization problem for large portfolios | |
| E0512: L. Du, C. Zou | |
| Dynamic change-detection with application to mutual fund selection | |
| E0645: Y. Luo, M. Spindler, V. Chernozhukov, X. Chen | |
| The bet for similarity: Adaptive discrete smoothing with application in finance | |
| E0440: X. Yang, X. Zheng, J. Chen, H. Li | |
| Testing high-dimensional covariance matrices under the elliptical distribution and beyond |
| Session EO214 | Room: LT-12 |
| Random projection approaches to high-dimensional statistical problems | Wednesday 20.6.2018 16:10 - 17:50 |
| Chair: Timothy Cannings | Organizer: Timothy Cannings |
| E0191: M. Slawski | |
| On the use of random projections for dimension reduction in linear regression | |
| E0584: H. Reeve, A. Kaban | |
| Classification in the presence of label noise: Structure-aware error bounds via random projections | |
| E0651: Z. Wang, Q. Xiao | |
| Classification algorithm based on random iterated projections | |
| E0694: R. Srivastava | |
| Supervised random projection T test for two sample test in high dimension |
| Session EO324 | Room: LT-13 |
| Nonlinear financial econometrics | Wednesday 20.6.2018 16:10 - 17:50 |
| Chair: Jeroen Rombouts | Organizer: Jeroen Rombouts, Francesco Violante |
| E0709: J. Rombouts | |
| Index and individual stock term structure of variance risk premia | |
| E0713: F. Violante, J. Rombouts, L. Bauwens | |
| Dynamic properties and correlation structure of a large panel of cryptocurrencies | |
| E0741: A. Heinen, M.L. Kim | |
| Geographic dependence and diversification in house price returns: The role of leverage | |
| E0770: L. Stentoft, J. Rombouts, F. Violante | |
| Pricing individual stock options using both stock and market index information: New results |
| Session EO083 | Room: LT-14 |
| Data, models, learning and beyond | Wednesday 20.6.2018 16:10 - 17:50 |
| Chair: Catherine Liu | Organizer: Catherine Liu |
| E0708: Z. Zhang | |
| Subgroup selection in adaptive signature designs of confirmatory clinical trials | |
| E0724: C. Liu, J. Shen, J. Yang | |
| Semiparametric Bayesian analysis for longitudinal mixed effects models with non-normal AR(1) errors | |
| E0726: H. Ma | |
| Quantile regression for functional partially linear models in ultra-high dimensions | |
| E0728: H. Wang, Y. Tang, Z. Gao | |
| Automatic shape-constrained nonparametric regression |
| Session EO063 | Room: LT-15 |
| Contemporary Bayesian inference for high-dimensional models | Wednesday 20.6.2018 16:10 - 17:50 |
| Chair: Richard Gerlach | Organizer: Richard Gerlach |
| E0433: R. Gerlach, M. Smith, W.O. Maneesoonthorn | |
| Inversion copulas for GARCH models and tail risk forecasting | |
| E0435: R. Loaiza-Maya, M. Smith | |
| Variational Bayes estimation of time series copulas for multivariate ordinal and mixed data | |
| E0447: M. Smith, N. Klein | |
| Implicit copulas from Bayesian regularized regression smoothers | |
| E0718: Y. Fan | |
| High-dimensional ABC |
| Session EO145 | Room: LT-17 |
| Predictive analytics and time series analysis | Wednesday 20.6.2018 16:10 - 17:50 |
| Chair: Cathy W-S Chen | Organizer: Cathy W-S Chen |
| Session EO314 | Room: LT-18 |
| Computation challenges in statistical methods | Wednesday 20.6.2018 16:10 - 17:50 |
| Chair: Teng Zhang | Organizer: Yi Yang, Teng Zhang |
| E0204: K.M. Tan, Z. Wang, H. Liu, T. Zhang | |
| Sparse generalized eigenvalue problem: Optimal statistical rates via truncated Rayleigh flow | |
| E0388: N. Zhang | |
| Adaptive basis sampling for smoothing splines | |
| E0507: E. Chi, B. Gaines, W.W. Sun, H. Zhou | |
| Provable convex co-clustering of tensors | |
| E0578: J. Xu | |
| Constrained regression via majorization-minimization |
| Session EO235 | Room: P4302 |
| Recent advances in social network analysis | Wednesday 20.6.2018 16:10 - 17:50 |
| Chair: Rui Pan | Organizer: Rui Pan |
| E0171: J. Zhou, D. Huang, H. Wang | |
| A note on estimating network dependence in a discrete choice model | |
| E0245: D. Huang, X. Chang, H. Wang | |
| A popularity scaled latent space model for large-scale directed social network | |
| E0477: Y. Ma, S. Guo, Q. Yao | |
| Spatio-temporal autoregressions with network information | |
| E0558: R. Pan | |
| Grouped network vector autoregression |
| Session EO212 | Room: P4701 |
| Recent advances in FDR control methodologies | Wednesday 20.6.2018 16:10 - 17:50 |
| Chair: Asaf Weinstein | Organizer: Asaf Weinstein |
| E0227: L. Lei, W. Fithian | |
| AdaPT: An interactive procedure for multiple testing with side information | |
| E0282: J. Wang, W. Su, C. Sabatti, A. Owen | |
| Adaptive filtering procedures for replicability analysis of high-throughput experiments | |
| E0341: M. Bogdan, W. Su, E. Candes, A. Weinstein | |
| Weeding out early false discoveries along the Lasso Path with knockoffs | |
| E0551: A. Weinstein, R. Foygel Barber, E. Candes | |
| A power analysis for knockoffs |
| Session EO129 | Room: P4703 |
| New developments on sufficient dimension reduction | Wednesday 20.6.2018 16:10 - 17:50 |
| Chair: Yichao Wu | Organizer: Yichao Wu |
| E0468: F. Chen, S. Meintanis, L. Zhu | |
| On some characterizations of, and multidimensional criteria for testing, homogeneity, symmetry and independence | |
| E0513: Y. Dong | |
| Transformed variable selection in sufficient dimension reduction | |
| E0439: Z. Su, S. Ding, Y. Yang, T. Chen | |
| Efficient estimation in expectile regression using envelope models | |
| E0657: Z. Yu | |
| On weighted inverse regression ensemble for sufficient dimension reduction and sufficient variable screening |
| Session EO178 | Room: P4704 |
| Computing in design of experiments | Wednesday 20.6.2018 16:10 - 17:50 |
| Chair: John Stufken | Organizer: John Stufken |
| E0274: A. Overstall | |
| Bayesian design for intractable models | |
| E0289: D. Lin | |
| Sequential experiment design for inverse problem from complex dynamic computer codes | |
| E0601: F.K.H. Phoa | |
| A construction of cost-efficient designs with guaranteed repeated measurements on interaction effects | |
| E0258: R.-B. Chen | |
| Greedy active learning algorithm for logistic regression models |
| Session EO115 | Room: G4302 |
| Developments in macroeconomic forecasting | Wednesday 20.6.2018 16:10 - 17:50 |
| Chair: Tatsuma Wada | Organizer: Danilo Leiva-Leon |
| E0312: D. Amengual, E. Sentana, T. Almuzara | |
| Normality tests for latent variables | |
| E0335: A. Romeu, M. Camacho, M. Ruiz-Marin | |
| A transfer entropy test for causality in longitudinal data | |
| E0506: K. McAlinn, K.A. Aastveit, J. Nakajima, M. West | |
| Multivariate Bayesian predictive synthesis in macroeconomic forecasting | |
| E0438: T. Wada, M. Ito, A. Noda | |
| An alternative estimation method for time-varying parameter models |
| Session EO279 | Room: G4701 |
| Some modern topics related to spatial statistics | Wednesday 20.6.2018 16:10 - 17:50 |
| Chair: Yumou Qiu | Organizer: Yumou Qiu |
| E0561: Y. Zhou, H. Wang, Y. Li | |
| Replicated spatial temporal data models | |
| E0633: Y. Li, T. Maiti | |
| High dimensional discriminant analysis for spatially dependent data | |
| E0626: S. Zhang, S. Chen, B. Guo, W. Lin, H. Wang | |
| Regional Air Quality Assessment that Adjusts for Meteorological Confounding | |
| E0688: Y. Qiu | |
| Inference on multi-level brain connectivities based on fMRI data |
| Session EO055 | Room: B4302 |
| Recent advances in modelling finance data and risk assessment | Wednesday 20.6.2018 16:10 - 17:50 |
| Chair: Charles Au | Organizer: Boris Choy |
| E0369: C. Au, B. Choy | |
| Statistical properties of the modified multivariate skew-t distribution | |
| E0395: C. Wang, R. Gerlach | |
| A semi-parametric realized joint quantile regression framework for financial tail risk forecasting | |
| E0492: Q. Chen, C. Chen | |
| Stock/bond volatility/correlation on macro factors in China: Based on GARCH-MIDAS | |
| E0791: J. Chan | |
| Advanced statistical models for cryptocurrency research |
| Parallel session J: EcoSta2018 | Thursday 21.6.2018 | 08:30 - 10:10 |
| Session EO085 | Room: LT-12 |
| High dimensional inference | Thursday 21.6.2018 08:30 - 10:10 |
| Chair: Huixia Wang | Organizer: Huixia Wang |
| E0160: X. Zhang, J. Chen | |
| Structure adaptive multiple testing | |
| E0195: G. Xu | |
| An adaptive test on high-dimensional parameters in generalized linear models | |
| E0515: S. Zheng | |
| Testing high dimensional correlation matrix | |
| E0519: P.-S. Zhong, J. Li, P. Kokoszka | |
| MANOVA and change points estimation for high-dimensional longitudinal data |
| Session EO091 | Room: LT-13 |
| Frontiers in financial statistics | Thursday 21.6.2018 08:30 - 10:10 |
| Chair: Yichao Wu | Organizer: Yingying Li |
| E0753: T. Liang | |
| On the statistical and computational theory for GAN | |
| E0480: Z. Zhang, Y. Li, G. Liu | |
| Volatility of volatility: Estimation and tests based on noisy high frequency data | |
| E0660: Y. Ding, Y. Li, R. Song | |
| Statistical learning for optimal personalized wealth management | |
| E0666: Y. Potiron, S. Clinet | |
| Estimation for high-frequency data under parametric market microstructure noise |
| Session EO125 | Room: LT-14 |
| Recent development on high dimensional data analysis | Thursday 21.6.2018 08:30 - 10:10 |
| Chair: Xiaohui Chang | Organizer: Wenbo Wu |
| E0213: X. Chang | |
| Flexible and efficient estimating equations for variogram estimation | |
| E0570: W. Sheng | |
| Sufficient dimension folding for regressions with matrix- or array-valued predictors | |
| E0789: C.E. Lee, X. Shao | |
| Dimension reduction for a stationary multivariate time series | |
| E0517: A. Ishii, K. Yata, M. Aoshima | |
| Equality tests of high-dimensional covariance matrices with strongly spiked eigenstructures |
| Session EO036 | Room: LT-15 |
| Advances in Bayesian computation | Thursday 21.6.2018 08:30 - 10:10 |
| Chair: Minh-Ngoc Tran | Organizer: Minh-Ngoc Tran |
| E0350: D. Nott, V. Ong, M. Smith | |
| Gaussian variational approximation with a factor covariance structure | |
| E0379: R. Kohn, D. Gunawan, T.M. Pham Ngoc, S. Brown | |
| On Bayesian estimation for the linear ballistic accumulator model | |
| E0538: M. Quiroz, D. Nott, R. Kohn | |
| Gaussian variational approximation for high-dimensional state space models | |
| E0432: D. Zhu, L. Jacobi | |
| Automated sensitivity analysis for Bayesian inference via Markov Chain Monte Carlo |
| Session EO184 | Room: LT-16 |
| Bayesian and shrinkage estimation | Thursday 21.6.2018 08:30 - 10:10 |
| Chair: Antonio Lijoi | Organizer: Anoop Chaturvedi, EcoSta |
| E0615: C. Heumann | |
| Shrinkage estimation in the presence of missing data | |
| E0703: B. Huang, T.-H. Lee, A. Ullah | |
| Combined estimation of semiparametric panel data models | |
| E0758: W. Zhao, A. Wan, P. Gilbert, Y. Zhou | |
| Partially linear transformation model for HIV data | |
| E0756: H. Zarate | |
| Bayesian estimation of mean and variance models with penalized splines |
| Session EO131 | Room: LT-18 |
| Modern statistical methods for the complex data | Thursday 21.6.2018 08:30 - 10:10 |
| Chair: Xingqiu Zhao | Organizer: Yichuan Zhao |
| E0159: L. Liu, X. Su, D. Han, L. Sun | |
| Variable selection for the random effects two-part model | |
| E0288: H.G. Hong | |
| Weak signals in high-dimension regression: Detection, estimation and prediction | |
| E0430: A. Liu | |
| A pooling strategy to effectively use genotype data in quantitative traits genome-wide association studies | |
| E0659: H.-W. Chang, I. McKeague | |
| Nonparametric comparisons of activity level data from wearable devices |
| Session EO265 | Room: P4302 |
| Cybersecurity risk modeling and prediction | Thursday 21.6.2018 08:30 - 10:10 |
| Chair: Maochao Xu | Organizer: Maochao Xu |
| E0505: P. Geng | |
| Functional coefficient additive autoregressive models with measurement error | |
| E0483: M. Xu | |
| Predicting cyber attacks by deep learning | |
| E0476: P. Zhao | |
| Simultaneous cyber attacks over networks | |
| E0563: G. Da, M. Xu, P.S.B. Chan | |
| An efficient algorithm for computing the signatures of networks |
| Session EO277 | Room: P4701 |
| Order related statistical inference | Thursday 21.6.2018 08:30 - 10:10 |
| Chair: Jong Soo Lee | Organizer: Johan Lim |
| Session EO273 | Room: P4703 |
| Non- and semi-parametric mixtures | Thursday 21.6.2018 08:30 - 10:10 |
| Chair: Byungtae Seo | Organizer: Byungtae Seo |
| Session EO077 | Room: P4704 |
| Design of experiments and complex structures | Thursday 21.6.2018 08:30 - 10:10 |
| Chair: Chang-Yun Lin | Organizer: Lan Wang, Wen Zhou, Chang-Yun Lin |
| E0446: C.-Y. Lin | |
| Generalized Bayesian D criterion for single-stratum and multistratum designs | |
| E0792: D. Li | |
| Testing covariance matrices in high dimensions | |
| E0749: F. Wang, J. Liu, H. Wang | |
| Sequential text-term selection in vector space models | |
| E0571: X. Wang | |
| Adaptive design of clinical trials |
| Session EO196 | Room: G4302 |
| Econometrics of spatial models, panels, and model uncertainty | Thursday 21.6.2018 08:30 - 10:10 |
| Chair: Hon Ho Kwok | Organizer: Hon Ho Kwok |
| E0158: H.H. Kwok | |
| Network identification methods based on change of basis | |
| E0326: C.-A. Liu, B.-S. Kuo, W.-J. Tsay | |
| Autoregressive spectral averaging estimator | |
| E0613: A. Gupta, X. Qu | |
| Consistent specification testing under network dependence | |
| E0781: C. Jiang, D. La Vecchia, E. Ronchetti, O. Scaillet | |
| Saddlepoint techniques for spatial panel data models |
| Session EO097 | Room: G4701 |
| Estimating and selecting models for complex data | Thursday 21.6.2018 08:30 - 10:10 |
| Chair: Garth Tarr | Organizer: Garth Tarr |
| E0161: S. Mueller | |
| Visualising model stability information for better prognosis based network-type feature extraction | |
| E0266: M. Stewart, T. Porter | |
| More sensitive mixture detection using the empirical moment-generating function | |
| E0409: W. Aeberhard | |
| Efficient semi-parametric generalized linear models based on exponentially tilted splines | |
| E0541: J. Wishart | |
| Local polynomial M-estimation for long memory random design regression models |
| Session EO306 | Room: B4302 |
| Functional data and complex structures | Thursday 21.6.2018 08:30 - 10:10 |
| Chair: Hua Liang | Organizer: Zhen Pang, Hua Liang |
| E0616: R. Zhang, J. Zhang, Y. Liu, H. Ding | |
| Quantile estimation for a hybrid model of functional and varying coefficient regressions | |
| E0671: L. Zhou, P. Song | |
| Scalable and efficient statistical inference for big longitudinal data | |
| E0403: F. Chen, D. Wee, W. Dunsmuir | |
| Likelihood inference for a continuous time GARCH model | |
| E0466: Q. Cai | |
| A double application of the Benjamini-Hochberg procedure and its refinement |
| Parallel session K: EcoSta2018 | Thursday 21.6.2018 | 10:40 - 12:20 |
| Session EI004 | Room: LT-18 |
| Recent developments in high dimensional data analysis | Thursday 21.6.2018 10:40 - 12:20 |
| Chair: Ping-Shou Zhong | Organizer: Ping-Shou Zhong |
| E0170: M. Aoshima | |
| High-dimensional statistical analysis: Spiked models and data transformation | |
| E0172: B.-Y. Jing | |
| Community detection of sparse network | |
| E0308: L. Zhu | |
| Order determination for large dimensional matrices |
| Session EO151 | Room: LT-11 |
| Financial time series analysis | Thursday 21.6.2018 10:40 - 12:20 |
| Chair: Yaxing Yang | Organizer: Shiqing Ling |
| E0611: Q. Xiong | |
| Statistic inference for a single-index ARCH-M model | |
| E0614: Y. Yang | |
| Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models | |
| E0625: F. Guo | |
| Quasi-likelihood estimation of structure-changed threshold double autoregressive models | |
| E0736: A. Pourkhanali, J. Keith, X. Zhang | |
| Conditional heteroscedasticity models with time-varying parameters: Estimation and forecasting |
| Session EO216 | Room: LT-12 |
| Semiparametric methods for complex data models | Thursday 21.6.2018 10:40 - 12:20 |
| Chair: Liqun Wang | Organizer: Liqun Wang |
| E0516: D. Li, X.J. Hu, J. Spinelli | |
| Observations on bivariate event-times subject to informative censoring | |
| E0314: C. Xie | |
| A goodness-of-fit test for variable-adjusted models | |
| E0373: W. Xu | |
| A combined p-value test for the mean difference of high-dimensional data | |
| E0658: N. Wang | |
| Estimation and inference of time-varying coefficients in non-linear ordinary differential equation models |
| Session EO157 | Room: LT-14 |
| Advances in high-dimensional and functional data | Thursday 21.6.2018 10:40 - 12:20 |
| Chair: Heng Lian | Organizer: Heng Lian |
| E0268: K. Lee, A. Agarwal, L. Xue | |
| Exponential-family random graph models with functional network parameters | |
| E0592: X. Gao | |
| Weighted adaptive hard threshold signal approximation | |
| E0640: Y. Yang, Y. Yang, C. Ye | |
| Sparsity oriented importance learning | |
| E0629: J. Zhou, Z. Zheng | |
| Uniform knockoff filter for high-dimensional controlled graph recovery |
| Session EO139 | Room: LT-15 |
| Advances in high dimensional Bayesian computation | Thursday 21.6.2018 10:40 - 12:20 |
| Chair: Robert Kohn | Organizer: Robert Kohn |
| E0164: D.K.D. Dang, M. Quiroz, R. Kohn, M.-N. Tran, M. Villani | |
| Hamiltonian Monte Carlo with energy conserving subsampling | |
| E0234: S.L.L. Tan | |
| Efficient data augmentation techniques for Gaussian state space models | |
| E0380: M.-N. Tran, R. Kohn, D. Nott, N. Nguyen | |
| Natural gradient factor variational approximations with applications to deep neural network models | |
| E0706: M. Villani, M. Quiroz, R. Kohn, M.-N. Tran, D.K.D. Dang | |
| The Block-Poisson estimator for efficient Bayesian inference in intractable models |
| Session EO326 | Room: LT-16 |
| Economics/statistics methods in biomedical research | Thursday 21.6.2018 10:40 - 12:20 |
| Chair: Shouhao Zhou | Organizer: Shouhao Zhou |
| E0684: Y. Shen | |
| Understand cancer natural history from cancer screening trials | |
| E0674: N. Tayob, F. Stingo, K.-A. Do, Z. Feng, A. Lok | |
| A Bayesian screening approach for hepatocellular carcinoma using two longitudinal biomarkers | |
| E0603: Y. Li, X. Su, P. Mueller, K.-A. Do | |
| A Bayesian dose-finding design in oncology using pharmacokinetic/pharmacodynamic modeling | |
| E0649: C. Shen | |
| A semiparametric approach to model Medicare insurance choice and expenditures |
| Session EO190 | Room: P4302 |
| Advances in regression and network data analysis | Thursday 21.6.2018 10:40 - 12:20 |
| Chair: Binyan Jiang | Organizer: Binyan Jiang |
| E0396: C. Wang | |
| On cumulative slicing estimation for high dimensional data | |
| E0393: T. Yan | |
| Undirected network models with degree heterogeneity and homophily | |
| E0414: V. Karwa | |
| Finite sample goodness-of-fit tests for the stochastic block model | |
| E0676: F. Wei | |
| Multi-connection selection and estimation |
| Session EO046 | Room: P4701 |
| New computational methods for statistical inference | Thursday 21.6.2018 10:40 - 12:20 |
| Chair: Dungang Liu | Organizer: Regina Liu, Min-ge Xie |
| E0662: Z. Guo | |
| Semi-supervised inference for explained variance in high-dimensional linear regression and its applications | |
| E0704: H. Zhang, D. Liu, J. Zhao, X. Bi | |
| Modeling hybrid traits for comorbidity | |
| E0564: E. Mun | |
| Data linking approaches for meta-analysis of individual participant data | |
| E0707: Z. Wu | |
| Optimal and adaptive P-value combination methods |
| Session EO107 | Room: P4703 |
| Modelling and clustering methods for analyzing complex processes | Thursday 21.6.2018 10:40 - 12:20 |
| Chair: Xiaoling Dou | Organizer: Xiaoling Dou |
| E0298: M. Hirose, Y. Park, T. Tsuchiya | |
| Analysis of a disaster prevention consciousness survey using a small area model based approach | |
| E0540: Y. Tanokura, S. Seisho, G. Kitagawa | |
| On trend change mechanisms of financial markets | |
| E0610: J. Zhuang | |
| Clustering models for earthquake occurrences and extensions | |
| E0169: X. Dou | |
| A nonparametric functional clustering of mouse ultrasonic vocalization data |
| Session EO153 | Room: P4704 |
| Statistical modelling and inference in directional statistics | Thursday 21.6.2018 10:40 - 12:20 |
| Chair: Toshihiro Abe | Organizer: Toshihiro Abe |
| E0413: H. Ogata, T. Shiohama | |
| The mixture transition distribution modeling for higher order circular Markov processes | |
| E0490: T. Abe | |
| Models for cylindrical data and their applications | |
| E0497: T. Imoto, K. Shimizu, T. Abe | |
| A cylindrical distribution whose linear part is heavy-tailed | |
| E0602: T. Shiohama, T. Kotsubo, H. Ogata | |
| Circular time series analysis based on the projected normal distribution |
| Session EO093 | Room: G4701 |
| New developments in analyzing complex data | Thursday 21.6.2018 10:40 - 12:20 |
| Chair: Taewook Lee | Organizer: Young Kyung Lee |
| E0392: T. Lee, C. Baek | |
| Block wild bootstrap-based CUSUM tests for simultaneous changes of mean and variance robust to high persistence | |
| E0291: N. Lee | |
| Robust multilinear rank estimation for tensor regression | |
| E0489: E.R. Lee | |
| Sparse smooth backfitting for high-dimensional additive regression | |
| E0596: D. Lee, Y. Lee | |
| Extended likelihood approach to brain connectivity analysis |
| Parallel session L: EcoSta2018 | Thursday 21.6.2018 | 13:50 - 15:30 |
| Session EO245 | Room: LT-11 |
| Copulas and dependence in econometrics and statistics | Thursday 21.6.2018 13:50 - 15:30 |
| Chair: Hao Wang | Organizer: Hao Wang, Fabrizio Durante |
| E0165: D. Castro-Camilo | |
| Time-varying extreme value dependence with application to leading European stock markets | |
| E0264: X. Wang | |
| A recursive estimation of a mixing distribution via a Dirichlet process copula | |
| E0524: H. Ji | |
| Portfolio diversification strategy via ARMA-GARCH vine copula approach | |
| E0646: J. Su, L. Hua | |
| Full-range tail dependence copulas with insurance applications |
| Session EO283 | Room: LT-12 |
| Analysis of big data: An integration perspective | Thursday 21.6.2018 13:50 - 15:30 |
| Chair: Kin Yat Liu | Organizer: Steven Ma |
| Session EO103 | Room: LT-13 |
| Financial statistics | Thursday 21.6.2018 13:50 - 15:30 |
| Chair: Sheng-Feng Luo | Organizer: Cheng-Der Fuh |
| E0272: L.-H. Sun | |
| Systemic risk and interbank lending | |
| E0382: S.-F. Luo, C.-D. Fuh, S. Kou, H. Wong | |
| Marketability and discrete options with jump risk | |
| E0605: L.-J. Chen, T.-J. Lee | |
| The impact of fund characteristics and news sentiments on attention-flow relation | |
| E0590: C.-L. Kao, C. Chang, C.-D. Fuh | |
| Long-term and short-term impacts of common factors on correlated defaults |
| Session EO174 | Room: LT-14 |
| Robust learning in high dimensional data | Thursday 21.6.2018 13:50 - 15:30 |
| Chair: Guodong Li | Organizer: Linglong Kong |
| E0284: M. Maciak | |
| Quantile LASSO with changepoints in panel data models | |
| E0333: J. Wu, W. Yao, S. Xiang, X. Zhou | |
| Estimation of a two-component semiparametric location-shifted mixture model | |
| E0365: S. Ma | |
| A robust and efficient approach to causal inference based on sparse sufficient dimension reduction | |
| E0434: A. Kashlak, L. Kong | |
| Support recovery for sparse high dimensional matrices |
| Session EO210 | Room: LT-15 |
| Bayesian inference for stochastic frontier models | Thursday 21.6.2018 13:50 - 15:30 |
| Chair: Xibin Zhang | Organizer: Xibin Zhang |
| E0372: G. Feng | |
| Shadow prices of CO2 emissions: A random-coefficient, random-directional-vector directional distance function approach | |
| E0452: R. Hajargasht | |
| Bayesian stochastic frontiers using transformation to normal | |
| E0546: C. Wang | |
| Bayesian estimation of dynamic stochastic frontier model: A simulation study | |
| E0654: X. Zhang, Y. Meng, X. Zhao, J. Gao | |
| Panel data analysis of hospital variations in length of stay for hip replacements: Private versus public |
| Session EO020 | Room: LT-16 |
| Recent advances in complex data analysis | Thursday 21.6.2018 13:50 - 15:30 |
| Chair: Xingqiu Zhao | Organizer: Xinyuan Song |
| E0236: Y. Xia | |
| Two modeling strategies for two-part latent variable model | |
| E0269: Y. Li | |
| Bayesian semiparametric quantile regression modeling for estimating earthquake fatality risk | |
| E0287: Z. Lu, S.-M. Chow, N. Ram, P. Cole | |
| Zero-inflated regime-switching stochastic differential equation models for multivariate multi-subject time-series data |
| Session EO095 | Room: LT-17 |
| Advances in nonlinear and financial time series | Thursday 21.6.2018 13:50 - 15:30 |
| Chair: Wai-Keung Li | Organizer: Wai-Keung Li |
| E0281: P. Yu, R. Lu | |
| Buffered vector error-correction models | |
| E0207: H. Jiang, Y. Xia, L. Huang | |
| Nonparametric Regression with a Randomly Censored Independent Variable | |
| E0475: D. Li | |
| On Brownian motion approximation of compound Poisson processes with applications to threshold models | |
| E0448: Y. Zhang | |
| Random weighting the Portmanteau tests for multivariate white noise with unknown dependent structure |
| Session EO127 | Room: LT-18 |
| Recent advances in time series analysis | Thursday 21.6.2018 13:50 - 15:30 |
| Chair: Chi Tim Ng | Organizer: Chi Tim Ng |
| E0292: Y. Shi, Z. Feng, C.T. Ng, C. Yiu | |
| New active zero set descent algorithm for LAD problems with generalized lasso penalty | |
| E0419: W. Liu | |
| Modeling and forecasting online auction price | |
| E0416: C.T. Ng | |
| Exterior point algorithm for change point analysis of general time series models | |
| E0418: M. Wang | |
| MOSUM based test for variance change in panel data |
| Session EO133 | Room: P4302 |
| Network analysis | Thursday 21.6.2018 13:50 - 15:30 |
| Chair: Frederick Kin Hing Phoa | Organizer: Frederick Kin Hing Phoa |
| E0265: Y.-L. Lin, F.K.H. Phoa | |
| Efficient spread of networks | |
| E0381: M.-C. Chang, F.K.H. Phoa, J.-W. Huang | |
| Designing experiments for general network structures | |
| E0488: T.-J. Yen | |
| Estimating links of a network from time to event data | |
| E0583: Y. Mizukami, T. Nagai, S. Chin, F.K.H. Phoa, K. Honda, J. Nakano | |
| A comparative study of academic papers on the PM2.5 environmental issues in China and Japan |
| Session EO188 | Room: P4703 |
| Discrete data analysis: Problems, challenges, and solutions | Thursday 21.6.2018 13:50 - 15:30 |
| Chair: Zijian Guo | Organizer: Dungang Liu |
| E0459: R. Soyer | |
| Bayesian modeling of multivariate non Gaussian time series | |
| E0342: D. Liu, H. Zhang | |
| Residuals and diagnostics for ordinal regression models: A surrogate approach | |
| E0300: S. Li, D. Liu, Y. Yu | |
| Partial association between ordinal variables: Quantification, visualization and estimation | |
| E0454: A. de Leon | |
| Flexible joint models for correlated jittered discrete data via Gaussian copulas |
| Session EO123 | Room: P4704 |
| Design and analysis of complex experiments: Theory and applications | Thursday 21.6.2018 13:50 - 15:30 |
| Chair: MingHung Kao | Organizer: MingHung Kao |
| E0216: J. Stufken | |
| Optimal design for mixed effects models | |
| E0255: W. Yu, J. Stufken | |
| Robust dose-level designs for binary responses in environmental risk assessment | |
| E0295: W. Zheng, X. Wang | |
| Optimal design of sampling survey for efficient parameter estimation | |
| E0504: M. Kao | |
| Optimal experimental designs for ultra-fast brain imaging studies |
| Session EO164 | Room: G4701 |
| Recent advances and challenges in high dimensional data | Thursday 21.6.2018 13:50 - 15:30 |
| Chair: Yuan Ke | Organizer: Zhao Ren |
| E0775: T. Zhang, Y. Yang, H. Zou | |
| Flexible Expectile Regression in Reproducing Kernel Hilbert Space | |
| E0696: Q. Sun | |
| Multiple change point detection for manifold-valued data with applications to dynamic functional connectivity | |
| E0721: Y. Sun | |
| Fast convergence of Newton-type methods on high-dimensional problems | |
| E0294: Z. Li | |
| On testing for high dimensional white noise |
| Parallel session M: EcoSta2018 | Thursday 21.6.2018 | 16:00 - 17:15 |
| Session EO269 | Room: LT-11 |
| Corporate bond liquidity and credit risks | Thursday 21.6.2018 16:00 - 17:15 |
| Chair: Yuan Wang | Organizer: Yuan Wang |
| E0257: Y. Wang, J. Huang, R. Zhong | |
| Liquidity risk and corporate risk-taking | |
| E0774: J. Wang, K.-H. Bae, K. Song | |
| Bank activism and value creation |
| Session EO160 | Room: LT-12 |
| Statistical inference in high dimensional quantile regression | Thursday 21.6.2018 16:00 - 17:15 |
| Chair: Yanlin Tang | Organizer: Yanlin Tang |
| E0184: Y. Tang, Y. Wang, H. Wang, Q. Pan | |
| A conditional marginal test in high-dimensional quantile regression | |
| E0215: Y. Zhang, H.J. Wang, Z. Zhu | |
| Quantile-regression-based clustering for panel data | |
| E0353: J. Liu | |
| Direction estimation in single-index quantile regressions via martingale difference divergence |
| Session EO026 | Room: LT-13 |
| Statistical learning in finance | Thursday 21.6.2018 16:00 - 17:15 |
| Chair: Guanhao Feng | Organizer: Guanhao Feng |
| E0391: M. Cheng, N. Swanson, X. Yang | |
| Latent common return volatility factors: Capturing elusive predictive accuracy gains when forecasting volatility | |
| E0665: T. Zhou | |
| Term structure of recession probabilities and the cross section of asset returns | |
| E0406: L. Yan | |
| Estimating cost of volatility risk in selected agricultural commodity markets |
| Session EO069 | Room: LT-14 |
| Statistical machine learning methods and causal inference | Thursday 21.6.2018 16:00 - 17:15 |
| Chair: Yingying Fan | Organizer: Yingying Fan |
| E0359: Z. Jiang | |
| Using missing types to improve partial identification with application to a study of HIV prevalence in Malawi | |
| E0608: S. Pimentel, R. Kelz | |
| Optimal tradeoffs in matched designs for observational studies | |
| E0673: P. Ding | |
| Combining multiple observational data sources to estimate causal effects |
| Session EO220 | Room: LT-16 |
| Scalable Bayesian methods | Thursday 21.6.2018 16:00 - 17:15 |
| Chair: Cheng Li | Organizer: Cheng Li |
| E0316: M. Li, S. Ghosal | |
| Gaussian processes on the circle | |
| E0375: M.J. Ha | |
| Bayesian multi-layered Gaussian graphical models | |
| E0577: Q. Song | |
| Bayesian sharp minimaxity via FDR penalization |
| Session EO166 | Room: LT-17 |
| Model uncertainty and model average | Thursday 21.6.2018 16:00 - 17:15 |
| Chair: Hua Liang | Organizer: Hua Liang |
| E0371: H. Wang | |
| A scalable frequentist model averaging method | |
| E0486: Y. Gao | |
| Model averaging for two non-nested models | |
| E0572: G. Zou | |
| Corrected Mallows model averaging approach |
| Session EO222 | Room: LT-18 |
| Recent developments in functional data analysis | Thursday 21.6.2018 16:00 - 17:15 |
| Chair: Lilun Du | Organizer: Xinghao Qiao |
| E0407: C. Chen, S. Guo, X. Qiao | |
| Regression with dependent functional errors-in-predictors | |
| E0385: H. Maeng, P. Fryzlewicz | |
| Regularised forecasting via smooth-rough partitioning of the regression coefficients | |
| E0478: C. Qian, X. Qiao | |
| Covariance and graphical modelling for high-dimensional longitudinal and functional data |
| Session EO285 | Room: P4302 |
| Network modeling for time series | Thursday 21.6.2018 16:00 - 17:15 |
| Chair: Yin Liao | Organizer: Yin Liao |
| E0304: A. Gibberd, S. Roy | |
| Multiple changepoint estimation in high-dimensional Gaussian graphical models | |
| E0632: M. Nunes, K. Leeming, M. Knight, G. Nason | |
| A model for dynamic processes on networks | |
| E0634: M. Grith, M. Eckardt | |
| Graphical models for multivariate time series using wavelets |
| Session EO253 | Room: P4704 |
| Recent advances for semiparametric models in econometrics and statistics | Thursday 21.6.2018 16:00 - 17:15 |
| Chair: Jingjing Wu | Organizer: Jingjing Wu |
| E0364: W. Zhuang | |
| Semiparametric inferences for dominance index under density ratio model | |
| E0443: Y. Ru | |
| Daily box office prediction model based on LSTM | |
| E0784: G. Liu-Evans, S. Pfaffenzeller, Y. Zhu | |
| Back to basics: Robust tests and their implications for the Prebisch singer hypothesis and economic growth |
| Session EO176 | Room: G4302 |
| Model averaging | Thursday 21.6.2018 16:00 - 17:15 |
| Chair: Tian Xie | Organizer: Xinyu Zhang |
| E0296: Q. Liu, Q. Yao, G. Zhao | |
| Model averaging estimation for conditional heteroscedasticity model family | |
| E0167: T. Xie, S. Lehrer, X. Zhang | |
| Twits versus tweets: Does adding social media wisdom Trump admitting ignorance when forecasting the CBOE VIX? | |
| E0311: Y. Sun, X. Zhang, T.-H. Lee, Y. Hong, S. Wang | |
| Time-varying model averaging |
| Session EO267 | Room: G4701 |
| New development in functional data analysis | Thursday 21.6.2018 16:00 - 17:15 |
| Chair: Tiejun Tong | Organizer: Jiguo Cao |
| E0276: E.J. Zhang, M. Wang, G. Xu, H. Huang, Y. Guan | |
| Semi-parametric modeling of structured point processes using multi-level log-Gaussian Cox processes | |
| E0813: N. Zhao, J. Xu | |
| Penalized jackknife empirical likelihood in high dimensions | |
| E0639: T. Huang | |
| Estimation and classification for varying-coefficient panel data model with latent structures |
| Session EO263 | Room: B4302 |
| High-dimensional estimation in econometrics | Thursday 21.6.2018 16:00 - 17:15 |
| Chair: Zhentao Shi | Organizer: Zhentao Shi |
| E0224: Y. Zhu, V. Chernozhukov, K. Wuthrich | |
| An exact and robust conformal inference method for counterfactual and synthetic controls | |
| E0246: Z. Shi | |
| Boosted panel data approach for program evaluation | |
| E0301: B. Koo, H. Wang | |
| Forecast combinations for predictive regressions via the Lasso |