Keynote talk 1 Saturday 18.12.2021 08:15 - 09:15 Room: K E. Safra (Multi-use 01)
Monitoring a developing pandemic with available data (virtual)
Speaker: J.P. Nielsen  Co-authors: M.L. Gamiz, M.D. Martinez-Miranda, E. Mammen Chair: Kalliopi Mylona
Keynote talk 2 Sunday 19.12.2021 19:25 - 20:15 Room: K E. Safra (Multi-use 01)
The exact distribution of the T ratio (virtual)
Speaker: B. Hansen   Chair: Degui Li
Keynote talk 3 Monday 20.12.2021 11:25 - 12:15 Room: K E. Safra (Multi-use 01)
Multilevel models for longitudinal dyadic family data (in-person)
Speaker: F. Steele   Chair: Francisco Javier Rubio
Keynote talk 4 Monday 20.12.2021 13:45 - 14:35 Room: K E. Safra (Multi-use 01)
Investigating growth at risk using a multi-country non-parametric quantile factor model (virtual)
Speaker: G. Koop  Co-authors: T. Clark, F. Huber, M. Marcellino, M. Pfarrhofer Chair: Tommaso Proietti
Keynote talk 5 Monday 20.12.2021 18:45 - 19:40 Room: K E. Safra (Multi-use 01)
Most powerful inference after model selection via confidence distributions (virtual)
Speaker: G. Claeskens   Chair: Cristian Gatu


Parallel session B: CMStatistics Saturday 18.12.2021 09:25 - 10:40

Session EO728 Room: Virtual R18
Recent advances in random matrix theory and high dimensional statistics Saturday 18.12.2021   09:25 - 10:40
Chair: Zeng Li Organizer: Zeng Li
  B0486:  B. Gang, W. Sun
  High dimensional linear discriminant analysis: Locally-adaptive shrinkage estimation and false selection rate control
  B1110:  W. Li
  Asymptotics of spatial-sign based estimators of location and scatter in high-dimensions
  B1753:  Y. Yang
  Distributed PCA for high-dimensional heterogeneous data
Session EO547 Room: Virtual R20
Statistical learning in decision making systems Saturday 18.12.2021   09:25 - 10:40
Chair: Matteo Borrotti Organizer: Matteo Borrotti
  B1357:  M. Repetto, L. Crosato, C. Liberati
  Black-box models and Interpretability: Prediction of Italian SMEs' default
  B1646:  K. Baker, C. Umamahesan, C. Weller, S. Dobbs, J. Dobbs, A. Charlett, S. Gilmour
  Statistical modelling for drivers and mediators of the characteristic rest tremor of Parkinson's disease
  B0634:  V. Distefano, M. Mannone, C. Silvestri, I. Poli
  Cluster analysis of diabetic kidney disease longitudinal data
Session EO832 Room: Virtual R21
Joint modelling for longitudinal and survival data Saturday 18.12.2021   09:25 - 10:40
Chair: Ipek Guler Organizer: Ipek Guler, Marialuisa Restaino
  B0944:  M. Mazzoleni
  The joint models for longitudinal and survival data: Analysis and extensions
  B1428:  I. Guler
  Extensions on joint models for multivariate non-linear longitudinal and survival data
  B1431:  C. Diaz Louzao, I. Guler, F. Gude, S. Tome, C. Cadarso Suarez
  Novel joint modelling extensions for survival and longitudinal data applied to COVID-19
Session EO583 Room: Virtual R22
Limit theorems for stochastic processes Saturday 18.12.2021   09:25 - 10:40
Chair: Salim Bouzebda Organizer: Salim Bouzebda
  B1075:  I. Soukarieh
  Renewal type bootstrap for U- process Markov chains
  B1102:  A. Nezzal, S. Bouzebda
  Uniform in number of neighbors consistency for the conditional $U$-statistics involving functional data
  B1119:  A.A. Ferfache, S. Bouzebda
  General M-estimator processes and their $m$ out of $n$ bootstrap with functional nuisance parameters
Session EO738 Room: Virtual R23
Recent advances in latent variable models Saturday 18.12.2021   09:25 - 10:40
Chair: Roberto Di Mari Organizer: Roberto Di Mari
  B0310:  L. Vogelsmeier, J. Vermunt, K. De Roover
  Latent Markov factor analysis for evaluating measurement model heterogeneity in intensive longitudinal data
  B0673:  L. Coraggio, P. Coretto
  Selecting clustering algorithms and solutions via quadratic scoring
  B1021:  T. Adam, R. Glennie, T. Michelot
  State-switching varying-coefficient stochastic differential equations
Session EO796 Room: Virtual R24
Machine learning and statistical inverse problems Saturday 18.12.2021   09:25 - 10:40
Chair: Catia Scricciolo Organizer: Catia Scricciolo
  B0702:  F. Sherry
  Equivariant neural networks for inverse problems
  B1284:  D. Moss, J. Rousseau
  Efficient semiparametric estimation and cut posterior contraction in semiparametric hidden markov models
  B1655:  C. Scricciolo, J. Rousseau
  Bayesian Wasserstein deconvolution
Session EO557 Room: Virtual R25
The role of biostatistics for epidemiologic designs and analyses Saturday 18.12.2021   09:25 - 10:40
Chair: Paola Rebora Organizer: Paola Rebora
  B0515:  C.S. Tan, Y. Ning, P.J. Ho, N. Stoer, K.K. Lim, H.-L. Wee, M. Hartman, M. Reilly
  Treating ordinal outcomes as continuous quantities: When, why and how
  B0853:  Y. Ning
  Weighted analyses of survival outcomes under complex study designs: An R implementation
  B1190:  F. Graziano, P. Rebora
  Design2phase library to estimate power and efficiency of a two-phase design with survival outcome
Session EO826 Room: Virtual R26
Extremes and causality Saturday 18.12.2021   09:25 - 10:40
Chair: Valerie Chavez-Demoulin Organizer: Valerie Chavez-Demoulin
  B0251:  J. Bodik
  Detection of causality in time series using extreme values
  B0872:  M. Krali, C. Klueppelberg
  Estimating an extreme Bayesian network via scalings
  B1689:  S. Engelke, D. Deuber, M. Maathuis, J. Li
  Extremal quantile treatment effects for heavy-tailed distributions
Session EO104 Room: Virtual R28
New methods and models for ordinal and mixed-type data Saturday 18.12.2021   09:25 - 10:40
Chair: Cristina Mollica Organizer: Cristina Mollica
  B1006:  R. Simone
  Finite mixtures of discretized beta distribution to model polarization and floatation of ordinal data
  B1077:  P. Yu, J. Gu
  Modeling ranking data in a social network
  B1595:  C. Mollica, M. Crispino, V. Astuti, L. Tardella
  Efficient estimation of finite mixtures of Mallows models with the Spearman distance
Session EO842 Room: Virtual R36
Advances in depth and quantile methods Saturday 18.12.2021   09:25 - 10:40
Chair: Germain Van Bever Organizer: Germain Van Bever
  B0340:  P. Laketa, S. Nagy, D. Pokorny
  Halfspace depth revisited
  B0524:  P. Mozharovskyi, R. Dyckerhoff, S. Nagy
  Approximate computation of projection depths
  B1526:  D. Konen, D. Paindaveine
  Spatial quantiles on the hypersphere
Session EO814 Room: Virtual R37
Multivariate time series modeling Saturday 18.12.2021   09:25 - 10:40
Chair: Efstathia Bura Organizer: Efstathia Bura
  B0599:  D. Pena
  A test for the number of factors in dynamic factor models
  B0644:  B. Brune, W. Scherrer, E. Bura
  A state-space approach to time-varying reduced rank regression
  B1242:  T. Krivobokova
  Factor analysis for data with heterogenous blocks
Session EO493 Room: Virtual R38
Methods for functional time series Saturday 18.12.2021   09:25 - 10:40
Chair: Juhyun Park Organizer: Juhyun Park
  B0418:  D. Kurisu
  On the estimation of nonstationary functional data
  B0626:  S. Kuehnert
  On lagged covariance and cross-covariance operators of processes in cartesian products of abstract Hilbert Spaces
  B1094:  J. Cugliari, N. Hernandez, J. Jacques
  Simultaneous predictive bands for functional time series using minimum entropy sets
Session EO523 Room: K0.20 (Hybrid 05)
Predicting and forecasting for complex data Saturday 18.12.2021   09:25 - 10:40
Chair: Matus Maciak Organizer: Matus Maciak
  B1099:  M. Maciak
  Regularized changepoint detection in panel data models applied for predictions of implied volatility dynamics
  B1210:  M. Pesta, M. Maciak, O. Okhrin
  Infinitely stochastic micro reserving
  B1728:  E. Theising, D. Wied, D. Ziggel
  Reference class selection in similarity-based forecasting of sales growth
Session EO316 Room: K E. Safra (Multi-use 01)
Design of experiments (hybrid) Saturday 18.12.2021   09:25 - 10:40
Chair: David Woods Organizer: David Woods
  B0325:  A. Overstall
  General Bayesian design of experiments for calibration of mathematical models
  B1162:  O. Egorova, S. Gilmour
  Sequential multi-objective planning of factorial experiments
  B0480:  T. Waite, D. Woods
  Minimax efficient random experimental design strategies with application to model-robust design for prediction
Session EC877 Room: Virtual R29
Contributions in copulas Saturday 18.12.2021   09:25 - 10:40
Chair: Roel Braekers Organizer: CFE-CMStatistics
  B1598:  A. Verhasselt, J. Baillien, I. Gijbels
  Inference for copulas with two-piece margins
  B1676:  V. Piperigou
  Geometric-extreme stable distributions and Archimedean copulas
  B1107:  M. Tepegjozova, C. Czado
  Bivariate vine based quantile regression
Session EG055 Room: Virtual R27
Contributions in causal inference and graphical models Saturday 18.12.2021   09:25 - 10:40
Chair: Dorota Kurowicka Organizer: CFE-CMStatistics
  B1076:  D. Kurowicka
  Regular vine copulas with strongly chordal pattern of (conditional) independence
  B1352:  M. Ghasempour, N. Moosavi, X. de Luna
  Valid causal inference when using deep convolutional neural networks to control for highly structured covariates
  B1115:  E. Giudice, J. Kuipers, G. Moffa
  The dual PC algorithm for structure learning of Bayesian networks
Session EG067 Room: Virtual R35
Contributions in methodological statistics I Saturday 18.12.2021   09:25 - 10:40
Chair: Eugen Pircalabelu Organizer: CFE-CMStatistics
  B1611:  S. Yuki, H. Yadohisa
  Estimation of treatment effects for multiple outcomes by using generalized linear models
  B1640:  C. Castiglione, M. Bernardi
  Approximated variational inference based on data augmentation methods
  B1485:  J. Liu, J.Q. Shi
  Wrapped Gaussian process functional regression for batch data on Riemannian manifolds
Parallel session B: CFE Saturday 18.12.2021 09:25 - 10:40

Session CO256 Room: Virtual R31
Advances in time series econometrics Saturday 18.12.2021   09:25 - 10:40
Chair: Claudio Morana Organizer: Claudio Morana
  A0176:  C. Morana
  A new macro-financial condition index for the euro area
  A0187:  M. Hartmann, A. Glas
  Uncertainty measures from partially rounded probabilistic forecast surveys
  A0189:  G. Cubadda, A. Hecq
  Dimension reduction for high dimensional vector autoregressive models
  A1455:  M. Karanasos, Y. Xu, A. Paraskevopoulos, S. Yfanti
  Matrix inequality constraints for vector GARCH models with spillovers: A new (mixture) formulation
Session CO888 Room: Virtual R33
Recent developments on econometrics: Theory and Applications Saturday 18.12.2021   09:25 - 10:40
Chair: Ke Zhu Organizer: Ke Zhu
  A1336:  R. She
  Tests of unit root hypothesis with heavy-tailed heteroscedastic noises
  A1407:  N. Zhang, K. Zhu
  Quantiled moments by Cornish-Fisher expansion and its applications
  A1464:  F. Jiang, X. Shao, Z. Zhao
  Segmenting the time series via self-normalization
Session CO892 Room: Virtual R34
Additive and multiplicative time-varying GARCH models Saturday 18.12.2021   09:25 - 10:40
Chair: Niklas Ahlgren Organizer: Niklas Ahlgren
  A0778:  A. Back, N. Ahlgren, T. Terasvirta
  Additive time-varying GARCH model
  A0781:  N. Ahlgren, A. Back, T. Terasvirta
  Testing of parametric additive time-varying GARCH models
  A0739:  C. Amado
  Modelling non-stationarity robust variance interactions
Session CG029 Room: Virtual R30
Contributions in causality Saturday 18.12.2021   09:25 - 10:40
Chair: Michael Knaus Organizer: CFE
  A1729:  X. Deng
  Doubly robust estimation of conditional average treatment effect for the treated under DID framework
  A1690:  S. Tang
  Inferences for partially conditional quantile treatment effect model
  A1675:  A. Zaremba, G. Peters
  Statistical causality: What more can we learn about our data
Session CG027 Room: Virtual R32
Contributions in econometric modelling Saturday 18.12.2021   09:25 - 10:40
Chair: Roberto Casarin Organizer: CFE
  A1631:  G. Carallo, R. Casarin, D. Palumbo
  Score-driven generalized Poisson model
  A0532:  M. Zhan, C. Zongwu, Y. Fang, M. Lin
  Estimating quantile treatment effects for panel data
  A1672:  I. Paraskevopoulos
  The limits of measurement
Session CG039 Room: K0.18 (Hybrid 03)
Contributions in high-dimensional econometrics Saturday 18.12.2021   09:25 - 10:40
Chair: Guillaume Chevillon Organizer: CFE-CMStatistics
  A1423:  G. Chevillon, L. Bauwens, S. Laurent
  Modelling long memory with just one lag
  A1085:  A. Chrysikou, G. Kapetanios, I. Chronopoulos
  High dimensional generalised least squares
  A1558:  B. van Os, D. van Dijk
  Pooling dynamic conditional correlation models
Session CG035 Room: K0.19 (Hybrid 04)
Contributions in financial networks Saturday 18.12.2021   09:25 - 10:40
Chair: Jozef Barunik Organizer: CFE
  A0192:  K. Abduraimova
  Good contagion: What do networks say about policy transmission
  A1582:  J. Barunik, M. Ellington
  Transitory and persistent networks
  A1656:  Y. Zhang, L. Veraart
  A macroprudential view on post-trade risk reduction services
Parallel session C: CMStatistics Saturday 18.12.2021 11:10 - 12:50

Session EO378 Room: Virtual R18
Recent advances in FDA Saturday 18.12.2021   11:10 - 12:50
Chair: Siegfried Hoermann Organizer: Siegfried Hoermann
  B0767:  D. Kraus, S. Nagy
  Functional data analysis and censoring
  B0826:  H.L. Shang
  Sieve bootstrap memory parameter in long-range dependent stationary functional time series
  B0897:  A. van Delft, H. Dette
  Pivotal tests for relevant differences in the second order dynamics of functional time series
  B1018:  M. Reimherr, A. Rao
  Non-linear function-on-function regression via neural nets
Session EO066 Room: Virtual R20
The Stein method and statistics Saturday 18.12.2021   11:10 - 12:50
Chair: Robert Gaunt Organizer: Robert Gaunt
  B0570:  Y. Swan
  About Stein kernels
  B0716:   , B. Ebner, B. Klar
  Parameter estimators for non-normalized statistical models based on Stein characterizations
  B0723:  B. Ebner
  On testing randomness of binary images
  B0845:  F. Daly
  Approximations for random sums with equally correlated summands
Session EO314 Room: Virtual R21
Random matrix theory and related fields Saturday 18.12.2021   11:10 - 12:50
Chair: Bowen Gang Organizer: Bowen Gang
  B0425:  Z. Bao
  Phase transition of eigenvector distribution for spiked models
  B0516:  Z. Li
  CLT for linear spectral statistics of large dimensional kendall's rank correlation matrices and its applications
  B0661:  C. Wang
  On limiting spectral distribution of Spearman's and Kendall's rank correlation matrices with general dependence
  B0676:  X. Han
  SIMPLE: Statistical Inference on Membership Profiles in Large Networks
Session EO154 Room: Virtual R22
Modeling spatiotemporal data Saturday 18.12.2021   11:10 - 12:50
Chair: Mattias Villani Organizer: Mattias Villani
  B0519:  H. Rodriguez-Deniz, M. Villani
  Robust real-time delay predictions in a network of high-frequency urban buses
  B1163:  J. Wallin
  Matern fields on graphs and their edges
  B1238:  P. Ryden
  Prehospital resource optimization
  B1536:  K. Podgorski
  Spatial-temporal stochastic fields with embedded dynamics
Session EO276 Room: Virtual R23
Recent developments in YUIMA package and related topics Saturday 18.12.2021   11:10 - 12:50
Chair: Nakahiro Yoshida Organizer: Nakahiro Yoshida
  B0508:  L. Mercuri
  yuima.PPR: New developments for the point process in the YUIMA package.
  B0766:  E. Guidotti, N. Yoshida
  Asymptotic expansion formulas for diffusion processes based on the perturbation method
  B0851:  H. Masuda
  Expanding Levy-SDE related functions in YUIMA package
  B1642:  F. Iafrate
  Porting the Yuima package to Python: Difficulties and feasibility
Session EO298 Room: Virtual R24
Challenges and opportunities in analysing clinical data Saturday 18.12.2021   11:10 - 12:50
Chair: Eleni-Rosalina Andrinopoulou Organizer: Eleni-Rosalina Andrinopoulou
  B1029:  R. Mitra, S. Biedermann
  Optimal design of clinical trials when outcome values are missing
  B0917:  N. Erler
  Bayesian methods for handling missing values in complex settings
  B0801:  D. van Klaveren
  Predictive modeling approaches to personalized medicine: A comparison of regression-based methods
  B0346:  M. van de Wiel, M. van Nee
  Co-data weighted elastic net
Session EO718 Room: Virtual R25
Recent developments in causal inference Saturday 18.12.2021   11:10 - 12:50
Chair: BaoLuo Sun Organizer: BaoLuo Sun
  B0499:  X. Shi
  On proximal causal inference with synthetic controls
  B0638:  Z. Liu
  MRCIP: A robust Mendelian randomization method accounting for correlated and idiosyncratic pleiotropy
  B0824:  L. Liu
  The variety of no direct effect assumptions in dynamic treatment regimes
  B0901:  W. Miao, W. Hu, E. Ogburn, X. Zhou
  Identifying effects of multiple treatments in the presence of unmeasured confounding
Session EO770 Room: Virtual R26
Causal mediation analysis Saturday 18.12.2021   11:10 - 12:50
Chair: Anita Lindmark Organizer: Anita Lindmark
  B0511:  T. Nguyen
  Causal mediation analysis: From simple to more robust estimation strategies
  B0411:  X. Zhou
  Semiparametric estimation for causal mediation analysis with multiple causally ordered mediators
  B0558:  M. Moreno-Betancur, J.B. Carlin
  Simulating hypothetical interventions on multiple mediators: Extending methods and practical guidance
  B0196:  W.W. Loh, B. Moerkerke, T. Loeys, S. Vansteelandt
  Nonlinear mediation analysis with high-dimensional mediators whose causal structure is unknown
Session EO094 Room: Virtual R27
Advances in multivariate functional data analysis Saturday 18.12.2021   11:10 - 12:50
Chair: Sophie Dabo Organizer: Sophie Dabo, Michael Genin
  B0693:  C. Frevent, M.S. Ahmed, S. Dabo, M. Genin
  Investigating spatial scan statistics for multivariate functional data
  B0734:  S. Golovkine, N. Klutchnikoff, V. Patilea
  Adaptive optimal estimation of irregular mean and covariance functions
  B0793:  A.F. Yao, P. Llop, C. Samir, P. Mbaye
  Some consistent results for the kernel-based Bayes classifier for functional data with values in a submanifolds
  B1531:  C. Preda, V. Vandewalle, Q. Grimonprez
  cfda R package for categorical functional data
Session EO152 Room: Virtual R33
Topics on high-dimensional methods Saturday 18.12.2021   11:10 - 12:50
Chair: Eugen Pircalabelu Organizer: Eugen Pircalabelu
  B0668:  A. Alfons, D. Touw, I. Wilms
  Node clustering in large-scale graphical models
  B0777:  W. Rejchel, P. Pokarowski, S. Nowakowski
  Sparse selection and prediction with high-dimensional categorical data
  B1226:  A. Artemiou
  Robust approaches for sufficient dimension reduction
  B1290:  E. Devijver, R. Molinier, M. Gallopin
  A stable network inference procedure for high dimensional data
Session EO890 Room: Virtual R36
Mixture modelling Saturday 18.12.2021   11:10 - 12:50
Chair: Sollie Millard Organizer: Sollie Millard
  B1016:  S. Millard, S. Millard, M. Arashi, F. Kanfer, G. Maribe
  Feature selection in mixture of logistic regression models using the modified elastic-net penalty
  B0787:  M. Naderi, A. Bekker
  Parsimonious mixture of multivariate mean-mixture of normal distributions
  B1011:  S. Skhosana, F. Kanfer, S. Millard
  A possible solution to the label-switching problem in fitting nonparametric mixture of regressions
  B0965:  M. de Klerk, F. Kanfer, S. Millard
  Contributions to mixture of distributions with application in sequenced data
Session EO501 Room: Virtual R37
Projection pursuit I Saturday 18.12.2021   11:10 - 12:50
Chair: Nicola Loperfido Organizer: Nicola Loperfido
  B0512:  H. Ogasawara
  Some generalizations of the Henze theorem
  B0964:  S.M. Salehi, A. Bekker, M. Arashi
  Clustering via a semi-parametric density estimation
  B1397:  R. Mattera, G. Scepi
  A weighted k-medoids algorithm for clustering time series' projections
  B1413:  M. Giacalone, R. Mattera, K. Gibert
  Entropy weighted model-based clustering of skewed and heavy tailed time series
Session EO603 Room: Virtual R39
Experimental design Saturday 18.12.2021   11:10 - 12:50
Chair: Heiko Grossmann Organizer: Heiko Grossmann
  B0652:  S. Gilmour, P.-W. Tsai
  Optimal two-level designs under model uncertainty
  B0936:  J. Nunez Ares, P. Goos
  J-characteristics for 3-level response surface designs
  B0427:  S. Biedermann, S. Alzahrani
  Finding the optimal proportions in constrained mixture experiments
  B0928:  F. Roettger, R. Schwabe, T. Kahle
  Optimal discrete choice designs via hypergraphs
Session EO178 Room: Virtual R40
Sport analytics Saturday 18.12.2021   11:10 - 12:50
Chair: Christophe Ley Organizer: Andreas Groll, Christophe Ley
  B1263:  A. Leroy
  Multi-task Gaussian processes models for functional data and application to the prediction of swimming performances
  B1376:  I. Ntzoufras, V. Palaskas, S. Drikos
  Bayesian models for prediction of the set-difference in volleyball
  B1401:  H. van der Wurp, A. Groll
  Introducing regularisation to generalised joint regression modelling and its application to football and sports
  B1543:  D. Karlis, M. Oetting
  Football strategies via the effective playing space and tracking data
Session EO240 Room: K0.18 (Hybrid 03)
Track: Bayesian semi- and non-parametric methods I (virtual) Saturday 18.12.2021   11:10 - 12:50
Chair: Antonio Canale Organizer: Raffaele Argiento, Antonio Canale, Bernardo Nipoti
  B0518:  L. Maestrini, M. Quiroz, F. Li
  Distributed inference for generalized linear models with variable selection
  B0726:  M. Komodromos, S. Filippi, M. Evangelou, K. Ray
  Spike-and-slab variational bayes for high-dimensional survival analysis
  B0664:  L. Schiavon, A. Canale, D. Dunson
  Generalized infinite factorization
  B1681:  S. Favaro, E. Dolera, S. Peluchetti
  Learning-augmented count-min sketches via Bayesian nonparametrics
Session EO060 Room: K0.19 (Hybrid 04)
Clustering of complex data structures Saturday 18.12.2021   11:10 - 12:50
Chair: Maria Brigida Ferraro Organizer: Maria Brigida Ferraro
  B0254:  A. Lopez Oriona, J. Vilar, P. Durso
  Spatial weighted robust clustering of multivariate time series with an application to COVID-19 pandemic
  B0523:  I. Cozzolino, M.B. Ferraro, P. Winker
  Fuzzy spectral clustering for document data sets
  B0655:  A. Torti, M. galvani, A. Menafoglio, P. Secchi, S. Vantini
  A novel bi-clustering algorithm for Hilbert data
  B0667:  A.B. Ramos-Guajardo
  Clustering random intervals: A new approach based on a similarity measure
Session EO438 Room: K0.20 (Hybrid 05)
Recent developments in extreme value theory and methods (virtual) Saturday 18.12.2021   11:10 - 12:50
Chair: Gilles Stupfler Organizer: Gilles Stupfler
  B0186:  M. Escobar-Bach, R. Maller, I. Van Keilegom, M. Zhao
  Estimation of the cure rate for distributions in the Gumbel maximum domain of attraction under insufficient follow-up
  B0753:  A. Usseglio-Carleve, G. Stupfler, S. Girard
  Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
  B1037:  A. Khorrami Chokami, M. Kratz
  Extremal dependence between maxima of concomitants
  B1395:  B. Nemouchi, B. NEMOUCHI, A. Daouia, G. Stupfler
  Extreme expectile estimation from short-tailed data
Session EO641 Room: K2.31 Nash (Hybrid 07)
Statistical challenges in CoVID-19 epidemiology (virtual) Saturday 18.12.2021   11:10 - 12:50
Chair: Shaun Seaman Organizer: Shaun Seaman
  B1003:  T. McKinley
  Calibrating a large-scale stochastic meta-population model of COVID-19 in England and Wales
  B1050:  R. Keogh
  Estimating length of stay in a multi-state model conditional on the pathway, with application to patients with Covid-19
  B0669:  A. Presanis
  Estimating the severity of SARS-CoV-2 in England
  B0423:  S. Seaman, T. Nyberg, C. Overton, D. Pascall, A. Presanis, D. De Angelis
  Adjusting for time of infection or positive test when estimating the risk of a post-infection outcome in an epidemic
Session EC855 Room: Virtual R30
Contributions in high-dimensional data analysis Saturday 18.12.2021   11:10 - 12:50
Chair: Mauro Bernardi Organizer: CFE-CMStatistics
  B1633:  M. Bernardi, M. Cattelan, C. Busatto
  Fast Bayesian model selection algorithms for linear regression models
  B0348:  J. Goedhart, M. van de Wiel
  Learn2Evaluate: Predictive performance estimation with learning curves
  B0757:  M. van Nee, M. van de Wiel
  Co-data learning in ridge models for high-dimensional data
  B1251:  M. Amestoy, M. van de Wiel, W. van Wieringen
  Simultaneous shrinkage of the linear mixed model's fixed and random effects using empirical Bayes
Session EC850 Room: K0.16 (Hybrid 02)
Contributions in statistical modelling II Saturday 18.12.2021   11:10 - 12:50
Chair: Pavlo Mozharovskyi Organizer: CFE-CMStatistics
  B0387:  O. Sorensen, A. Fjell, K. Walhovd
  Longitudinal modeling of age-dependent latent traits
  B1584:  M. Campbell
  Investigating a time-varying degrees of freedom parameter in the robust modelling of longitudinal data
  B1638:  M. Stival, M. Bernardi, P. Dellaportas
  Doubly online changepoint detection for monitoring health status during sport activities
  B1224:  T. Omer, P. Sjolander, K. Mansson, B.G. Kibria
  An unrestricted MIDAS Poisson regression model
Session EG063 Room: Virtual R29
Contributions in statistical methods for applications Saturday 18.12.2021   11:10 - 12:50
Chair: Daniel Gaigall Organizer: CFE-CMStatistics
  B0228:  M.D.C. Robustillo Carmona, C.J. Perez Sanchez, M.I. Parra Arevalo
  Predicting inner temperature, humidity, and weight of beehives by using VAR models and sensorization
  B1513:  E. Afrifa-Yamoah, S.M. Taylor, U. Mueller
  Analysing recreational boating traffic data in a panel time series data modelling setting
  B0717:  H. Satomura
  A sparse estimation method for sensory evaluation data with taking individual scaling differences into account
  B1597:  M. Arashi, A.F. Lukman, Z.Y. Algamal
  Liu after random forest: Application of machine learning methods in modeling high-dimensional chemical data
Parallel session C: CFE Saturday 18.12.2021 11:10 - 12:50

Session CI012 (Special Invited Session) Room: K E. Safra (Multi-use 01)
Recent advances in high-dimensional statistics (virtual) Saturday 18.12.2021   11:10 - 12:50
Chair: Mark Podolskij Organizer: Mark Podolskij
  A0162:  Y. Koike
  Central limit theorems in high-dimensions: Recent developments
  A0163:  M. Podolskij
  Dirft estimation for high dimensional diffusion models
  A0161:  M. Jirak
  Quantitative limit theorems and bootstrap approximations for empirical projection
Session CO032 Room: Virtual R28
High dimensionality, regime shifts and robust inference Saturday 18.12.2021   11:10 - 12:50
Chair: Artem Prokhorov Organizer: Artem Prokhorov
  A1217:  D.M. Drukker, D. Liu
  Using BIC-based forward stepwise instead of Lasso for Neyman-orthogonal estimation
  A1298:  V. de la Pena
  On the expectation and bias of the Gini coefficient under grouping
  A1443:  A. Semenov, A. Skrobotov, A. Prokhorov
  Change point detection in time series using mixed integer programming
  A1276:  R. Tabri, S. Dahmann, B. Beare
  On the compatibility of experts' Lorenz curves with plausible assumptions on unit nonresponse in household surveys
Session CO882 Room: Virtual R31
Energy econometrics Saturday 18.12.2021   11:10 - 12:50
Chair: Malvina Marchese Organizer: Ioannis Kyriakou, Malvina Marchese
  A0283:  A. Gianfreda, D. Bunn
  A new stochastic model for electricity prices
  A0682:  A. Zalachoris, M. Fatouh, I. Moutzouris, N. Papapostolou, P. Pouliasis
  Crude oil hedging using a regime-switching model
  A0580:  M. Risstad, M.-H. Gagnon, G. Power, S. Westgaard
  Modelling oil price risk using option- and forward market information
  A1466:  F. Di Iorio, M. Marchese, I. Kyriakou, M. tamvakis
  A mixed-frequency combination approach to forecast crude oil and gold future returns volatility and correlation
Session CO388 Room: Virtual R32
Topics in modeling time series and panel data Saturday 18.12.2021   11:10 - 12:50
Chair: Markus Fritsch Organizer: Markus Fritsch
  A1170:  J. Meier, Z. Niu, F.-X. Briol
  Discrepancy-based inference for intractable generative models using quasi-Monte Carlo
  A1353:  A. Steland
  Change-point analysis in high-dimensional econometric dynamic factor models
  A1546:  M. Fritsch, H. Haupt, J. Schnurbus
  Fixed event forecasting at multiple lead times
  A1571:  J. Schnurbus, A.A.Y. Pua, M. Fritsch
  Properties of an IV-estimator based on aggregated nonlinear moment conditions
Session CO046 Room: Virtual R34
Empirical models for corporate finance and banking Saturday 18.12.2021   11:10 - 12:50
Chair: Leone Leonida Organizer: Leone Leonida
  A1411:  L. Leonida
  Is there a underlying shape of the investment cash flow sensitivity
  A1417:  A. Iona
  Political replacement effect and financial development: Evidence across countries
  A1426:  M. Dolfin
  Strategic financial networks
  A1427:  E. Muzzupappa
  Market driven securitization
Session CO667 Room: Virtual R35
Financial econometrics in a Bayesian framework Saturday 18.12.2021   11:10 - 12:50
Chair: Yong Song Organizer: Yong Song
  A0245:  J. Liu, Q. Yang, J. Xin
  Does the choice of realized covariance measures empirically matter? A Bayesian density prediction approach
  A0381:  Y. Song, J. Maheu, J. Liu
  Identification and forecasting of bull and bear markets using multivariate returns
  A0389:  Q. Yang, J. Maheu, C. Li
  A Bayesian semiparametric stochastic volatility model with Markovian mixtures
  A0497:  Z. Li
  Product partitioned dynamic factor models: An application characterising Melbourne housing price co-movements
Session CO108 Room: Virtual R38
Quantitative investment Saturday 18.12.2021   11:10 - 12:50
Chair: Serge Darolles Organizer: Serge Darolles, Gaelle Le Fol
  A0684:  H. Langlois
  Forecasting portfolio weights
  A0750:  H. Chan
  Market impact decay and capacity
  A0892:  C. Xiouros, P. Ehling
  Dissecting beta
  A1390:  G. Li, B. Han, J. Cao, R. Yang, X. Zhan
  Forecasting option returns with news
Session CO052 Room: K0.50 (Hybrid 06)
Applied financial econometrics Saturday 18.12.2021   11:10 - 12:50
Chair: Emese Lazar Organizer: Emese Lazar
  A0358:  S. Wang, L. Horvath, Z. Liu, G. Rice, Y. Zhan
  Testing stability in event observations with applications to IPO Performance
  A1636:  S. Qi, E. Lazar, R. Tunaru
  Forward-looking market risk premium and its economic implications
  A1715:  Y. Jiang, E. Lazar
  Forecasting VVIX using forecast combinations and LASSO
  A1696:  A. Badescu, M. Augustyniak, J.-F. Begin
  A discrete-time hedging framework with multiple factors and fat tails: On what matters
Session CO470 Room: K2.41 (Hybrid 09)
Deep calibration of financial models Saturday 18.12.2021   11:10 - 12:50
Chair: Christa Cuchiero Organizer: Christa Cuchiero
  A1103:  D. Siska, P. Gierjatowicz, M. Sabate-Vidales, L. Szpruch, Z. Zuric
  Robust pricing and hedging via neural SDEs
  A1015:  M. Gambara, J. Teichmann
  Consistent recalibration models and deep calibration
  A1024:  S. Svaluto-Ferro, C. Cuchiero, G. Gazzani
  Universal signature-based models
  A1112:  B. Horvath
  Data-driven market simulators and some simple applications of signature kernel methods in mathematical finance
Session CC875 Room: K2.40 (Hybrid 08)
Contributions in portfolio analysis (virtual) Saturday 18.12.2021   11:10 - 12:50
Chair: Aleksey Kolokolov Organizer: CFE
  A0414:  D. Nedela
  Impact of trading rules in portfolio process with respect to market risk capital requirement
  A0918:  L. Coumans, A. Balter, F. de Jong
  Robust hedging of long-term investments under interest rate risk and inflation risk
  A1590:  M. Hronec
  Quantile maximizer in action
  A1540:  R. Schnorrenberger
  Bond portfolio optimization in turbulent times: A dynamic Nelson-Siegel approach with Wishart stochastic volatility
Parallel session D: CMStatistics Saturday 18.12.2021 14:20 - 16:00

Session EI016 (Special Invited Session) Room: K E. Safra (Multi-use 01)
Design and analysis of experiments (hybrid) Saturday 18.12.2021   14:20 - 16:00
Chair: Kalliopi Mylona Organizer: Kalliopi Mylona
  B0175:  H.-P. Piepho
  Neighbour balance and evenness of distribution of treatment replications in row-column designs
  B0169:  J. Stufken, R. Singh
  Factor selection in screening experiments
  B0733:  J. Lopez-Fidalgo, A. Cia-Mina
  Active learning: Intelligent subsampling
Session EO096 Room: Virtual R18
Recent advances in model-based clustering Saturday 18.12.2021   14:20 - 16:00
Chair: Pietro Coretto Organizer: Monia Ranalli
  B0704:  P. Coretto, C. Hennig
  Nonparametric consistency for ML-based clustering with finite mixtures of elliptically symmetric distributions
  B0857:  L. Anderlucci, A. Montanari
  Group number identification in random projection ensemble model-based clustering
  B1346:  A. Casa, C. Bouveyron, E. Erosheva, G. Menardi
  Model-based co-clustering of multivariate time-dependent data
  B1761:  V. Melnykov, S. Sarkar, Y. Melnykov
  Model-based clustering of directed weighted networks
Session EO304 Room: Virtual R21
Recent developments for electronic health data Saturday 18.12.2021   14:20 - 16:00
Chair: Mireille Schnitzer Organizer: Mireille Schnitzer, Denis Talbot
  B0675:  R. Wyss
  Use of data-adaptive analytics for high-dimensional proxy confounder adjustment in electronic healthcare databases
  B1009:  J. Gronsbell
  Semi-supervised learning with electronic health records
  B0956:  D. Talbot, A. Diop, C. Sirois, J. Guertin, B. Candas
  Combining latent class growth models and marginal structural models to estimate the effect of treatment trajectories
  B1155:  G. Yi
  Estimation of average treatment effects with binary outcomes subject to both missingness and misclassification
Session EO350 Room: Virtual R22
Counting processes Saturday 18.12.2021   14:20 - 16:00
Chair: Paula Bouzas Organizer: Paula Bouzas
  B0291:  L. Serra
  Clustering analysis of wildfires: A classification according to land cover types in the Valencian Community
  B0452:  N. Ramesh
  Markov modulated Poisson processes to analyse rainfall time series
  B1153:  G. Xu, Y. Li, Y. Guan, E.J. Zhang
  Nonparametric bias-correction and test for mark-point dependence with replicated marked point processes
  B0771:  N. Ruiz-Fuentes, F. Luguera, P. Bouzas
  Microstructure of foreign exchange market: Cox vs. Hawkes process
Session EO818 Room: Virtual R23
Evaluation of multiple biomarkers and related ROC characteristics Saturday 18.12.2021   14:20 - 16:00
Chair: Andriy Bandos Organizer: Andriy Bandos
  B0883:  L. Bantis, J. Tsimikas, G. Chambers, M. Capello, S. Hanash, Z. Feng
  The length of the ROC curve and the two cutoff Youden through a biomarker discovery framework
  B0711:  P. Albert, S.D. Kim
  A latent functional approach for modeling multi-dimensional biomarker exposures on disease risk prediction
  B0200:  M. Liu, T. Cai
  Doubly robust evaluation of receiver operating characteristic under covariate shift with high dimensional features
Session EO450 Room: Virtual R24
Reduction methods for large and high-dimensional regression Saturday 18.12.2021   14:20 - 16:00
Chair: Katja Ickstadt Organizer: Katja Ickstadt, Alexander Munteanu
  B0749:  E. Dobriban
  Sparse sketches with small inversion bias
  B1244:  H. Wang
  Nonuniform negative sampling and log odds correction with rare events data
  B1351:  C. Peters
  Probit regression for large data sets via coresets
  B1348:  S. Omlor
  Oblivious sketching for logistic regression
Session EO491 Room: Virtual R25
Statistical modeling, learning, and inference Saturday 18.12.2021   14:20 - 16:00
Chair: Subir Ghosh Organizer: Subir Ghosh
  B0347:  J. Zhou, G. Claeskens
  Power analysis for knockoff-calibrated high dimensional logistic regression
  B0365:  E. Cantoni, W. Aeberhard, G. Marra, R. Radice
  Robust fitting for generalized additive models for location, scale and shape
  B1060:  A. Taeb
  Perturbations and causality in Gaussian latent variable models
  B1185:  M. Azadkia, P. Buehlmann, A. Taeb, S. chatterjee
  A simple measure conditional dependence and its application in causal inference
Session EO481 Room: Virtual R26
Topics in high-dimensional statistics Saturday 18.12.2021   14:20 - 16:00
Chair: Andreas Artemiou Organizer: Andreas Artemiou
  B0320:  J. Virta
  Testing for subsphericity when $n$ and $p$ are of different asymptotic order
  B0407:  E. Christou
  Central quantile subspace
  B0454:  E. Pircalabelu, E. Nezakati Rezazadeh
  Unbalanced distributed estimation and inference for covariate-adjusted Gaussian graphical models
  B0489:  E. Solea, H. Dette
  Nonparametric and high-dimensional functional graphical models
Session EO565 Room: Virtual R27
Spatial statistical methods for modeling epidemiological data Saturday 18.12.2021   14:20 - 16:00
Chair: Veronica Berrocal Organizer: Veronica Berrocal
  B0747:  A. Biggeri
  Geographical evolution of lung cancer mortality by birth cohorts from 1920-29 to 1960-69 in the Italian provinces
  B0752:  D. Catelan
  Spatial co-occurrence of malignant mesothelioma and ovarian cancer in Lombardy (Italy)
  B1013:  V. Berrocal
  How close and how much: Linking health outcomes to spatial distributions of built environment features
  B1019:  B. Sanchez
  Heterogeneous effects of the built environment
Session EO671 Room: Virtual R28
Statistical methods for data integration in biomedical research Saturday 18.12.2021   14:20 - 16:00
Chair: Rui Duan Organizer: Rui Duan
  B0398:  D. Shu
  Survival analysis in multi-site studies using summary-level risk set tables
  B0304:  E. Hector, P. Song
  A framework for data integration with dependence and heterogeneity
  B0722:  M. Schuemie
  Communicating likelihood profiles of single parameters of interest in complex models in federated research networks
  B0332:  R. Duan
  Targeting underrepresented populations in precision medicine: A federated transfer learning approach
Session EO790 Room: Virtual R29
New advancements in semiparametric and nonparametric methods Saturday 18.12.2021   14:20 - 16:00
Chair: Pengfei Li Organizer: Pengfei Li
  B0298:  Y. Zhao, Y. Cheng
  Bayesian jackknife empirical likelihood
  B0306:  B. Chen, A. Yuan, J. Qin
  PAVA-assisted learning with application on estimating optimal individualized treatment regimes
  B1118:  T. Yu, P. Li, B. Chen, J. Qin
  Maximum profile binomial likelihood estimation for the semiparametric Box--Cox power transformation model
  B1120:  M. Yuan, P. Li, C. Wu
  Semiparametric inference on Gini indices of two semicontinuous populations under density ratio models
Session EO774 Room: Virtual R30
Statistics for SPDEs Saturday 18.12.2021   14:20 - 16:00
Chair: Mathias Trabs Organizer: Mathias Trabs
  B0431:  F. Hildebrandt, M. Trabs
  Nonparametric calibration for stochastic reaction-diffusion equations based on discrete observations
  B0592:  I. Cialenco
  A power variation approach to statistical analysis of discretely sampled semilinear SPDEs
  B1333:  C. Chong
  High-frequency analysis of parabolic stochastic PDEs
  B1400:  R. Altmeyer, M. Wahl, A. Tiepner
  Parameter estimation for anisotropic SPDEs from multiple local measurements
Session EO625 Room: Virtual R32
Novel perspectives in Bayesian statistics Saturday 18.12.2021   14:20 - 16:00
Chair: Pier Giovanni Bissiri Organizer: Pier Giovanni Bissiri
  B0492:  S. Walker, C. Holmes, E. Fong
  Bayesian uncertainty
  B0329:  N. Syring
  Asymptotic concentration of Gibbs posterior distributions
  B0792:  M. Fasiolo
  Fast learning rate selection for Bayesian non-parametric quantile regression
  B0653:  C. Villa, S. Walker
  An objective prior from a scoring rule
Session EO422 Room: Virtual R37
Statistical methods for multi-modal imaging data Saturday 18.12.2021   14:20 - 16:00
Chair: Kristin Linn Organizer: Kristin Linn
  B0706:  G.-M. Pomann, A.-M. Staicu, S. Ghosh
  Two sample testing for diffusion tensor imaging data
  B0257:  A. Eloyan
  Graph-theoretic modeling of brain functional connectivity
  B0372:  E. Sweeney
  Quantitative susceptibility maps in multiple sclerosis lesions
  B0227:  R. Shinohara
  Multiple sclerosis diagnostics via statistical analysis of MRI
Session EO742 Room: Virtual R38
Recent developments on mediation and path analysis Saturday 18.12.2021   14:20 - 16:00
Chair: Marco Doretti Organizer: Marco Doretti, Elena Stanghellini
  B0402:  M. Huber, H. Farbmacher, L. Laffers, H. Langen, M. Spindler
  Causal mediation analysis with double machine learning
  B0854:  A. Roverato
  Path weights in concentration graph models
  B0916:  M. Genback, M. Doretti, E. Stanghellini
  Mediation in case control studies when both the outcome and mediator are binary
  B1534:  B.L. De Stavola
  Interventional effects with latent mediators: Applications in life course epidemiology
Session EO515 Room: Virtual R39
Advances in longitudinal data modelling Saturday 18.12.2021   14:20 - 16:00
Chair: Maria Francesca Marino Organizer: Maria Francesca Marino
  B0588:  F. Pennoni, F. Bartolucci, S. Pandolfi
  Variable selection in hidden Markov models with missing data
  B0799:  D. Sewell, E. Burghardt, J. Cavanaugh
  Divisive hierarchical bayesian clustering of longitudinal data
  B0984:  M. Alfo, F. Martella
  Handling endogeneity in linear quantile regression models for longitudinal data
  B0255:  E. Lesaffre, T.D. Tran
  Latent Ornstein-Uhlenbeck models for Bayesian analysis of multivariate longitudinal categorical responses
Session EO621 Room: Virtual R40
Statistical learning and regularized regression Saturday 18.12.2021   14:20 - 16:00
Chair: Thomas Kneib Organizer: Thomas Kneib
  B0503:  A. Groll
  A hybrid machine learning approach for the modeling and prediction of the UEFA EURO2020
  B0725:  C. Griesbach, A. Mayr, E. Bergherr
  Variable selection and allocation in joint models via gradient boosting techniques
  B0890:  P. Wiemann, H. Riebl, T. Kneib
  LIESEL: A software framework for prototyping Bayesian models and exploring estimation methods
  B1111:  N. Umlauf
  Scalable distributional learning
Session EO525 Room: K0.16 (Hybrid 02)
Association and dependence Saturday 18.12.2021   14:20 - 16:00
Chair: Johannes Wiesel Organizer: Fabrizio Durante
  B1061:  B. Sen
  Measuring association on topological spaces using kernels and geometric graphs
  B1026:  F. Han, Z. Lin
  On boosting the power of Chatterjee's rank correlation
  B0837:  S. Fuchs, T. Mroz, W. Trutschnig
  How simplifying and flexible is the simplifying assumption in pair-copula constructions
  B0209:  J. Wiesel
  Measuring association with Wasserstein distances
Session EO236 Room: K0.18 (Hybrid 03)
Track: Bayesian semi- and non-parametric methods II (virtual) Saturday 18.12.2021   14:20 - 16:00
Chair: Bernardo Nipoti Organizer: Raffaele Argiento, Antonio Canale, Bernardo Nipoti
  B0683:  F. Castelletti, G. Consonni
  Bayesian graphical modelling for heterogeneous causal effects
  B1080:  I. Antoniano-Villalobos, S. Padoan, B. Beranger
  Bayesian mixture models for the prediction of extreme observations
  B1523:  G. Page
  Using random partition models for flexible change-point analysis in multivariate processes
  B0630:  A. Tan
  Bayesian mixture models in regression with variable selection
Session EO615 Room: K2.40 (Hybrid 08)
Advances in the statistical analysis of neuroimaging data (virtual) Saturday 18.12.2021   14:20 - 16:00
Chair: John Kornak Organizer: Timothy Johnson
  B0342:  M. Vannucci
  Scalable Bayesian models for inference of networks and covariate effects
  B0707:  J. Kang
  Bayesian inferences on neural activity in EEG-based brain-computer interface
  B1007:  T. Nichols, P. Kindalova, I. Kosmidis
  Mass univariate modelling for binary-valued neuroimaging data
  B1609:  H. Ganjgahi, A. Menacher, C. Holmes, T. Nichols
  Bayesian lesion estimation with a structured spike-and-slab prior
Parallel session D: CFE Saturday 18.12.2021 14:20 - 16:00

Session CO581 Room: Virtual R20
Topics in time series and financial econometrics Saturday 18.12.2021   14:20 - 16:00
Chair: Alessandra Amendola Organizer: Alessandra Amendola
  A0292:  A. Santos, A. Monteiro
  Parallel computations for nonparametric estimation of risk-neutral densities through option prices
  A1635:  E. Lazar, R. Tunaru, N. Zhang
  Measuring model risk for market risk models
  A0729:  G. Rivieccio, S. Corsaro, G. De Luca, J. Ojea Ferreiro
  VaR modeling: Conditional quantile dependence approaches
  A1361:  A. Grimaldi, A. Amendola, W. Distaso
  The predictive content of the textual political polarity index: The case of Italian GDP
Session CO720 Room: Virtual R31
Advances in Bayesian econometrics Saturday 18.12.2021   14:20 - 16:00
Chair: Helga Wagner Organizer: Nadja Klein, Helga Wagner
  B0185:  G. Zens, S. Fruehwirth-Schnatter, H. Wagner
  Ultimate Polya gamma samplers: Efficient MCMC for possibly imbalanced binary and categorical data
  B0281:  G. Malsiner-Walli, S. Fruehwirth-Schnatter, B. Gruen
  Generalized mixtures of finite mixtures
  A0282:  X. Yu, J. Chan
  Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
  A0600:  M. Villani, O. Gustafsson, P. Stockhammar
  Bayesian optimization of hyperparameters when the marginal likelihood is estimated by MCMC
Session CO268 Room: Virtual R33
Empirical macro Saturday 18.12.2021   14:20 - 16:00
Chair: Laura Jackson Young Organizer: Laura Jackson Young
  A0375:  E. Kurt
  The role of corporate tax policy on monetary effectiveness: A quasi-experimental approach
  A0612:  A. Civelli, S. Barraza
  Securitization and bank risk: Evidence from CLO-funded syndicated loans
  A1106:  L. Jackson Young
  A time-varying threshold STAR model of unemployment and the natural rate
  A0772:  S. Gelfer, C. Gibbs
  Comparing monetary policy tools in an estimated DSGE model with International financial markets
Session CO679 Room: Virtual R34
Forecasting under structural change Saturday 18.12.2021   14:20 - 16:00
Chair: Andrew Martinez Organizer: Andrew Martinez
  A1332:  N. Ericsson
  Evaluating the federal reserves tealbook forecasts
  A1275:  M. Zhong, P. Guerron, A. Khazanov
  Nonlinear dynamic factor models
  A1330:  A. Martinez, J.L. Castle, D. Hendry
  Smooth robust multi-horizon forecasts
  A1344:  D. Hendry, J.L. Castle, J. Doornik
  Economic forecasting in a shifting world
Session CO744 Room: Virtual R35
Expectations and uncertainty Saturday 18.12.2021   14:20 - 16:00
Chair: Tomasz Lyziak Organizer: Tomasz Lyziak
  A0280:  T. Lyziak, M. Kalbarczyk, J. Mackiewicz-Lyziak
  Do expectations drive expectations: On the formation of consumer inflation expectations in the US
  A0569:  M. Paloviita, E. Stanislawska
  Medium- vs. short-term consumer inflation expectations: Evidence from a new euro area survey
  A0838:  X.S. Sheng, B. Meyer, N. Parker
  Unit cost expectations and uncertainty: Firms' perspectives on inflation
  A1134:  P. Baranowski, H. Bennani, W. Doryn
  Do the ECBs introductory statements help predict monetarypolicy? Evidence from a tone analysis
Session CO511 Room: Virtual R36
High-dimensional portfolio selection Saturday 18.12.2021   14:20 - 16:00
Chair: Yarema Okhrin Organizer: Taras Bodnar
  A0566:  Y. Okhrin, G. Salah Uddin
  Nonlinear interconnectedness of crude oil and financial markets
  A0448:  E. Thorsen, T. Bodnar, N. Parolya
  Dynamic shrinkage estimation of the high-dimensional minimum-variance portfolio
  A0632:  N. Parolya, T. Bodnar, E. Thorsen
  Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
  A0919:  V. Niklasson, T. Bodnar, E. Thorsen
  Volatility sensitive Bayesian estimation of portfolio VaR and CVaR
Session CO284 Room: K0.19 (Hybrid 04)
Econometrics for sport data modelling and forecasting (virtual) Saturday 18.12.2021   14:20 - 16:00
Chair: Luca De Angelis Organizer: Luca De Angelis
  A0463:  C. Singleton, J. Reade
  Betting on a buzz, mispricing and inefficiency in online sportsbooks
  A0601:  M. Oetting
  In-play betting: Are markets efficient and how do bookmakers make profit?
  A1252:  R. Flepp, O. Merz, E. Franck
  Underestimating randomness: Outcome bias in betting exchange markets
  A0657:  L. De Angelis, J. Reade
  Home advantage and mispricing in indoor sports' ghost games: The case of European basketball
Session CO394 Room: K0.20 (Hybrid 05)
Advances in financial network modelling Saturday 18.12.2021   14:20 - 16:00
Chair: Cristina Amado Organizer: Cristina Amado
  A0420:  S. Campos Martins
  Measuring and hedging GEOVOL
  A1125:  M. Medeiros, M. Caner
  Residual-based nodewise regression in factor models with ultra-high dimensions
  A1262:  T. Padilha, S. Campos Martins
  Global volatility shocks and the PPP puzzle
  A1347:  P. Barucca, L. Silvestri, T. Mahmood
  Common asset holdings and systemic vulnerability across multiple types of financial institution
Session CO386 Room: K0.50 (Hybrid 06)
Mixed frequency and asset allocation Saturday 18.12.2021   14:20 - 16:00
Chair: Ekaterina Kazak Organizer: Ekaterina Kazak
  A1039:  A. Kolokolov, D. Pirino, G. Livieri
  Testing for endogeneity of irregular sampling schemes
  A0326:  O. Kleen, A. Naghi, M. van der Wel
  In-sample inference for MIDAS regressions and GARCH-MIDAS
  A0913:  S. Voigt, N. Hautsch, A. Menkveld
  Market response to a fear impulse
  A0942:  M. Grebe, E. Kazak
  Portfolio allocation using echo state networks
Session CO300 Room: K2.41 (Hybrid 09)
Text mining and sentiment analysis for economics and finance (virtual) Saturday 18.12.2021   14:20 - 16:00
Chair: Manuela Pedio Organizer: Manuela Pedio
  A0774:  E. Tosetti, L. Tiozzo Pezzoli, L. Barbaglia, S. Consoli, S. Manzan
  Sentiment analysis of economic text: A lexicon-based approach
  A0528:  S. Consoli, L. Barbaglia
  Financial forecasting with word embeddings extracted from news: A preliminary analysis
  A0847:  M. Guidolin, M. Pedio
  Forecasting realized equity volatility from text sentiment revealed by company filings
  A1533:  L. Wang
  Mutual fund trust: Evidence from qualitative disclosure
Session CG586 Room: K2.31 Nash (Hybrid 07)
Contributions in applied machine learning Saturday 18.12.2021   14:20 - 16:00
Chair: Lukas Vacha Organizer: CFE
  A1671:  L. Vacha, J. Barunik
  Dynamic decision making with reinforcement learning
  A1682:  M. Hansson
  Evolution of topics in central bank speech communication
  A1773:  Y. Zheng, M. Ellington, M. Stamatogiannis
  International cross industry return predictability: Evidence from the US, UK and China
Parallel session E: CMStatistics Saturday 18.12.2021 16:30 - 18:35

Session EI022 (Special Invited Session) Room: K E. Safra (Multi-use 01)
Bayesian model and variable selection (virtual) Saturday 18.12.2021   16:30 - 18:35
Chair: Francisco Javier Rubio Organizer: Francisco Javier Rubio
  B0158:  D. Rossell, J. Jewson
  Improper models for data analysis
  B0159:  M. Tadesse
  Variable selection in mixture models: Uncovering cluster structures and relevant features
  B0160:  V. Rockova
  Variable selection via Thompson sampling
Session EO184 Room: Virtual R20
Recent developments for modal regression Saturday 18.12.2021   16:30 - 18:35
Chair: Lin Cong Organizer: Weixin Yao
  B0331:  T. Wang
  Spatial modal regression
  B0333:  Y. Feng
  A statistical learning approach to modal regression
  B0413:  X. Huang, H. Zhou
  Bayesian beta regression for bounded responses with unknown supports
  B0642:  K. Kato, D. Ruppert, T. Zhang
  Bootstrap inference for quantile-based modal regression
  B0898:  L. Cong, W. Yao
  Modal regression based on random forest
Session EO212 Room: Virtual R21
Recent development in high-dimensional networks Saturday 18.12.2021   16:30 - 18:35
Chair: Kuang-Yao Lee Organizer: Kuang-Yao Lee
  B0992:  Y.S. Wang, B. Zhao, M. Kolar
  Functional differential graph estimation
  B1098:  B. Li
  Functional directed acyclic graphs
  B1063:  K.-Y. Lee, L. Li, B. Li, H. Zhao
  Nonparametric functional graphical models
  B1002:  Y. Zhang, Q. Liu
  Fast variational inference for joint mixed sparse graphical models
  B1410:  H. Klyne, R.D. Shah
  Conditional independence testing for categorical data
Session EO332 Room: Virtual R22
Robustness and data analysis Saturday 18.12.2021   16:30 - 18:35
Chair: Graciela Boente Organizer: Ana Maria Bianco, Graciela Boente
  B0265:  I. Kalogridis, S. Van Aelst
  Robust optimal estimation of location from discretely sampled functional data
  B0841:  M. Hubert, I. Vranckx, J. Raymaekers, B. de Ketelaere, P. Rousseeuw
  Real-time discriminant analysis in the presence of label and measurement noise
  B1147:  M. Salibian-Barrera, X. Ju
  Robust boosting for regression problems
  B0268:  J.-C. Pardo-Fernandez, G. Boente
  Robust testing to compare regression curves
  B0336:  A.M. Bianco, M.F. Statti
  Partially linear single-index models: A robust approach
Session EO414 Room: Virtual R23
Modern approaches to biomedical data analysis Saturday 18.12.2021   16:30 - 18:35
Chair: Sunyoung Shin Organizer: Sunyoung Shin
  B0477:  Y. Wu, L. Wang
  Model-assisted uniformly honest inference for optimal treatment regimes in high dimension
  B0561:  N. Hyun, D. Couper, D. Zeng
  Semiparametric Gumbel regression model for analyzing longitudinal data with non-normal tails
  B0671:  S. Lee, X. Zhu, Y. Liu, C. Habeck, Y. Stern
  Transfer learning for cognitive reserve quantification
  B0688:  S. Shin
  On estimation and selection for semiparametric models in meta-analysis
  B1087:  J. Ahn
  Bayesian analysis of longitudinal dyadic/multiple outcome data with informative missing data
Session EO230 Room: Virtual R24
Reinforcement learning with applications to precision medicine Saturday 18.12.2021   16:30 - 18:35
Chair: Hengrui Cai Organizer: Chengchun Shi
  B0222:  H. Cai, Y. Shen, R. Song
  Doubly robust interval estimation for optimal policy evaluation in online learning
  B0244:  G. Chen
  Learning individualized treatment rules for a target population
  B0368:  A. Ertefaie, R. Strawderman, J. Jones
  Post-selection inference for individualized treatment rules
  B0557:  Z. Qi
  Statistical efficient batch policy learning in average reward markov decision processes
  B1387:  A. Luedtke
  Efficient learning and evaluation of individualized treatment rules under data fusion
Session EO537 Room: Virtual R25
Causal inference challenges in health policy decision making Saturday 18.12.2021   16:30 - 18:35
Chair: Nandita Mitra Organizer: Nandita Mitra, Arman Oganisian
  B0178:  L. Hatfield
  Within- versus between-market comparison units for diff-in-diff
  B0908:  I. Fulcher
  Extending synthetic control methods to evaluate the effectiveness of global maternal health programs
  B1082:  N. Illenberger
  Identifying optimally cost-effective regimes with a Q-learning approach
  B1138:  A. Mishler
  (Counterfactually) fair and accurate risk assessment for healthcare decision making
  B1723:  A. Hubbard
Session EO683 Room: Virtual R26
Data integration methods and applications Saturday 18.12.2021   16:30 - 18:35
Chair: Hai Shu Organizer: Hai Shu
  B0180:  G. Li
  Simultaneous clustering and estimation of networks in multiple graphical models
  B0374:  B. Zhao, H. Zhu
  Data integration to improve prediction of human complex traits and diseases
  B0547:  C. Huang
  Mixture of shape-on-scalar regression models:going beyond prealigned non-Euclidean responses
  B0563:  X. Tan, L. Tang
  Improving personalized causal inference with information borrowed from heterogeneous data sources
  B0349:  H. Shu
  Common and distinctive pattern analysis between high-dimensional data sets
Session EO772 Room: Virtual R27
Recent advances in data privacy Saturday 18.12.2021   16:30 - 18:35
Chair: Matthew Reimherr Organizer: Matthew Reimherr
  B1461:  S. Wu
  Recent advances in private synthetic data generation
  B0554:  R. Cummings
  Mean estimation with user-level privacy under data heterogeneity
  B0593:  L. Zhang
  High-dimensional differentially-private em algorithm: Methods and near-optimal statistical guarantees
  B0743:  C. Soto, M. Reimherr, K. Bharath
  Differential privacy over Riemannian manifolds
  B1048:  J. Awan, S. Vadhan
  Canonical noise distributions and private hypothesis tests
Session EO822 Room: Virtual R28
Small area estimation and public statistics Saturday 18.12.2021   16:30 - 18:35
Chair: Maria Guadarram Sanz Organizer: Maria Guadarram Sanz
  B0509:  N. Tzavidis
  Small area estimation in the presence of data masking
  B0933:  J.P. Burgard, D. Morales, J. Krause
  Single source small area estimation
  B0622:  G. Bertarelli, F. Schirripa Spagnolo, S. Marchetti, N. Salvati, M. Pratesi
  Inference for big data assisted by small area methods
  B0961:  J. van den Brakel
  Official statistics based on the Dutch health survey during the COVID-19 pandemic
  B1706:  M. Szymkowiak
  SPREE estimation of the number of disabled people in terms of economic activity
Session EO844 Room: Virtual R29
Adaptive methods for complex high dimensional time series analysis Saturday 18.12.2021   16:30 - 18:35
Chair: Scott Bruce Organizer: Scott Bruce
  B0829:  W. Barreto-Souza, H. Ombao
  Causality in multivariate time series with mixed components
  B1375:  Z. Li, Y. Dong
  A frequency-domain multivariate linear model for analyzing multiple time series and covariates
  B1495:  D. Vimalajeewa, S. Bruce, B. Vidakovic
  Use of wavelet based spectra for early detection of ovarian cancer
  B1432:  P. Bagchi, A. Vidyashankar
  Inference for nonhomogeneous Bellman-Harris processes with applications to transportation analytics
  B1575:  A. Vidyashankar
  Random coefficient autoregression on trees
Session EO356 Room: Virtual R30
Statistical inference of network data Saturday 18.12.2021   16:30 - 18:35
Chair: Jyotishka Datta Organizer: Srijan Sengupta
  B0309:  J. Zhu
  Fast network community detection with profile-pseudo likelihood methods
  B0352:  D. Ghoshdastidar
  Hypothesis testing and learning on network-valued data
  B1022:  S. Sengupta
  Anomalous clique detection via egonets
  B1064:  J. Wilson
  Principal component analysis for network samples
  B1070:  P. Dubey
  Exploratory data analysis for dynamic networks
Session EO078 Room: Virtual R31
Imaging data analysis: Recent developments and applications Saturday 18.12.2021   16:30 - 18:35
Chair: Farouk Nathoo Organizer: Farouk Nathoo
  B0993:  F. Hamilton
  Pitfalls in statistical modeling of tumor-infiltrating immune cells from histological imaging
  B1484:  F. Nathoo
  Dimension reduction and regression modelling for imaging genetics
  B1487:  X. Luo, Y. Zhao, B. Caffo, B. Wang, S. Mostofsky
  Connectivity regression via covariate assisted principal regression
  B0434:  H. Hwang
  A knowledge-based multivariate method for examining gene-brain-behavioural/cognitive relationships
Session EO810 Room: Virtual R35
Statistical inference for complex data Saturday 18.12.2021   16:30 - 18:35
Chair: Anderson Ye Zhang Organizer: Anderson Ye Zhang
  B0379:  K. Zhang, Z. Zhao, W. Zhou
  BEAUTY powered BEAST
  B0433:  Z. Ren, W. Zhou, P. Zhang
  Statistical inference of robust regression with contaminated errors
  B0591:  S. Wang
  Self-supervised metric learning in multi-view data: A downstream task perspective
  B0555:  Y. Shen, Q. Han, T. Jiang
  Contiguity under high-dimensional Gaussianity with applications to covariance testing
Session EO736 Room: Virtual R37
Advances in multivariate methods Saturday 18.12.2021   16:30 - 18:35
Chair: Mengxi Yi Organizer: Mengxi Yi
  B0520:  E. Ollila, E. Raninen
  On robust estimates of sphericity in high-dimension
  B0521:  X. Mao
  Matrix completion with model-free weighting
  B0625:  T. Zhang
  High quantile regression for tail dependent time series
  B1295:  Z. Zhu, J. Fan, Y. Guo
  Best subset selection is robust against design dependence
  B1680:  S. Zhang
  Large precision matrix estimation for compositional data
Session EO651 Room: Virtual R39
Recent advances on stochastic modeling Saturday 18.12.2021   16:30 - 18:35
Chair: Pepa Ramirez Cobo Organizer: Pepa Ramirez Cobo
  B1197:  R. Lillo, P. Ramirez Cobo, M. Gonzalez
  Modeling with the MAP counting process
  B1498:  M.R. Sillero-Denamiel, S. Wilson, H. Cao
  Bayesian modelling of the selection bias problem in regression
  B1709:  J.E. Ruiz-Castro, M. Dawabsha
  Modeling a repairable discrete multi-state system with a vacation policy
  B1714:  C. Gardner, B.F. Nielsen
  Bivariate exponential distribution with atoms at zero
  B1687:  S. Wilson, A. Al-Ghamdi
  Latent variable modelling in the number of kinds problem
Session EO076 Room: Virtual R40
Compositional, distributional and relative abundance data I Saturday 18.12.2021   16:30 - 18:35
Chair: Karel Hron Organizer: Karel Hron
  B0955:  K. Hron, J. Rendlova, P. Filzmoser
  Classification of compositional data with selective pivot coordinates
  B1010:  J. Sanchez-Balseca, A. Perez-Foguet
  The influence of the error-propagation on ilr-base selection for compositional models
  B0962:  V. Nesrstova, K. Hron, P. Filzmoser, I. Wilms
  Identification of significant pairwise logratios in compositional data based on sparse PCA
  B0533:  J. Vega Baquero, M. Santolino
  Too big to fail? An analysis of the Colombian banking system through compositional data
  B1465:  J. McKinley, U. Mueller, P. Atkinson, D. Fogarty
  Regression analysis using compositional balances: Case study for chronic kidney disease and environmental toxins
Session EO609 Room: K0.18 (Hybrid 03)
Estimating treatment effects: Methods and applications (virtual) Saturday 18.12.2021   16:30 - 18:35
Chair: David van Dyk Organizer: Christopher Hans, David van Dyk
  B0809:  C. Doss, G. Weng, L. Wang
  A nonparametric doubly robust test for a continuous treatment effect
  B0902:  E. Ogburn
  Disentangling confounding and nonsense associations due to dependence
  B1056:  J. Murray
  Bayesian tree models with targeted smoothing for causal inference
  B0620:  S. Jensen
  Evaluating the impact of built environment interventions in philadelphia
  B1199:  A. Volfovsky
  Online experimentation for studying political polarization
Session EO198 Room: K0.19 (Hybrid 04)
Analysis of large data sets for improving healthcare and taxation Saturday 18.12.2021   16:30 - 18:35
Chair: Roy Welsch Organizer: Roy Welsch
  B0833:  A. AlShehhi
  Machine learning methods for survival analysis to predict dementia risk in diabetic patients
  B0836:  B. Vakulenko-Lagun
  Challenges and opportunities of competing risks for causal inference
  B0969:  M. Pittavino, G. Lideikyte Huber
  Do tax deductions encourage charitable giving behavior in the canton of Geneva?
  B0976:  S. Finkelstein, L. Baker, A. Arevalo, F. DeMichelle, R. Mateo-Collado, J. Maley, L. Celi
  Realworld characterizationof blood glucose control and insulinuse in the intensive care unit using EHR data
  B1122:  Z. Shahn, M. Lu, L.-W. Lehman
  Is deep reinforcement learning ready for practical applications in healthcare?
Session EO685 Room: K0.20 (Hybrid 05)
Scientifically motivated spatial data models Saturday 18.12.2021   16:30 - 18:35
Chair: Garritt Page Organizer: Philip White
  B0179:  N. Walker, T. Hefley, D. Walsh, I. McGahan, D. Skinner, D. Storm
  Predicting the risk of novel pathogen introductions from disease surveillance data
  B0285:  L. Warr, M. Heaton, W. Christensen, P. White, S. Rupper
  Distributional validation of precipitation data products with spatially varying mixture models
  B0549:  N. Wikle, E. Hanks, C. Zigler
  Constructing mechanistic spatial models from Ornstein-Uhlenbeck processes
  B0808:  H. Scharf
  Detecting changes in dynamic social networks based on unlabeled movement data
  B1066:  S. Lee, M. Haran
  A discretized projection-based method for modeling high-dimensional zero-inflated spatial data
Session EO577 Room: K0.50 (Hybrid 06)
Recent advances in causal inference (virtual) Saturday 18.12.2021   16:30 - 18:35
Chair: Andrew Spieker Organizer: Andrew Spieker
  B0795:  E. Kennedy
  Nonparametric estimation of heterogeneous causal effects
  B1257:  A. Spieker, J. Delaney, R. McClelland
  Semi-parametric estimation of biomarker age trends with endogenous medication use in longitudinal data
  B0685:  Y. Lee, A. Zhao, D. Small, B. Karmakar
  Evidence factors from multiple, possibly invalid, instrumental variables
  B0709:  G. Lefebvre, M. Caubet Fernandez, M. Samoilenko
  Bayesian joint modeling for causal mediation analysis with a binary outcome and a binary mediator
  B1088:  G. Papadogeorgou, F. Li, F. Li
  Cluster randomized trials: Assumptions, estimands, and estimation in the presence of post-randomization selection
Session EO702 Room: K2.40 (Hybrid 08)
Advances in empirical Bayes methodology (virtual) Saturday 18.12.2021   16:30 - 18:35
Chair: Asaf Weinstein Organizer: Asaf Weinstein
  B0687:  J. Gu, R. Koenker
  Invidious comparisons: Ranking and selection as compound decisions
  B1705:  N. Ignatiadis, S. Wager
  Confidence intervals for nonparametric empirical Bayes analysis
  B1744:  W. Sun
  Transfer learning for empirical bayes estimation: A nonparametric integrative Tweedie approach
  B1759:  A. Weinstein
  On permutation invariant problems in large-scale inference
Parallel session E: CFE Saturday 18.12.2021 16:30 - 18:35

Session CO044 Room: Virtual R18
Dynamic models with regime switching Saturday 18.12.2021   16:30 - 18:35
Chair: Willi Semmler Organizer: Willi Semmler
  A1167:  P. Chen, C. Hsiao, W. Semmler
  Instability in regime switching models
  A1467:  W. Semmler
  Pandemic meltdown and economic recovery: A multi-phase dynamic model, empirics, and policy
  A1181:  I. Panovska, L. Donayre
  Recession-specific recoveries: L's, U's and everything in between
  A1192:  L. Donayre
  Hamilton versus Hamilton: Spurious nonlinearities
  A1150:  E. Okano, M. Eguchi
  The effects of money-financed fiscal stimulus in a small open economy
Session CO186 Room: Virtual R32
Advances in empirical macroeconomics Saturday 18.12.2021   16:30 - 18:35
Chair: Christian Matthes Organizer: Christian Matthes
  A0437:  P. Goulet Coulombe
  A neural Phillips curve
  A0543:  C. Matthes, P. Ho, T. Lubik
  Averaging impulse responses
  A0579:  R. Braun, G. Kapetanios, M. Marcellino
  Time Varying IV-SVARs and the effects of monetary policy on financial variables
  A0869:  J. Arias, J. Fernandez-Villaverde, J. Rubio-Ramirez, M. Shin
  Bayesian estimation of epidemiological models: Methods, causality, and policy trade-offs
  A0994:  B. Born, R. Bachmann, O. Goldfayn-Frank, G. Kocharkov, R. Luetticke, M. Weber
  A temporary VAT cut as unconventional fiscal policy: Evidence from Germany
Session CO248 Room: Virtual R33
Advances in macroeconometrics Saturday 18.12.2021   16:30 - 18:35
Chair: Mikkel Plagborg-Moller Organizer: Mikkel Plagborg-Moller
  A0363:  G. Mesters, R. Barnichon
  Testing macroeconomic policies with sufficient statistics
  A0367:  M. Chang, F. Schorfheide, X. Chen
  Heterogeneity and aggregate fluctuations
  A0370:  L. Farmer, E. Nakamura, J. Steinsson
  Learning about the long run
  A1053:  L. Liu, R. Moon, F. Schorfheide
  Forecasting with a panel tobit model
  A0354:  M. Plagborg-Moller, C. Wolf, D. Li
  Local projections vs. VARs: Lessons from thousands of DGPs
Session CO170 Room: Virtual R34
Advances in financial modelling and inference Saturday 18.12.2021   16:30 - 18:35
Chair: Richard Luger Organizer: Sermin Gungor, Richard Luger
  A1143:  E. Jo, S. Betermier, L. Calvet
  A supply and demand approach to equity pricing
  A1092:  X. Liu
  Unfolded skewness and kurtosis timings in out-of-sample density forecasts of financial returns
  A1086:  L. Ergun
  Covariates hiding in the tails
  A1219:  S. Gungor, R. Luger
  Evaluating factor strength with a large number of assets
  A1318:  R. Luger
  Regularizing stock return covariance matrices via multiple testing
Session CO758 Room: Virtual R36
Text mining in economics Saturday 18.12.2021   16:30 - 18:35
Chair: Paul Hofmarcher Organizer: Paul Hofmarcher
  A0720:  K. Vafa
  Text-based ideal points
  A0279:  R. Zhao
  Adversarial learning of Poisson factorisation models for gauging brand sentiment in user reviews
  A0806:  S. Adhikari, B. Gruen, P. Hofmarcher
  Time-evolving text-based ideal point model to infer partisanship in the US senate
  A0247:  L. Gifuni
  Real oil price forecasting: Gains and pitfalls of text data
  A0827:  A. Schein
  Assessing the effects of friend-to-friend texting on turnout in the 2020 U.S. presidential election
Session CO408 Room: Virtual R38
Sentometrics Saturday 18.12.2021   16:30 - 18:35
Chair: David Ardia Organizer: David Ardia, Kris Boudt
  A0457:  A. De Block, F. De Palmenaer, K. Boudt
  Weekly economic index for Belgium: Design and validation
  A0465:  F. De Palmenaer, M. van den Heuvel, K. Boudt, K. Schoors
  Aggregation of bank transaction data into a weekly Index of economic activity
  A0646:  L. Barbaglia, S. Consoli, S. Manzan
  Forecasting GDP in Europe with textual data
  A1405:  O. Delmarcelle
  Sentopics: An R package linking topic models and sentiment analysis
  A1782:  D. Ardia
  Climate change concerns and the performance of green versus brown stocks
Session CO824 Room: K0.16 (Hybrid 02)
Machine learning for finance: Theory and application Saturday 18.12.2021   16:30 - 18:35
Chair: Haoyang Cao Organizer: Renyuan Xu
  A0236:  L. Sanchez-Betancourt, A. Cartea
  Optimal execution of foreign securities: a double-execution problem with signatures and machine learning
  A0318:  H. Yang, B. Hambly, R. Xu
  Policy gradient methods find the Nash equilibrium in $N$-player general-sum linear-quadratic games
  A0321:  W. Xiong
  Interactions of market making algorithms: A study on perceived collusion
  A0323:  F. Prenzel
  Analysis and modeling of client order flow in limit order markets
  A0552:  H. Cao
  Identifiability in inverse reinforcement learning
Session CO328 Room: K2.41 (Hybrid 09)
Predictive modelling of financial data (virtual) Saturday 18.12.2021   16:30 - 18:35
Chair: Robert Taylor Organizer: Robert Taylor
  A0202:  R. Taylor, M. Demetrescu, P. Rodrigues, I. Georgiev
  Extensions to IVX methods of inference for return-predictability
  A0206:  M. Demetrescu, M. Hosseinkouchak
  Testing the predictability of stock returns with smoothly varying deterministic mean
  A0604:  J.-Y. Pitarakis, J. Gonzalo
  Out of sample predictability in predictive regressions with many predictor candidates
  A1129:  P. Rodrigues, M. Demetrescu, R. Taylor
  Tests for time series momentum
  A1505:  R. McCrorie, M. Lupoli
  The role of investor sentiment in commodity price behaviour: some evidence via time-varying causality tests
Session CO698 Room: K2.31 Nash (Hybrid 07)
Factor models in asset pricing Saturday 18.12.2021   16:30 - 18:35
Chair: Svetlana Bryzgalova Organizer: Svetlana Bryzgalova
  A1456:  M. Pelger, S. Bryzgalova, M. Lettau, S. Lerner
  Asset pricing with missing data
  A1459:  A. Neuhierl, J. Fan, T. Ke, Y. Liao
  Interpretable deep learning in asset pricing
  A1475:  P. Zaffaroni
  Factor models for conditional asset pricing
  A1550:  J. Li, C. Robotti
  On the power of asset pricing tests
  A1579:  S.A. Korsaye, F. Trojani, A. Quaini
  Smart stochastic discount factors
Parallel session F: CMStatistics Saturday 18.12.2021 18:45 - 20:00

Session EO320 Room: Virtual R18
Interpretability and trustworthiness in machine learning Saturday 18.12.2021   18:45 - 20:00
Chair: Stathis Gennatas Organizer: Stathis Gennatas
  B1327:  B. Avants
  Conservative approaches to integrative high-dimensional studies of the brain and brain-related measurements
  B1749:  R. Abbasi Asl
  Stability-driven interpretation of deep learning models: A neuroscience case study
  B1750:  R. Caruana
  Friends do not let friends deploy black-box models: The importance of intelligibility in machine learning in healthcare
Session EO140 Room: Virtual R20
Statistical inference with deep learning Saturday 18.12.2021   18:45 - 20:00
Chair: Faming Liang Organizer: Faming Liang
  B0559:  Q. Song
  Variational inference for sparse deep learning
  B0564:  F. Liang, Y. Sun, F. Liang
  A kernel-expanded stochastic neural network
  B1176:  W. Deng, G. Lin, F. Liang
  An adaptively weighted stochastic gradient MCMC algorithm for monte carlo simulation and global optimization
Session EO242 Room: Virtual R21
Advances in statistical methods for mobile health Saturday 18.12.2021   18:45 - 20:00
Chair: Walter Dempsey Organizer: Walter Dempsey
  B1331:  N. Jacobson, K. Wu
  Assessing timing of microrandomized trials using intensive longitudinal data and differential time-varying effect models
  B1586:  X. Meng, Z. Jia, P. Liao, K. Zhang, S. Murphy
  Assessing how well RL algorithms personalize in mobile health
  B1587:  J. Kim
  Using offline policy evaluation to advance methodological barriers in digital health
Session EO214 Room: Virtual R22
Beliefs, risk and uncertainty in artificial intelligence I Saturday 18.12.2021   18:45 - 20:00
Chair: Davide Petturiti Organizer: Davide Petturiti, Barbara Vantaggi
  B0769:  A. Capotorti, M. Baioletti
  Can probability coherence correction be helpful in data lakes?
  B0820:  L. Cella
  Incorporating partial prior information in an inferential model
  B1043:  D. Petturiti, B. Vantaggi
  Coherence and correction of belief and necessity assessments
Session EO599 Room: Virtual R23
Statistical methods for environmental mixtures Saturday 18.12.2021   18:45 - 20:00
Chair: Glen McGee Organizer: Glen McGee
  B0461:  J. Boss, J. Datta, X. Wang, S.K. Park, J. Kang, B. Mukherjee
  Group inverse-gamma gamma shrinkage for sparse regression with application to correlated environmental exposure data
  B0617:  G. McGee, A. Wilson, T. Webster, B. Coull
  Bayesian multiple index models for environmental mixtures
  B0815:  A. Wilson, D. Mork
  Estimating perinatal critical windows to environmental mixtures via structured Bayesian regression tree-pairs
Session EO142 Room: Virtual R24
Recent developments in change-point detection methods Saturday 18.12.2021   18:45 - 20:00
Chair: Shahina Rahman Organizer: Shubhadeep Chakraborty
  B0565:  S. Chakraborty, X. Zhang
  High-dimensional change-point detection using generalized homogeneity metrics
  B0803:  A. Shojaie
  Estimating detection in threshold auto-regressive models via dynamic programming
  B1474:  J. Li
  Online change-point detection for high-dimensional data
Session EO368 Room: Virtual R26
Ordinal regression methods Saturday 18.12.2021   18:45 - 20:00
Chair: Jonathan Schildcrout Organizer: Jonathan Schildcrout
  B1345:  T. Hothorn
  Transformation models: Pushing the boundaries
  B1521:  P. Rathouz
  Comparative performance of a semi-parametric generalized linear model in selected analysis settings
  B1585:  F. Harrell
  Longitudinal ordinal models as a general framework for medical outcomes
Session EO432 Room: Virtual R27
Theory and applications in dimension reduction techniques Saturday 18.12.2021   18:45 - 20:00
Chair: Eliana Christou Organizer: Eliana Christou
  B0852:  W. Sheng
  Sufficient dimension folding in regression via distance covariance for matrix-valued predictors
  B0986:  Q. Yuan, Y. Wang, Y. Xue, X. Yin
  Sufficient dimension folding with categorical predictors
  B1325:  C.E. Lee, H. Hilafu
  Quantile martingale difference divergence for dimension reduction
Session EO499 Room: Virtual R28
Methods for censored data Saturday 18.12.2021   18:45 - 20:00
Chair: Anneleen Verhasselt Organizer: Anneleen Verhasselt
  B0773:  J. Beyhum, J.-P. Florens, I. Van Keilegom
  A nonparametric instrumental approach to endogeneity in competing risks models
  B0925:  W.B. Ewnetu, A. Verhasselt, I. Gijbels
  Semiparametric quantile regression for right censored survival data using two-piece asymmetric distributions
  B1083:  S. Abrams, N. Hens, S. Unkel, A. Wienke
  Using frailty models in mathematical epidemiology to reveal how diseases are transmitted
Session EO591 Room: Virtual R29
Sketching and random projection methods for modern data analysis Saturday 18.12.2021   18:45 - 20:00
Chair: Edgar Dobriban Organizer: Edgar Dobriban
  B0239:  T. Wang
  Two-sample testing of high-dimensional linear regression coefficients via complementary sketching
  B1067:  M. Derezinski
  Sparse sketches with small inversion bias via LEverage Score Sparsified (LESS) embeddings
  B1267:  M. Pilanci
  Adaptive sketching methods
Session EO623 Room: Virtual R30
Advances in high-dimensional network estimation Saturday 18.12.2021   18:45 - 20:00
Chair: Kshitij Khare Organizer: Kshitij Khare
  B0408:  X. Cao, K. Lee
  Bayesian joint inference for multiple directed acyclic graphs
  B1514:  S.-Y. Oh
  Distributionally robust formulation of the graphical lasso
  B1693:  K. Khare
  Bayesian inference in high-dimensional mixed frequency regression and VAR models
Session EO754 Room: Virtual R31
Recent development in complex functional data Saturday 18.12.2021   18:45 - 20:00
Chair: Guanqun Cao Organizer: Ping-Shou Zhong
  B1731:  J. Mu
  Estimation and inference in generalized spatial partially linear varying coefficient models
  B1733:  K. Han, H.-G. Mueller, B.U. Park
  Additive functional regression for densities as responses
  B1734:  H. Park
  Functional additive models for optimizing individualized treatment rules
Session EO794 Room: Virtual R35
Robust inference in constructing dynamic treatment regimes Saturday 18.12.2021   18:45 - 20:00
Chair: Ashkan Ertefaie Organizer: Ashkan Ertefaie
  B0369:  M. van der Laan
  Higher-order targeted maximum likelihood estimation and its applications in causal inference
  B0173:  E. Moodie
  Estimating individualized treatment rules from distributed data collection sites
  B0267:  R. Strawderman
  Robust Q-learning
Session EO374 Room: Virtual R36
ARLEStat: Ageing Risks and Long-term impact on Economy \& Society Saturday 18.12.2021   18:45 - 20:00
Chair: Marie Kratz Organizer: Marie Kratz
  B1042:  J. Park, E. Koukouli, A. Titman
  A latent multivariate Gaussian process model for longitudinal ageing survey data
  B1503:  M.-A. Bind
  High-dimensional causal inference that capitalizes on experimental design and computing, illustrated with epigenomics
  B0534:  A. Charpentier, E. Gallic
  Modeling joint lives within families
Session EO222 Room: Virtual R37
Statistical innovations in research on human brain and cognition Saturday 18.12.2021   18:45 - 20:00
Chair: Oystein Sorensen Organizer: Oystein Sorensen
  B0796:  M. Lindquist
  High-dimensional mediation analysis with machine learning
  B1033:  M. Jeon
  Modeling within-item dependencies in parallel data on test responses and brain activation
  B1041:  L. Elliott
  Brain imaging genetics with ~40,000 subjects and ~3,000 phenotypes
Session EO635 Room: Virtual R38
Statistical methods and applications in sports Saturday 18.12.2021   18:45 - 20:00
Chair: Francesco Porro Organizer: Francesco Porro
  B0619:  M. Delogu, J. Tena Horrillo, S. Cabras
  Forced to play too many matches? A deep-learning assessment of crowded schedule
  B0334:  R. Metulini, G. Gnecco
  Players' importance in basketball and the generalized Shapley value
  B0274:  T. Swartz, T. Guan, J. Cao
  Should you park the bus?
Session EO056 Room: Virtual R39
Experiments on networks Saturday 18.12.2021   18:45 - 20:00
Chair: Steven Gilmour Organizer: Steven Gilmour
  B0328:  V. Koutra
  Designing experiments on networks: An agricultural field experiment
  B1184:  J. Ugander, H. Yin
  Randomized graph cluster randomization
  B1699:  C. Cai, E. Airoldi
  Estimating peer-influence effects under homophily: Randomized treatments and insights
Session EO146 Room: Virtual R40
Small area methods Saturday 18.12.2021   18:45 - 20:00
Chair: Serena Arima Organizer: Serena Arima
  B0225:  M. Torabi, J. Jiang
  A robust goodness-of-fit test for small area estimation
  B0891:  M.G. Ranalli, M.F. Marino, M. Alfo, N. Salvati
  Empirical best prediction for SAE of categorical variables using finite mixtures of multinomial logistic models
  B1193:  B. Liseo, S. Arima, G. Datta
  Record linkage, measurement error and unit level small area estimation: A Bayesian approach
Session EO714 Room: K0.16 (Hybrid 02)
Bayesian model selection Saturday 18.12.2021   18:45 - 20:00
Chair: Jairo Fuquene Organizer: Jairo Fuquene
  B0394:  R. Bai
  Spike-and-slab group lassos for grouped regression and sparse generalized additive models
  B0631:  A. Bhattacharya, D. Pati, Y. Yang, S. Plummer
  Dynamics of mean-field approximation: A case-study in singular models
  B1069:  X. Tang, Z. Zhu
  Using log Cauchy priors for modeling sparsity
Session EO456 Room: K0.19 (Hybrid 04)
Advances in causal inference (virtual) Saturday 18.12.2021   18:45 - 20:00
Chair: Luke Keele Organizer: Luke Keele
  B1146:  M. Bonvini, E. Kennedy
  Global and local estimators of a dose-response curve
  B1140:  L. Keele, T. Ye
  A negative correlation strategy for bracketing in difference-in-differences
  B1173:  B. Weidmann
  Missing, presumed different: Quantifying the risk of attrition bias in education evaluations
Parallel session F: CFE Saturday 18.12.2021 18:45 - 20:00

Session CI010 (Special Invited Session) Room: K E. Safra (Multi-use 01)
Big data and macroeconomics (virtual) Saturday 18.12.2021   18:45 - 20:00
Chair: Alessia Paccagnini Organizer: Alessia Paccagnini
  A0350:  A. Bykhovskaya, V. Gorin
  Cointegration in large VARs
  A0629:  C. Scotti
  Words speak as loudly as actions: The response of equity prices to macroeconomic announcements
Session CO354 Room: Virtual R25
Recent advances in quantile regression Saturday 18.12.2021   18:45 - 20:00
Chair: Carlos Lamarche Organizer: Carlos Lamarche
  A1124:  Z. Cai, Y. Fang, M. Lin, M. Zhan
  Estimating quantile treatment effects for panel data
  A1337:  D. Young, X. Shi, C. Lamarche
  A model-aware approach to quantile regression for cross-sectional data with zero-inflated counts
  A1377:  C. Lamarche
  Quantile regression with an endogenous misclassified binary regressor
Session CO176 Room: Virtual R32
New advances in efficiency and productivity analysis Saturday 18.12.2021   18:45 - 20:00
Chair: Helena Veiga Organizer: Helena Veiga, Michael Wiper
  A0888:  L. Orea, I. Alvarez, L. Serven
  The structural and productivity effects of infrastructure provision in developed and developing countries
  A0840:  H. Veiga, M. Wiper, J.C. Orosco Gavilan
  Measuring efficiency of Peruvian universities: A stochastic frontier analysis
Session CO326 Room: Virtual R33
Nonparametric estimation for causal analysis Saturday 18.12.2021   18:45 - 20:00
Chair: Daniel Henderson Organizer: Daniel Henderson
  A0174:  D. Henderson, S. Sperlich
  A general proposal for model-free difference-in-differences
  A0548:  T. Sloczynski, D. Uysal, J. Wooldridge
  Abadie's Kappa and weighting estimators of the local average treatment effect
Session CO804 Room: Virtual R34
The econometrics of asset pricing Saturday 18.12.2021   18:45 - 20:00
Chair: Fotis Grigoris Organizer: Fotis Grigoris
  A1369:  R. Allena
  Confident risk premiums and investments using machine learning uncertainties
  A1462:  J. Striaukas, A. Babii, E. Ghysels, R. Ball
  Machine learning panel data regressions with heavy-tailed dependent data: Theory and application
Session CO786 Room: K2.40 (Hybrid 08)
Latest developments in financial econometrics Saturday 18.12.2021   18:45 - 20:00
Chair: Roxana Halbleib Organizer: Roxana Halbleib
  A0248:  N. Gillmann, O. Okhrin
  Economic policy uncertainty with Ada-net
  A0517:  P. Prange
  P-range DCC: A score-driven extension to time-varying correlation models
  A0868:  E. Kazak, R. Halbleib, W. Pohlmeier
  Bagged value-at-risk forecast combination
Session CO042 Room: K2.41 (Hybrid 09)
Tail risk and density forecasting: New techniques or new data (virtual) Saturday 18.12.2021   18:45 - 20:00
Chair: Massimo Guidolin Organizer: Massimo Guidolin
  A0761:  F. Ravazzolo, R. Casarin, S. Grassi, H. van Dijk
  A flexible predictive density combination model for large financial data in regular and crisis periods
  A0844:  A.-F. Allard, H. Hanbali, K. Smedts
  Government bonds as market stabilising forces
  A0611:  M. Pedio
  Option-implied network measures of tail contagion and stock return predictability
Session CC874 Room: K0.18 (Hybrid 03)
Contributions in risk analysis (virtual) Saturday 18.12.2021   18:45 - 20:00
Chair: Leopoldo Catania Organizer: CFE
  A0865:  M. Nicolas, M. Garcin
  Nonparametric estimator of tail dependence coefficients: Balancing bias and variance
  A1573:  E. Mensali, L. Catania, A. Luati
  Joint-VaR: A new risk measure for financial markets
  A1576:  J. Kurka
  Extreme volatility risk and FX returns
Session CC860 Room: K0.20 (Hybrid 05)
Contributions in time series econometrics Saturday 18.12.2021   18:45 - 20:00
Chair: Tommaso Proietti Organizer: CFE
  A1615:  J. Bruha
  A sparse Kalman filter: A non-recursive approach
  A1679:  T. Proietti
  The most predictable aspects of time series
Parallel session G: CMStatistics Sunday 19.12.2021 08:15 - 09:55

Session EO382 Room: Virtual R20
Recent advances in Bayesian computation for intractable scenarios Sunday 19.12.2021   08:15 - 09:55
Chair: Matias Quiroz Organizer: Matias Quiroz
  B0922:  M. Quiroz, M. Villani, R. Kohn, R. Salomone
  Spectral subsampling MCMC for stationary multivariate time series
  B0485:  K.-D. Dang, M. Quiroz, R. Kohn
  Efficient marginal likelihood estimation by subsampling thermodynamic integration
  B0929:  Y. Yang, R. Kohn, S. Sisson, M. Quiroz
  Bayesian inference for doubly-intractable likelihoods using the block-Poisson estimator
  B1078:  T. Goodwin, M. Quiroz, C. Evenhuis
  Gibbs sampling for finite mixtures with intractable likelihoods
Session EO495 Room: Virtual R21
Statistical modeling for stochastic differential equations Sunday 19.12.2021   08:15 - 09:55
Chair: Masayuki Uchida Organizer: Masayuki Uchida
  B1483:  N. Yoshida
  Asymptotic expansion in volatility parametric estimation revisited
  B0627:  T. Ogihara
  Parameter estimation for misspecified diffusion processes with noisy, nonsynchronous observations
  B1322:  M. Trabs, F. Hildebrandt
  Statistics for SPDEs based on discrete observations
  B0660:  A. De Gregorio
  Regularized bridge-type estimation for SDEs
Session EO200 Room: Virtual R22
Model assessment I Sunday 19.12.2021   08:15 - 09:55
Chair: Maria Dolores Jimenez-Gamero Organizer: Maria Dolores Jimenez-Gamero
  B0718:  D. Gaigall, J. Gerstenberg
  On the fitting of the distribution of the excess over a confidence level and the adaption for threshold detection
  B0996:  B. Milosevic, D. Bucalo Jelic
  On testing independence of count data
  B1537:  J. Huang, W. Zhao, X. Zhu, L. Zhu
  Profiled deviation subspaces with the application to change structure detection of high-dimensional data
  B0252:  F. Chen, M.D. Jimenez-Gamero, S. Meintanis, L. Zhu
  A general Monte Carlo method for goodness-of-fit testing of random vectors
Session EO264 Room: Virtual R23
Advances in functional and multivariate data analysis Sunday 19.12.2021   08:15 - 09:55
Chair: Yuko Araki Organizer: Yuko Araki
  B0770:  K. Takahashi, H. Shimadzu
  A detection test for adjacent hotspot clusters
  B0974:  T. Misumi
  Functional dynamic prediction modeling for hourly ambulance demand data
  B1072:  J.-M. Chiou
  A greedy approach to detecting change points for functional data
  B1425:  M. Imaizumi, A. Okuno
  Minimax Analysis for Inverse Risk in Nonparametric Planer Invertible Regression
Session EO760 Room: Virtual R24
Design of experiments: Construction and analysis Sunday 19.12.2021   08:15 - 09:55
Chair: Stelios Georgiou Organizer: Stelios Georgiou, Stella Stylianou
  B0957:  S. Georgiou
  Alternatives of second-order response surface designs
  B0960:  S. Stylianou
  Missing observations on response surface designs
  B0905:  A.S.S. Alamri
  Discrete choice experiments: An overview on constructing D-optimal and near-optimal choice sets
  B0981:  H. Evangelaras, V. Trapouzanlis
  Enumeration and evaluation of orthogonal three-level designs with small number of runs for definitive screening
Session EO120 Room: Virtual R25
Statistics for high-frequency price and volatility models Sunday 19.12.2021   08:15 - 09:55
Chair: Markus Bibinger Organizer: Markus Bibinger
  B0941:  F. Mies, M. Podolskij
  Identifying mixed fractional stable processes from high-frequency data
  B1561:  I. Archakov, P. Hansen
  A canonical representation of block matrices with applications to covariance and correlation matrices
  B1404:  L. Winkelmann, W. Yao
  Joint tests for jumps in asset prices and their spread
  B0635:  Y. Potiron
  Existence in the inverse Shiryaev problem
Session EO286 Room: Virtual R26
Spatial extremes Sunday 19.12.2021   08:15 - 09:55
Chair: Raphael Huser Organizer: Raphael Huser
  B0339:  P. Krupskiy, R. Huser
  Max-convolution processes with random shape indicator kernels
  B0876:  C. Rohrbeck, D. Cooley
  Simulation of spatial hazard events using extremal principal components
  B0896:  B. Beranger, M. Stewart, S. Sisson
  Analysis of extremal behaviour using block sums and averages
  B1004:  M. Oesting, R. Huser
  Patterns in spatio-temporal extremes with an application to red sea surface temperature data
Session EO352 Room: Virtual R27
Recent advances in Bayesian causal mediation analysis Sunday 19.12.2021   08:15 - 09:55
Chair: Xinyuan Song Organizer: Xinyuan Song
  B1174:  J. Pan, L. Zhang
  Latent multiple mediation analysis with the Bayesian lasso
  B1168:  X. Song
  Bayesian causal mediation analysis with latent mediators and survival outcome
  B1207:  X. Zhou
  Mediation analysis for mixture Cox proportional hazards cure models
  B1166:  R. Sun, X. Song
  Bayesian causal forest with AFT model: Estimating heterogeneous treatment effects on a survival outcome
Session EO444 Room: Virtual R31
Non-regular statistical modeling with complete and incomplete data Sunday 19.12.2021   08:15 - 09:55
Chair: Tsung-I Lin Organizer: Tsung-I Lin
  B0337:  T.-C. Lin
  Mixtures of multivariate $t$ linear mixed models with missing information
  B0338:  W.-L. Wang, T.-I. Lin
  Multivariate-t linear mixed models for longitudinal data with censored and intermittent missing responses
  B1632:  J. Lee, T. Choi
  Bayesian hierarchical functional mixed effects model with shape constrained Gaussian processes
  B0359:  Y.-C. Yang, T.-I. Lin, L.M. Castro, W.-L. Wang
  Extending finite mixtures of t linear mixed-effects models with concomitant covariates
Session EO366 Room: Virtual R38
Functional data analysis and applications Sunday 19.12.2021   08:15 - 09:55
Chair: Marco Stefanucci Organizer: Jian Qing Shi, Marco Stefanucci
  B1237:  X. Chen
  Stroke rehabilitation assessment by using wrist-worn sensors
  B1342:  C. Cao
  Curve classification based on feature weighted models with application to medical data
  B0951:  A. Elias, A. Elias, S. Pineda, J.M. Morales
  Evolution outliers in high dimensional functional time series
  B0989:  C. Capezza, F. Centofanti, A. Lepore, A. Menafoglio, B. Palumbo, S. Vantini
  funcharts: An R package for the real-time monitoring of multivariate functional data
Session EO454 Room: Virtual R39
Multivariate analysis of complex data Sunday 19.12.2021   08:15 - 09:55
Chair: Thomas Verdebout Organizer: Thomas Verdebout
  B0296:  S. Dabo, C.J. Agonkoui, F. Bouhadjera
  Generalized functional linear models under non-random sampling
  B0397:  J. Trufin, M. Denuit, J. Trufin, T. Verdebout
  Testing for more positive expectation dependence with application to model comparison
  B0643:  D. Paindaveine, A. Duerre
  Affine-equivariant inference for multivariate location under $L_p$ loss functions
  B1084:  T. Verdebout, E. Garcia-Portugues, D. Paindaveine
  On the power of Sobolev tests for isotropy under local rotationally symmetric alternatives
Session EO836 Room: K0.16 (Hybrid 02)
Innovations in exact and approximate time series analysis Sunday 19.12.2021   08:15 - 09:55
Chair: Maryclare Griffin Organizer: Maryclare Griffin
  B1323:  J. Yang, S. Das, S. Subbarao
  Spectral methods for small sample time series: A complete periodogram approach
  B1449:  M. Duker
  Graphical and thresholding local Whittle estimation
  B1627:  A. Sykulski, S. Olhede
  The elliptical Ornstein-Uhlenbeck process
  B1686:  I. Gannaz
  Graph inference from multivariate time series with long-range dependence
Session EO054 Room: K0.18 (Hybrid 03)
Probabilistic time series forecasting (virtual) Sunday 19.12.2021   08:15 - 09:55
Chair: James Taylor Organizer: James Taylor
  B1367:  J. Taylor
  Angular combining of forecasts of probability distributions
  B1371:  S. Arora, J. Taylor
  Forecasting emergency department length of stay and hospital admissions during the pandemic
  B1476:  S. Ben Taieb
  Learning quantile functions for temporal point processes with recurrent neural splines
  B1596:  X. Meng, J. Taylor
  Using L2 and kernel scores to optimise combinations of density forecasts
Session EO595 Room: K0.19 (Hybrid 04)
Advanced statistical modelling Sunday 19.12.2021   08:15 - 09:55
Chair: Andreas Mayr Organizer: Andreas Mayr
  B1372:  B. de Sousa, C. Pires, D. Gomes, P. Filipe, A. Costa-Veiga, C. Nunes
  STAR Modeling in the battle against pulmonary tuberculosis: Risk areas and associated risk factors
  B0542:  T. Kneib
  Multivariate conditional transformation models
  B1307:  O. Lado-Baleato, C. Cadarso Suarez, F. Gude, T. Kneib
  Multivariate conditional transformation models in practice: Conditional reference region estimation
  B0921:  H. Wagner
  Shrinkage of time-varying effects in panel data models
Session EO404 Room: K0.20 (Hybrid 05)
Recent advances in flexible directional statistics Sunday 19.12.2021   08:15 - 09:55
Chair: Jose Ameijeiras-Alonso Organizer: Jose Ameijeiras-Alonso
  B0802:  Y. Larriba, C. Rueda
  Taking advance of the circular manifold for the analysis of circadian gene expression data
  B0934:  A. Meilan-Vila, R. Crujeiras, M. Francisco-Fernandez
  Nonparametric regression estimation with a circular response and a functional covariable
  B0988:  J. Ameijeiras-Alonso, I. Gijbels, A. Verhasselt
  Exploring the utility of a circular mode-based model
  B0997:  M. Alonso-Pena, I. Gijbels, R. Crujeiras
  A general approach for nonparametric regression with circular predictors
Session EC869 Room: Virtual R40
Contributions in spatial and spatio-temporal statistics Sunday 19.12.2021   08:15 - 09:55
Chair: Fabio Sigrist Organizer: CFE-CMStatistics
  B0735:  F. Spoto, A. Caponera, P. Brutti
  Spherical autoregressive change-point detection with applications
  B1566:  F. Sigrist
  Latent Gaussian model boosting
  B1711:  A. Sottosanti, D. Risso
  Clustering spatially resolved genes at a spot level in spatial trascriptomics with SpaRTaCo
  B1520:  A. Gosnell, E. Evangelou
  A conditional Gaussian process model for ordinal data and its application in predicting herbicidal performance
Parallel session G: CFE Sunday 19.12.2021 08:15 - 09:55

Session CI026 (Special Invited Session) Room: K E. Safra (Multi-use 01)
Variational inference for big models (virtual) Sunday 19.12.2021   08:15 - 09:55
Chair: Michael Smith Organizer: Michael Smith
  A0155:  M. Smith, R. Loaiza-Maya, D. Nott, P. Danaher
  Fast and accurate variational inference for models with many latent variables
  A0156:  D. Nott, X. Yu, M.S. Smith
  Variational inference for cutting feedback in misspecified models
  A0157:  M.P. Wand
  Streamlined variational inference for random effects models
Session CO503 Room: Virtual R18
Causal machine learning Sunday 19.12.2021   08:15 - 09:55
Chair: Martin Huber Organizer: Martin Huber
  A0205:  M. Knaus
  Decomposing causal effect heterogeneity under multiple treatment versions
  A0220:  J. Meier, M. Huber, H. Wallimann
  Business analytics meets artificial intelligence: Assessing the demand effects of discounts on Swiss train tickets
  A0546:  N. Apfel, M. Huber, H. Langen, H. Farbmacher
  Retrieving grouped local average treatment effects via cLasso
  A0789:  H. Langen
  The impact of MeToo on language at court: A text-based causal inference approach
Session CO507 Room: Virtual R29
Panel data with cross-section dependence Sunday 19.12.2021   08:15 - 09:55
Chair: Yiannis Karavias Organizer: Anindya Banerjee, Yiannis Karavias
  A0308:  J. Ditzen, F. Ravazzolo
  Identifying dominant units using graphical models in panel time series data
  A0361:  Y. Karavias, P.K. Narayan, J. Westerlund
  Structural breaks in interactive effects panels and the stock market reaction to COVID-19
  A0366:  J. Westerlund, L. Su, B. Peng, Y. Yang
  Interactive effects panel data models with general factors and regressors
  A0501:  A. Banerjee, J.L. Carrion-i-Silvestre
  Panel cointegration bounds testing with common factors
Session CO732 Room: Virtual R30
New methods for structural vector autoregressions Sunday 19.12.2021   08:15 - 09:55
Chair: Tomasz Wozniak Organizer: Tomasz Wozniak
  A1157:  A. Camehl, M. Rieth
  Disentangling Covid-19, economic mobility, and containment policy shocks
  A1213:  E. Eisenstat, R. Strachan
  Singular vector autoregressions
  A1230:  L. Jacobi, D. Zhu
  Prior input sensitivities of posterior MCMC inference via infinitesimal perturbation analysis with application to VARs
  A1273:  P. Nguyen
  Moment condition verification for structural VARs in the Bayesian empirical likelihood framework
Session CO110 Room: Virtual R32
Advances in financial econometrics Sunday 19.12.2021   08:15 - 09:55
Chair: Toshiaki Watanabe Organizer: Toshiaki Watanabe
  A0376:  Y. Omori, Y. Yamauchi
  Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
  A0648:  M. Takahashi, Y. Omori, T. Watanabe, Y. Yamauchi
  Realized stochastic volatility models with skew $t$ distributions
  A0476:  J. Nakajima, T. Watanabe
  Stochastic volatility model with time-varying leverage effect
  A0484:  M. So
  Bayesian network analysis for financial risk management
Session CO114 Room: Virtual R33
Climate and energy econometrics Sunday 19.12.2021   08:15 - 09:55
Chair: Robinson Kruse-Becher Organizer: Robinson Kruse-Becher
  A0335:  M. Gronwald
  Global, hemispheric, and zonal temperature anomalies: How different are they, and what does this mean
  A0404:  M. Friedrich, S. Fries, M. Pahle, O. Edenhofer
  Rules vs. discretion in cap-and-trade programs: Evidence from the EU emission trading system
  A0954:  S. Maxand
  A panel SVAR for European climate policy
  A1439:  M. Bennedsen, E. Hillebrand, S.J. Koopman
  A statistical model of the global carbon budget
Session CO130 Room: Virtual R34
Unconventional macro policies and expectations Sunday 19.12.2021   08:15 - 09:55
Chair: Etsuro Shioji Organizer: Etsuro Shioji
  A0513:  T. Sunakawa, M. Katagiri
  Forward guidance as a monetary policy rule
  A0831:  T. Sekine, F. Packer, S. Yoneyama
  Individual trend inflation
  A0641:  H. Morita, L. Melosi, F. Zanetti
  The signalling effects of fiscal announcements: Results from supplementary fiscal stimuli
  A0498:  E. Shioji
  The pandemic and government bonds: Evidence from volatility smiles in Japan
Session CO028 Room: Virtual R35
Topics in time series econometrics Sunday 19.12.2021   08:15 - 09:55
Chair: Martin Wagner Organizer: Martin Wagner
  A1454:  L. Soegner, M. Wagner
  Eigenvalue based monitoring of structural breaks in error correction models
  A1712:  S. Veldhuis, M. Wagner
  A fixed-b cointegration test for cointegrating polynomial regressions
  A1713:  F. Knorre, M. Wagner
  Nonparametric cointegration analysis of the environmental Kuznets curve
  A1710:  M. Wagner, M. Vetter, R. Kawka
  Localized fully modified OLS estimation
Session CO485 Room: Virtual R36
Advances in duration analysis Sunday 19.12.2021   08:15 - 09:55
Chair: Ralf Wilke Organizer: Ralf Wilke
  A0263:  I. Van Keilegom, C. Czado
  Dependent censoring based on copulas
  A0855:  S. Ota, M. Kimura
  Dependence evaluation for reliability monitoring data by using the multivariate Farlie-Gumbel-Morgenstern copula
  A1071:  M.S.S. Lo, R. Wilke
  A single risk approach to the semiparametric copula competing risks model
  A1580:  N.W. Deresa, I. Van Keilegom
  Copula based Cox proportional hazards models for dependent censoring
Session CO643 Room: Virtual R37
Network and regularization techniques for finance Sunday 19.12.2021   08:15 - 09:55
Chair: Gabriele Torri Organizer: Gabriele Torri
  A0395:  R. Giacometti, G. Torri, S. Paterlini
  Portfolio replication via penalisation with asymmetric deviation measures
  A0937:  D. Radi, G. Torri, H. Dvorackova
  Catastrophic and systemic risk in the non-life insurance sector: A micro-structural contagion approach
  A0973:  G. Torri, S. Paterlini, E. Taufer, R. Giacometti
  Dependency in non-Gaussian settings: The generalized precision matrix and its financial applications
  A1762:  T. Lando
  Stochastic dominance with uncertain preferences
Session CO324 Room: K0.50 (Hybrid 06)
Asset pricing and the options market (in-person) Sunday 19.12.2021   08:15 - 09:55
Chair: Yifan Li Organizer: Yifan Li
  A0686:  C.-Y. Tsou
  The asset durability premium
  A0946:  J. Jin, K. Aretz, Y. Li
  Is skewness priced in empirical markets?
  A0705:  L. Mu
  The Ross recovery theorem and the term structure of interest rates
  A0740:  Y. Gong, A. Gozluklu, A. Ferreira
  Option prices and risk-corrected probabilities of a binary event
Session CO830 Room: K2.40 (Hybrid 08)
Econometric methods and applications in time series (virtual) Sunday 19.12.2021   08:15 - 09:55
Chair: Shixuan Wang Organizer: Shixuan Wang
  A0364:  Y. Zhao, L. Horvath, G. Rice
  Detecting change points in linear models with homoscedastic or heteroscedastic errors
  A0875:  S. Lu, L. Horvath, Z. Liu
  A good basis for projections in functional data analysis: Markowitz portfolio optimization
  A0429:  Z. Liu, S. Wang, Y. Zhang
  Sharpe Ratio, Volatility Asymmetry and Mutual Fund Performance
  A0731:  Y. Zhan
  Detect the stock price trend in high-frequency data: A stochastic disorder approach
Session CO166 Room: K2.41 (Hybrid 09)
Advances in factor models and time series econometrics Sunday 19.12.2021   08:15 - 09:55
Chair: Indeewara Perera Organizer: Indeewara Perera
  A0208:  Y. Feng
  Causal inference in possibly nonlinear factor models
  A0314:  Y. Zhang
  Tackling large outliers in macroeconomic data with vector artificial neural network autoregression
  A0715:  M. Silvapulle, I. Perera
  Bootstrap specification tests for dynamic conditional distribution models
  A1025:  K. Nadarajah, G. Martin, I. Perera, D. Poskitt
  Mean correction and forecasting in mis-specified fractionally integrated models
Session CG037 Room: Virtual R28
Contributions in financial risk Sunday 19.12.2021   08:15 - 09:55
Chair: Sandra Paterlini Organizer: CFE-CMStatistics
  A1151:  R. Yamamoto
  High-frequency technical analysis and systemic risk indicators
  A0293:  P. Chodnicka - Jaworska
  ESG measures: How they can influence the credit ratings
  A0581:  L. Garcia-Jorcano, L. Sanchis-Marco
  Forecasting the climate change risk by sea-level rises using time-varying extreme value analysis
  A1113:  O. Sahin, K. Bax, S. Paterlini, C. Czado
  ESGM: ESG scores and the missing pillar
Parallel session H: CMStatistics Sunday 19.12.2021 10:25 - 12:30

Session EO460 Room: Virtual R20
Statistical inference for circular data Sunday 19.12.2021   10:25 - 12:30
Chair: Toshihiro Abe Organizer: Toshihiro Abe
  B0444:  T. Abe
  Normal-wrapped Cauchy type cylindrical distribution
  B0445:  Y. Miyata
  An extension of sine-skewed circular distributions
  B0621:  T. Imoto
  Simple constructions of joint distributions with circular marginal
  B0858:  F. Akashi
  GEL approach for robust regression on spheres
  B1746:  H. Ogata
  Pair circulas modelling for circular multivariate time series
Session EO475 Room: Virtual R21
Statistics for Hilbert spaces Sunday 19.12.2021   10:25 - 12:30
Chair: Gil Gonzalez-Rodriguez Organizer: Gil Gonzalez-Rodriguez
  B0912:  A.M. Di Brisco, E. Bongiorno, A. Goia, S. Migliorati
  Flexible beta regression with functional covariates: A Bayesian approach
  B0966:  F. Gnettner, C. Kirch, A. Nieto-Reyes
  Depth-based two-sample testing
  B0998:  S. Greven, M. Eckardt, J. Mateu
  Generalized functional additive mixed models with compositional covariates for Spanish Covid-19 incidence data
  B1196:  J. Gertheiss, L. Selk
  Nonparametric regression and classification with functional, categorical, and mixed covariates
  B1645:  D. Liebl, M. Reimherr
  Simultaneous inference for function-valued parameters
Session EO509 Room: Virtual R22
Model specification tests Sunday 19.12.2021   10:25 - 12:30
Chair: Bojana Milosevic Organizer: Bojana Milosevic
  B0556:  D. Bagkavos
  Goodness-of-fit testing for normal mixtures
  B0665:  J. de Una-Alvarez
  Specification tests for selection bias models under random truncation
  B0695:  M.D. Jimenez-Gamero
  Testing normality of a large number of populations
  B0947:  J. Visagie, B. Ebner, S. Liebenberg
  On a new omnibus test of fit based on a characterisation of the uniform distribution
  B0949:  J. Allison, B. Ebner, M. Smuts
  Logistic or not logistic?
Session EO639 Room: Virtual R23
Independence tests, variable selection, and robust classification Sunday 19.12.2021   10:25 - 12:30
Chair: Yuexiao Dong Organizer: Yuexiao Dong
  B0214:  C. Shen
  Fast distance correlation chi-square test
  B1142:  Y. Dong
  Testing the linear mean and constant variance conditions in sufficient dimension reduction
  B1274:  W. Wu
  On sufficient variable screening using log odds ratio filter
  B1392:  J. Song
  Multivariate functional group sparse regression: Functional predictor selection
  B1381:  A.-N. Soale
  Robust envelope discriminant analysis
Session EO687 Room: Virtual R24
Advances in variational approximations Sunday 19.12.2021   10:25 - 12:30
Chair: Luca Maestrini Organizer: Luca Maestrini
  B0839:  E. Degani, L. Maestrini, D. Toczydlowska, M.P. Wand
  Sparse linear mixed model selection via streamlined variational Bayes
  B0776:  T. Nolan, J. Goldsmith, D. Ruppert
  Bayesian functional principal components analysis via variational message passing
  B0362:  S.L.L. Tan
  Use of model reparametrization to improve variational Bayes
  B0751:  S. Wei
  A new variational family for Bayesian deep learning
  B0577:  W. Yu, S. Wade, H. Bondell, L. Azizi
  Non-stationary Gaussian process discriminant analysis with variable selection for high-dimensional functional data
Session EO820 Room: Virtual R25
High-dimensional regression models Sunday 19.12.2021   10:25 - 12:30
Chair: Zhaoyuan Li Organizer: Zhaoyuan Li
  B0234:  Z. Li, J. Yao
  Extension of the Lagrange multiplier test for error cross-section independence to large panels with non-normal errors
  B0487:  J. Hu, Z. Bai, K.P. Choi, Y. Fujikoshi
  KOO: A scalable model selection rules in high-dimensional regression
  B0574:  K.W. Tsang
  Selective confidence intervals for martingale regression model
  B0900:  K. Yano, A. Okuno
  On estimating generalization gaps via the functional variance in overparameterized models
  B0460:  Y. Zheng, F. Huang, G. Li, K. Lu
  A novel computationally scalable high-dimensional vector autoregressive moving average model
Session EO260 Room: Virtual R26
Inference for non-regular stochastic processes Sunday 19.12.2021   10:25 - 12:30
Chair: Kengo Kamatani Organizer: Kengo Kamatani
  B0479:  S. Eguchi, H. Masuda
  Gaussian quasi-information criterion for ergodic SDEs
  B0864:  Y. Uehara, T. Ogihara
  Local asymptotic normality for ergodic jump diffusion processes
  B0971:  T. Takabatake
  Local asymptotic normality property for fractional Brownian motion with measurement errors
  B1109:  K. Chiba
  An M-estimatior for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter
  B0443:  M. Uchida
  Adaptive maximum likelihood type estimators for discretely observed small diffusion processes
Session EO716 Room: Virtual R27
Extremes and applications Sunday 19.12.2021   10:25 - 12:30
Chair: Boris Beranger Organizer: Boris Beranger
  B0658:  T. Opitz, E. Simpson, J. Wadsworth
  High-dimensional modeling of spatial and spatio-temporal conditional extremes using INLA and the SPDE approach
  B0746:  A. Ferreira
  Road safety of passing maneuvers: A bivariate extreme value theory approach under non-stationary conditions
  B0874:  S. Rizzelli, S. Padoan
  Empirical Bayes analysis of maxima
  B1763:  K. Saunders
  Narrowing the gap between theory and practice for modelling rainfall extremes
  B0383:  R. Huser, A. Hazra
  A sparse Gaussian scale mixture process for short-range tail dependence and long-range independence
Session EO440 Room: Virtual R30
Recent developments in multivariate data analysis Sunday 19.12.2021   10:25 - 12:30
Chair: Anne Ruiz-Gazen Organizer: Klaus Nordhausen, Anne Ruiz-Gazen
  B1246:  S. De Iaco
  Complex-valued covariance models for spatio-temporal vector data
  B1045:  S. Perez-Fernandez
  Impact of linear constraints on a multivariate binary classification problem
  B1255:  K. Nordhausen, C. Muehlmann, F. Bachoc
  Blind source separation for non-stationary random fields
  B1366:  A. Archimbaud, Z. Drmac, K. Nordhausen, U. Radojicic, A. Ruiz-Gazen
  New algorithms for implementing invariant component selection
Session EO190 Room: Virtual R36
Directional statistics in multidisciplinary domains Sunday 19.12.2021   10:25 - 12:30
Chair: Andriette Bekker Organizer: Andriette Bekker
  B0183:  C. Ley
  Directional statistics and protein bioinformatics: Recent developments
  B0345:  A. Pewsey
  Inference for toroidal models with circula densities generated by Fourier series
  B0672:  S. Kato, K. Nagasaki, W. Nakanishi
  Mixtures of Kato-Jones distributions on the circle with an application to traffic count data
  B0926:  J. Ferreira, M. Arashi, A. Bekker, N. Nakhaeirad, D. van Wyk
  A unifying generator for cardioid modelling in circular statistics
  B1005:  N. Nakhaeirad, A. Bekker, M. Arashi
  Establishing a Bayesian nonparametric density estimation for biased circular data
Session EO848 Room: Virtual R37
Colored graphical models - in memory of Helene Massam Sunday 19.12.2021   10:25 - 12:30
Chair: Piotr Graczyk Organizer: Piotr Graczyk
  B1626:  S. Lauritzen
  Coloured graphical models
  B0703:  X. Gao, H. Massam
  Bayesian model selection for colored Gaussian graphic models
  B0351:  S. Ranciati, A. Roverato, A. Luati
  Fused graphical lasso for brain networks with symmetries
  B0879:  B. Kolodziejek
  Bayesian model selection in the space of Gaussian models invariant by permutation symmetry
  B1472:  H. Ishi
  On normalizing constants of chordal graphical Gaussian models with group symmetry
Session EO563 Room: Virtual R39
Analytical aspects within dependence modeling Sunday 19.12.2021   10:25 - 12:30
Chair: Sebastian Fuchs Organizer: Sebastian Fuchs, Wolfgang Trutschnig
  B1364:  F. Durante
  Small and large subclasses of copulas
  B1114:  T. Kasper, S. Fuchs, W. Trutschnig
  On weak conditional convergence of bivariate Archimedean and extreme value copulas
  B0694:  C. Strothmann, K.F. Siburg
  Dynamical properties of stochastically monotone copulas
  B0422:  J. Ansari, L. Ruschendorf
  Copulas products in completely specfied factor models
  B1101:  W. Trutschnig, F. Griessenberger
  A measure of multivariate conditional dependence and its estimation
Session EO138 Room: Virtual R40
Compositional, distributional and relative abundance data II Sunday 19.12.2021   10:25 - 12:30
Chair: Karel Hron Organizer: Karel Hron
  B1161:  K. Facevicova, P. Kynclova, K. Macku
  Geographically weighted regression analysis with two-factorial compositional covariates
  B1032:  A. Srakar
  Instrumental variable estimation in compositional regression
  B1081:  J. Martinez-Minaya, D.-J. Lee, L. Zumeta-Olaskoaga
  Mapping soil texture in the basque country using compositional data analysis: A Bayesian geo-additive approach
  B1234:  I. Pavlu, K. Hron, A. Menafoglio, P. Filzmoser, E. Bongiorno
  Classification techniques for probability density functions in the Bayes space framework
  B1414:  P. Jaskova, K. Hron
  Isotemporal substitution in time-use behavioural data with compositional scalar-on-function regression
Session EO144 Room: K0.50 (Hybrid 06)
Recent advances in complex data analysis (virtual) Sunday 19.12.2021   10:25 - 12:30
Chair: Juan Romo Organizer: Juan Romo
  B1321:  P. Morala, R. Lillo, J.A. Cifuentes, I. Ucar
  Neural networks interpretability through Taylor series and polynomial regression coefficients
  B1777:  R. Jimenez, A. Elias, V. Cereijo, J. Romo
  Similarity graphs for functional data mining
  B1779:  A. Mendez Civieta, M.C. Aguilera-Morillo, R. Lillo
  Dimension reduction techniques based on quantiles
  B1780:  P. Nag, Y. Sun, B. Reich
  Bivariate deep kriging for large-scale spatial interpolation of wind field
Session EC856 Room: K0.19 (Hybrid 04)
Contributions in Bayesian statistics III (virtual) Sunday 19.12.2021   10:25 - 12:30
Chair: David Rossell Organizer: CFE-CMStatistics
  B1441:  A. Stein, D. Leslie, A. Frigessi
  Sequential inference for the bayesian mallows model
  B1518:  A. Revers, M. Hof, K. Zwinderman
  A Bayesian hierarchical model for MedDRA coded adverse events in RCTs
  B1658:  M. Manca, F. Bertolino, S. Columbu, M. Musio
  A Bayesian test for the equality of two coefficients of variation
  B1339:  S. Horii
  Heterogeneous treatment effect estimation based on a partially linear model with a Gaussian process prior
Session EG057 Room: Virtual R28
Contributions in statistical modelling I Sunday 19.12.2021   10:25 - 12:30
Chair: Jean-Francois Dupuy Organizer: CFE-CMStatistics
  B1668:  U. Aguirre, C. Borges
  Bounded missing data imputation using statistical and machine learning approaches
  B0201:  J.-F. Dupuy
  Gamma regression with censored outcomes and missing data
  B1764:  G. Goessler, V. Hofer, W. Goessler
  A proper statistical framework for range-based comparisons of quality attributes
  B1765:  V. Hofer, G. Goessler, W. Goessler
  Statistical tests for range-based comparisons: Increase flexibility for producers without increasing risk for consumers?
  B1496:  A. Hanebeck, C. Czado
  Copula state-space models with several latent variables
Session EG023 Room: Virtual R29
Contributions in spatial statistics Sunday 19.12.2021   10:25 - 12:30
Chair: Anastassia Baxevani Organizer: CFE-CMStatistics
  B0258:  X. Yin, G. Napier, C. Anderson, D. Lee
  Spatio-temporal cluster detection and disease risk estimation using clustering-based adjacency modelling
  B1229:  T. Hirano
  A multi-resolution approximation via linear projection for large spatial datasets
  B1630:  F.D. Miranda Huaynalaya, M.D. Ruiz-Medina
  COVID-19 incidence analysis from a spatial functional spectral nonparametric approach
  B0589:  G. Chen, H. Fricke, O. Okhrin, J. Rosenow
  Interpolation of weather conditions in a flight corridor
  B1179:  M.M. Pizarro, M.I. Parra Arevalo, J.A. Garcia Garcia, F.J. Acero Diaz
  A Bayesian hierarchical spatial copula model
Session EG025 Room: Virtual R33
Contributions in regression and regularization Sunday 19.12.2021   10:25 - 12:30
Chair: Benjamin Poignard Organizer: CFE-CMStatistics
  B0344:  B. Poignard, Y. Terada
  Sparse factor models: Asymptotic properties
  B0522:  C.G. Soh, Y. Zhu
  Incorporating sparsity, smoothness and group structure in regularized models for spectroscopic data
  B1612:  S. Urakami, H. Yadohisa
  Clusterwise joint lasso with penalty term for discriminating each cluster
  B0301:  G. Cattani, S. Sperlich, M. Scholz
  Local machine learning for data giants
  B1757:  J.-M. Poggi, J. Cugliari, Y. Goude, M. Bourel
  Boosting diversity in regression ensembles
Session EP002 Room: Poster session room I
Poster Session (only virtual) Sunday 19.12.2021   10:25 - 12:30
Chair: Elena Fernandez Iglesias Organizer: CFE, CFE-CMStatistics
  B1306:  G. Wang de Faria Barros, J. Haggstrom
  Estimation of marginal hazard ratios from observational data under noninformative censoring
  B1319:  M. Fayaz, N. Shakeri, A. Abadi, S. Khodakarim
  Random splitting random forest for survival analysis with non-functional \& functional covariates in the EEG-fNIRS trial
  B1389:  K. Takahashi, K. Yamamoto
  A one-sided testing procedure for comparing predictive values of two diagnostic tests simultaneously
  B1486:  A. Shimokawa, E. Miyaoka
  On survival trees with competing risks
  B1493:  S. Ferrigno
  Semiparametric reference curves for EDEN cohort
Parallel session H: CFE Sunday 19.12.2021 10:25 - 12:30

Session CO218 Room: Virtual R35
Optimization modelling in structural econometrics Sunday 19.12.2021   10:25 - 12:30
Chair: Stefano Nasini Organizer: Stefano Nasini
  A0496:  N. Rabia, F. Benita, S. Nasini
  Nash bargaining partitioning in decentralized portfolio management
  A0386:  R.T. Tchouya, S. Nasini, S. Dabo
  An inferential approach for the influential-imitator diffusion
  A0527:  A. de Palma, S. Anderson
  Economic distributions, primitive distributions, and demand recovery in monopolistic competition
  A0526:  N. Picard, A. de Palma, S. Nasini
  Large-scale smart evaluation of risk attitude: A structural econometric framework
  A0385:  S. Nasini, N. Rabia
  Endogenous learning in input-output economies
Session CO034 Room: Virtual R38
Topics in financial econometrics Sunday 19.12.2021   10:25 - 12:30
Chair: Leopold Soegner Organizer: Leopold Soegner
  A1186:  B. Koval, S. Fruehwirth-Schnatter, L. Soegner
  Bayesian reconciliation of the return predictability
  A1191:  A. Steshkova
  Conditional skewness in currency markets
  A1329:  M. Scholz
  Forecast combinations for benchmarks of long-term stock returns using machine learning methods
  A1661:  P. Gersing, M. Deistler
  REMIS (Retrieval from Mixed Sampling Frequency) for VAR(MA)s
  A1637:  C. Rust, P. Gersing, M. Deistler, L. Soegner
  REMIS (Retrieval from Mixed Sampling Frequency) for generalised dynamic factor models
Session CO551 Room: K0.16 (Hybrid 02)
Contributions in commodity markets and asset pricing Sunday 19.12.2021   10:25 - 12:30
Chair: Francesco Poli Organizer: CFE
  A1774:  N. Zhao, A.-M. Fuertes
  Investor attention spillover between equity market and commodity market
  A1169:  F. Cech
  Marine fuel hedging under the sulphur cap regulations
  A1781:  O. Sanya, R. Versteeg, E. Sciubba
  Contagion in commodities markets
  A1402:  J. Sila, L. Kristoufek
  Pricing risk in cryptocurrency market: A (mis)calculated gamble?
  A1639:  M. Nevrla, J. Barunik
  Idiosyncratic quantile risk and asset prices
Session CO808 Room: K0.18 (Hybrid 03)
Advances in volatility modeling (virtual) Sunday 19.12.2021   10:25 - 12:30
Chair: Christian Francq Organizer: Christian Francq, Jean-Michel Zakoian
  A0172:  J. Polivka, M. Fengler
  Identifying structural shocks to volatility through a proxy-MGARCH model
  A0584:  C. Francq, J.-M. Zakoian
  Testing the existence of moments and estimating the tail index of augmented GARCH processes
  A0607:  J.-M. Zakoian, C. Francq
  Testing hypotheses on the innovations distribution in GARCH-type models
  A0700:  J. Royer, J.-M. Zakoian, C. Francq
  A multivariate ARCH($\infty$) model with exogenous variables and dynamic conditional betas
  A0754:  C. Conrad, R. Engle
  Modelling volatility cycles
Session CO633 Room: K0.20 (Hybrid 05)
Financial econometrics: Modelling and forecasting (virtual) Sunday 19.12.2021   10:25 - 12:30
Chair: Vincenzo Candila Organizer: Vincenzo Candila
  A0727:  L. Merlo, L. Petrella, V. Raponi
  Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation
  A0860:  G. Angelini
  Time-varying Poisson autoregression
  A1036:  G. Maccarrone, G. Morelli, S. Spadaccini
  How do autoregressive processes help forecasting the GDP
  A1236:  M. Boccia, A. Amendola, G. Mele, L. Sensini
  Do fiscal policies affect the firms growth and performance? Evidence from a regional study in the Dominican republic
  A1254:  S. Spadaccini, G. Maccarrone, G. Morelli
  Forecasting the production of renewable energy
Session CO210 Room: K2.40 (Hybrid 08)
Topics in partial identification and time series econometrics Sunday 19.12.2021   10:25 - 12:30
Chair: Kanchana Nadarajah Organizer: Kanchana Nadarajah
  A0191:  L. Zhang, D. Tommasi
  Bounding program benefits when participation is misreported
  A0456:  E. Whitehouse, D. Harvey, S. Leybourne
  Real-time monitoring of bubbles and crashes
  A0721:  X. Chen
  Bounds on causal direct and indirect average treatment effects in the presence of noncompliance
  A1057:  I. Perera
  Specification tests for GARCH processes with nuisance parameters on the boundary
  A1158:  W. Zhou
  Non-parametric variance function estimation in linear regression models with many regressors
Session CO174 Room: K2.41 (Hybrid 09)
New development in factor models and their applications (virtual) Sunday 19.12.2021   10:25 - 12:30
Chair: Degui Li Organizer: Jia Chen
  A1317:  J. Sun, Y. Hong, O. Linton, S. Wang
  Confidence interval construction: A new self-normalization approach based on adjusted range
  A0719:  S. Ge, O. Linton, S. Li
  News-implied linkages and local dependency in the equity market
  A0436:  C. Zheng
  Estimation of dynamic quantile panel data model with interactive effects
  A0490:  Y. Li
  Estimation of common factors for microstructure noise and efficient price in a high-frequency dual-factor model
  A1581:  D. Li
  Functional-coefficient quantile regression for panel data with latent group structure
Session CO038 Room: K2.31 Nash (Hybrid 07)
Structural shocks and their propagation Sunday 19.12.2021   10:25 - 12:30
Chair: Rustam Ibragimov Organizer: Rustam Ibragimov
  A0780:  M. Karamysheva, B. Craig, D. Salakhova
  Do market-based network reflect true exposures between banks?
  A0832:  A. Pestova, M. Mamonov
  Credit supply shocks and household defaults
  A1116:  A. Skrobotov
  On robust testing for trend
  A1716:  R. Ibragimov, W. Distaso, A. Semenov, A. Skrobotov
  COVID-19: Tail risk and predictive regressions
  A1398:  P. Kattuman, A. Harvey
  Time series models for tracking and forecasting epidemics
Session CO266 Room: K E. Safra (Multi-use 01)
Nonlinear and financial time series (Virtual) Sunday 19.12.2021   10:25 - 12:30
Chair: Ruijun Bu Organizer: Ruijun Bu
  A0316:  X. Yao, Z. Li, M. Izzeldin
  On the right jump tail inferred from the VIX markets
  A0399:  X. Xue
  Sequential monitoring for change points of M-estimators in risk models
  A0482:  X. Ren, P. Wei, K. Yuan
  Time-varying spillover networks of green bond and related financial markets
  A1040:  S. Meng
  An econometric analysis of regression models with sorted variables
  A1293:  Y. Li, R. Bu, J. Cheng
  Modelling endogenous regime-switching: A copula-based latent factor approach
Session CC862 Room: Virtual R18
Contributions in realized volatility Sunday 19.12.2021   10:25 - 12:30
Chair: Hiroyuki Kawakatsu Organizer: CFE
  A1198:  H. Kawakatsu
  Instrumental realized volatility
  A1506:  Y. Luo, M. Izzeldin, M. Tsionas
  Forecasting realized volatility: A hybrid model integrating BiLSTM with HAR-type models
  A1491:  H. Shigemoto, T. Morimoto
  Volatility spillover among Japanese sectors in response to COVID-19
  A1123:  Y. Liu
  Predictive power of the variance premium
  A1473:  A. Zarraga, A. Ciarreta, E.L. Chanatasig
  A volatility spillover analysis with realized semi(co)variances in Australian electricity markets
Session CC861 Room: Virtual R31
Contributions in Bayesian econometrics Sunday 19.12.2021   10:25 - 12:30
Chair: Lukasz Kwiatkowski Organizer: CFE
  A1557:  T. Wozniak
  Bayesian assessment of identifying restrictions for heteroskedastic structural VARs
  A1663:  S. Seleznev, R. Khabibullin
  Estimating Bayesian models using simulated data meta-learning
  A1743:  A. Peruzzi
  Media bias and polarization using a Markov-switching latent space network model
  A1316:  L. Kwiatkowski, A. Pajor, J. Osiewalski, J. Wroblewska
  Comparison of Bayesian models in the context of recursive density predictions on the example of VEC-SV-GARCH models
Session CC863 Room: Virtual R32
Contributions in macro and finance I Sunday 19.12.2021   10:25 - 12:30
Chair: Alessia Paccagnini Organizer: CFE
  A1355:  V.-E. Dimakopoulou, A. Apostolis Philippopoulos, G. Economides
  The ECB's policy, the recovery fund and the importance of trust: The case of Greece
  A0264:  A. Kharazi
  Macroeconomic effects of collateral requirements and financial shocks
  A1208:  K. Tango, Y. Nakazono
  Time to see a doctor: Expenditure at retirement in Japan
  A1171:  B. Blagov
  A flexible approach towards time-varying parameter VAR models
  A1356:  L. Neri
  Structural estimation combining micro and macro data
Session CC876 Room: Virtual R34
Contributions in financial econometrics III Sunday 19.12.2021   10:25 - 12:30
Chair: Shan Lu Organizer: CFE
  A0357:  S. Lu, E. Phimister
  VIX derivatives valuation: The effects of jump contagion
  A0324:  R. Moura, B. Candelon
  A multicountry model of the term structures of interest rates with a GVAR
  A0595:  T. Kobayashi
  Global and regional factors and the term structure of interest rates: Some evidence from Asian countries
  A0911:  J.W. Hansen, D. Borup, B.J. Christensen
  Immunization with term structure dynamics
  A0583:  M. Kerkemeier, C. Wegener, R. Kruse-Becher
  New stylized facts of financial exuberance
Session CP001 Room: Poster session room II
Poster Session (only virtual) Sunday 19.12.2021   10:25 - 12:30
Chair: TBA Organizer: CFE, CFE-CMStatistics
  B1591:  T. Kawasaki, T. Seo
  $T^2$ type test statistic and simultaneous confidence intervals for sub-mean vectors in two-sample problem
  B1568:  I. Mala
  Modelling deprivation indices in Europe using mixture models
  A1555:  S.H.I. Leung, C.Y. Yau
  Forecasting under breaks in non-parametric regression
  A1593:  L. Nechvatalova, J. Barunik
  Deep reinforcement learning in portfolio selection
  B1775:  E. Fernandez Iglesias, G. Gonzalez-Rodriguez, V. Moro Garcia
  Extreme flood frequency trends inferential analysis in Nalon River (Asturias, NW Spain)
  A1778:  C. Eleftheriou, P. Andreou, D. Koursaros
  Credit creation and risk in opaque intermediaries
Parallel session I: CMStatistics Sunday 19.12.2021 14:00 - 15:40

Session EO234 Room: Virtual R18
Experimental design ideas for machine learning Sunday 19.12.2021   14:00 - 15:40
Chair: HaiYing Wang Organizer: HaiYing Wang
  B1216:  J. Yu
  Subdata selection algorithm for linear model selection
  B1264:  S. Mak
  Supervised compression of big data
  B1451:  L. Wang
  Orthogonal subsampling for big data linear regression
Session EO734 Room: Virtual R20
Recent advances in graphical models and dimension reduction Sunday 19.12.2021   14:00 - 15:40
Chair: Eftychia Solea Organizer: Eftychia Solea
  B0312:  K. Kim
  On sufficient graphical models
  B0810:  T. Sheng, B. Li, E. Solea
  On skewed Gaussian graphical models
  B0811:  Q. Zhang, B. Li, L. Xue
  Dimension reduction and data visualization for Frechet regression
  B0388:  F. Rios, G. Moffa, J. Kuipers
  Benchpress: A scalable, platform-independent workflow to benchmark structure learning algorithms for graphical models
Session EO392 Room: Virtual R21
Recent advances in Bayesian modeling and computation Sunday 19.12.2021   14:00 - 15:40
Chair: Marco Ferreira Organizer: Marco Ferreira
  B0538:  R. Paulo, P. Barbillon, A. Forte
  PIPS: Screening the discrepancy function
  B0609:  T.C.O. Fonseca, V. Sartorio
  Dynamic clustering of time series data with dynamically changing memberships
  B1027:  C. Franck, C. Wilson
  Predicting competitions by combining conditional logistic regression and subjective Bayes: An Academy Awards case study
  B1046:  M. Ferreira, E. Porter, C. Franck
  Objective Bayesian model selection for spatial hierarchical models with intrinsic conditional autoregressive priors
Session EO058 Room: Virtual R22
Recent developments in spatial statistics Sunday 19.12.2021   14:00 - 15:40
Chair: Soutir Bandyopadhyay Organizer: Soutir Bandyopadhyay
  B0213:  W. Kleiber, M. Krock, D. Hammerling, S. Becker
  Modeling massive multivariate spatial data with the basis graphical lasso
  B0215:  B. Li, D. Sass, B. Reich
  Flexible and fast spatial return level estimation via a spatially-fused penalty
  B0216:  L. Blake, H. Huang, M. Katzfuss, D. Hammerling
  Computational developments and applications of the multi-resolution approximation for massive spatial data
  B0217:  S. Bandyopadhyay, M. Bailey, D. Nychka
  Adapting conditional simulation using circulant embedding for irregularly spaced data
Session EO458 Room: Virtual R23
Random matrix theory and its applications Sunday 19.12.2021   14:00 - 15:40
Chair: Monika Bhattacharjee Organizer: Monika Bhattacharjee
  B0505:  P. Sen
  Random matrices with independent entries: Beyond non-crossing partitions
  B0823:  M. Bhattacharjee
  Asymptotics of large autocovariance matrices
  B0920:  N. Chakraborty
  High dimensional multiplier bootstrap tests with applications to MANOVA
  B0950:  S.N. Maurya
  Fluctuations of linear eigenvalue statistics of time dependent random circulant matrices
Session EO549 Room: Virtual R24
Functional data analysis and high-dimensional statistics Sunday 19.12.2021   14:00 - 15:40
Chair: Michelle Carey Organizer: Michelle Carey
  B1516:  E. Austin, I. Eckley, L. Bardwell
  Sequential detection of emergent phenomena within functional data
  B1552:  S. Katina
  Functional data analysis of three-dimensional surface data: Examples on human face
  B1429:  M. Fontana, S. Vantini, J. Diquigiovanni
  Finite-sample exact prediction bands for functional data based on conformal prediction
  B1747:  E. Lila
  Interpretable discriminant analysis for functional data supported on general random domains
Session EO661 Room: Virtual R25
Recent developments in robust methodology Sunday 19.12.2021   14:00 - 15:40
Chair: Peter Rousseeuw Organizer: Peter Rousseeuw
  B0330:  I. Wilms, L. Bottmer, C. Croux
  A cellwise robust lasso estimator
  B0807:  L.A. Garcia-Escudero, D. Rivera-Garcia, A. Mayo-Iscar, J. Ortega
  Robust clustering with cellwise trimming
  B1256:  M. Riani, A. Atkinson, A. Corbellini, F. Torti
  Robust correspondence analysis
  B1343:  J. Raymaekers, P. Rousseeuw
  Transforming variables to central normality
Session EO700 Room: Virtual R26
Bayesian nonparametric models Sunday 19.12.2021   14:00 - 15:40
Chair: Luis Gutierrez Organizer: Luis Gutierrez
  B0603:  A. Riva-Palacio
  Generalized additive neutral to the right regression for survival analysis
  B0689:  I. Gutierrez, D. Alvares, L. Gutierrez
  A new flexible Bayesian hypothesis test for multivariate data
  B0885:  K.V. Palacios Ramirez
  Bayesian analysis of jointly heavy-tailed data
  B0880:  R. Mena
  Clustering point patterns on linear networks
Session EO106 Room: Virtual R27
Modern statistical methods in data science Sunday 19.12.2021   14:00 - 15:40
Chair: Yichuan Zhao Organizer: Yichuan Zhao
  B0299:  G. Cao
  Optimal classification for functional data
  B0714:  C. Liu
  Robust prediction of survival outcomes through unified Bayesian analysis of nonparametric transformation models
  B0870:  P. Liu
  Learning privately over distributed features: An ADMM sharing approach
  B1583:  H. Lorenzo, O. Cloarec, J. Saracco
  How to deal with missing values in the high dimensional supervised context
Session EO216 Room: Virtual R28
Stochastic models for dependence Sunday 19.12.2021   14:00 - 15:40
Chair: Sebastian Fuchs Organizer: Elisa Perrone
  B1172:  M. Tschimpke, W. Trutschnig, J. Fernandez Sanchez
  Markov product invariance in classes of bivariate copulas characterized by univariate functions
  B1097:  Z. Wei, D. Kim, L. Wang
  Asymmetric dependence modeling for contingency table with an ordinal dependent variable
  B1187:  E. Perrone, Z. Zhan, E. van den Heuvel
  Kendall's tau estimator for zero-inflated discrete distributions
  B1233:  R. Fontana, P. Semeraro
  High dimensional simulation of exchangeable Bernoulli distributions
Session EO631 Room: Virtual R29
Applied Bayesian models Sunday 19.12.2021   14:00 - 15:40
Chair: Emanuele Aliverti Organizer: Emanuele Aliverti
  B1079:  N. Bianco, M. Bernardi
  Variational approximation for stochastic volatility via continuous random walk processes
  B1415:  A. Fasano, G. Rebaudo, D. Durante, S. Petrone
  A closed-form filter for binary time series
  B1225:  M. Russo
  A generalized partial credit model for network dependent latent traits with an application on modeling students' ability
  B1221:  R. Casarin, F. Bassetti, M. Del Negro
  A Bayesian approach for inference on probabilistic surveys
Session EO800 Room: Virtual R30
Mathematical and statistical foundations for deep learning Sunday 19.12.2021   14:00 - 15:40
Chair: Lizhen Lin Organizer: Lizhen Lin
  B1194:  W. Liao
  Regression and doubly robust off-policy learning on low-dimensional manifolds by neural networks
  B1228:  M. Chae, L. Lin, Y. Kim, D. Kim
  Deep generative models for nonparametric estimation of a singular distribution
  B1373:  I. Ohn, L. Lin
  Adaptive variational deep learning
  B1755:  T. Suzuki, A. Nitanda, S. Okumoto
  Adaptivity of deep learning to intrinsic dimensionality via mixed and anisotropic smoothness for high dimensional input
Session EO136 Room: Virtual R34
Markov switching models Sunday 19.12.2021   14:00 - 15:40
Chair: Maddalena Cavicchioli Organizer: Maddalena Cavicchioli
  B1248:  A. Aknouche, C. Francq
  Markov switching positive conditional mean models: Structure and examples
  B0311:  N. Li, S. Kwok
  Jointly determining the state dimension and lag order for Markov-switching vector autoregressive models
  B0939:  J. Cheng
  On spectral analysis and forecasting performance of regime switching GARCH-MIDAS models
  B1074:  M. Cavicchioli
  The Beveridge-Nelson decomposition of Markov switching (co)integrated time series
Session EO521 Room: Virtual R36
Network statistics Sunday 19.12.2021   14:00 - 15:40
Chair: Tracy Ke Organizer: Tracy Ke, Chenlei Leng
  B1433:  S. Chandna
  Nonparametric regression for multiple heterogeneous networks
  B1653:  W. Wu, S. Olhede, P. Wolfe
  Tractably modelling dependence in networks beyond exchangeability
  B1737:  J. Jin
  The citation behavior of statisticians
  B1783:  M. Noroozi, M. Pensky
  The hierarchy of block models
Session EO118 Room: Virtual R37
Statistical methods for HIV research Sunday 19.12.2021   14:00 - 15:40
Chair: Erica Moodie Organizer: Erica Moodie
  B0585:  R. Thiebaut, M. Alexandre, M. Prague
  Viral dynamics as an outcome in HIV therapeutic vaccine trials: From AUC to dynamical modelling
  B0978:  M. Hudgens
  Counting viruses: Estimating the size of the latent HIV reservoir
  B0983:  T. Reddy, G. Molenberghs, M. Aerts
  Prediction of the time to treatment success from longitudinal left-censored viral load measurements
  B0164:  D. De Angelis
  Value of information for HIV evidence synthesis
Session EO579 Room: Virtual R39
Recent advances in extreme risk measures estimation Sunday 19.12.2021   14:00 - 15:40
Chair: Antoine Usseglio-Carleve Organizer: Antoine Usseglio-Carleve
  B0199:  E. Di Bernardino
  Semi-parametric estimation of multivariate extreme expectiles
  B0226:  J. El Methni, S. Girard
  A bias-reduced version of the Weissman estimator for extreme value-at-risk
  B0914:  T. Laurent, A. Daouia, G. Stupfler
  Heavy-tailed extremile regression in risky seismic areas
Session EO750 Room: K0.16 (Hybrid 02)
BFF: Topics in foundations of inference Sunday 19.12.2021   14:00 - 15:40
Chair: Jan Hannig Organizer: Jan Hannig
  B0435:  G. Taraldsen
  Confidence in Bayesian and fiducial inference
  B0464:  S. Neupert, C. Growney, X. Zhu, J. Sorensen, E. Smith, J. Hannig
  BFF: Bayesian, fiducial, and frequentist analysis of cognitive engagement among cognitively impaired older adults
  B1135:  R. Gong
  A Gibbs sampler for a class of random convex polytopes
  B0432:  J. Hannig, H. Iyer
  Calibration of likelihood ratios systems in forensic science
Session EO306 Room: K0.18 (Hybrid 03)
Variable selection in causal inference Sunday 19.12.2021   14:00 - 15:40
Chair: Richard Guo Organizer: Linbo Wang
  B1231:  Y. Wang, R.D. Shah
  Debiased IPW for estimation of average treatment effects with high-dimensional confounders
  B1297:  D. Tang, D. Kong, W. Pan, L. Wang
  Causal ball screening: Outcome model-free variable selection for causal inference
  B1396:  X. de Luna, N. Moosavi, T. Gorbach, J. Haggstrom
  Post-machine learning causal inference: Uniformly valid inference and sensitivity analysis
  B1422:  R. Guo, E. Perkovic, A. Rotnitzky
  Variable elimination and graph reduction: Towards an efficient g-formula
Session EO208 Room: K0.19 (Hybrid 04)
Recent advances in high-dimensional data analysis Sunday 19.12.2021   14:00 - 15:40
Chair: Zijian Guo Organizer: Zijian Guo
  B0679:  J. Hou, Z. Guo, T. Cai
  Surrogate assisted semi-supervised inference for high dimensional risk prediction
  B0541:  Y. Ning
  Optimal and safe estimation for high-dimensional semi-supervised learning
  B1412:  R.D. Shah, I. Kim, A.R. Lundborg, R. Samworth
  The projected covariance measure for model-free variable significance testing
  B1721:  C. Rush
  Variational inference and robustness
Session EO074 Room: K0.20 (Hybrid 05)
Statistical methods for high dimensional neuroimaging data I (Virtual) Sunday 19.12.2021   14:00 - 15:40
Chair: John Kornak Organizer: John Kornak
  B0779:  T. Johnson
  A time-varying AR, bivariate DLM of functional near-infrared spectroscopy data
  B0817:  D. Spencer, A. Mejia, D. Bolin, M.B. Nebel
  Efficient Bayesian estimation of brain activation with cortical surface and subcortical data using EM
  B0849:  J. Harezlak
  Adaptive regularization with applications to brain imaging
  B0224:  S. Weinstein, A. Alexander-Bloch, S. Vandekar, E. Baller, R. Gur, R. Gur, A. Raznahan, A. Adebimpe, T. Satterthwaite, R. Shinohara
  Permutation testing of network enrichment in neuroimaging
Session EO619 Room: K2.40 (Hybrid 08)
Interface between Bayesian statistics and machine learning Sunday 19.12.2021   14:00 - 15:40
Chair: Sara Wade Organizer: Sara Wade
  B0651:  S. Filippi
  Bayesian nonparametric methods for conditional independence testing
  B0791:  G. Moran, D. Sridhar, Y. Wang, D. Blei
  Identifiable variational autoencoders via sparse decoding
  B0935:  T. Sell, S. Singh
  Dimension-robust neural network priors for Bayesian reinforcement learning
  B0945:  K. Ray, B. Szabo
  Variational Bayes for high-dimensional linear regression with sparse priors
Session EO669 Room: K2.41 (Hybrid 09)
Shrinkage priors for structured variables (virtual) Sunday 19.12.2021   14:00 - 15:40
Chair: Mahlet Tadesse Organizer: Mahlet Tadesse
  B0999:  J. Faulkner
  Nonparametric smoothing with Markov random fields and shrinkage priors
  B0698:  M. Denis, M. Tadesse
  Graph-structured variable selection with Gaussian Markov random field horseshoe prior
  B0972:  P. Knaus
  The dynamic triple gamma prior
  B1175:  M. Griffin, P. Hoff
  Structured shrinkage priors
Session EO752 Room: K2.31 Nash (Hybrid 07)
Statistical methods for Mendelian randomization Sunday 19.12.2021   14:00 - 15:40
Chair: Apostolos Gkatzionis Organizer: Apostolos Gkatzionis
  B0805:  N. Mounier, Z. Kutalik
  Two-sample MR: Correction for winner's curse and weak instruments bias for unknown degree of sample overlap
  B0525:  H. Guo
  A Bayesian approach to overlapping-sample Mendelian randomization
  B0980:  C. Coscia, D. Gill, T. Perez, N. Malats, S. Burgess
  Avoiding bias in Mendelian randomization when stratifying on a collider
  B1340:  V. Karageorgiou, D. Gill, J. Bowden, V. Zuber
  Sparse dimensionality reduction approaches in Mendelian randomization for highly correlated exposures
  B0903:  D. Iong, Q. Zhao, Y. Chen
  A latent mixture model for heterogeneous causal mechanisms in mendelian randomization
Session EC857 Room: K0.50 (Hybrid 06)
Contributions in time series Sunday 19.12.2021   14:00 - 15:40
Chair: Enea Bongiorno Organizer: CFE-CMStatistics
  B0266:  S. Gavioli-Akilagun, P. Fryzlewicz
  Robust inference for change points in piecewise polynomials of general degrees
  B1592:  L. Valeri, X. Cai
  Missing data imputation via state space model for non-stationary multi-variate time series in mHealth
Parallel session I: CFE Sunday 19.12.2021 14:00 - 15:40

Session CI008 (Special Invited Session) Room: K E. Safra (Multi-use 01)
New developments in high-dimensional econometrics (virtual) Sunday 19.12.2021   14:00 - 15:40
Chair: Degui Li Organizer: Degui Li
  A0168:  M. Vogt, J. Lederer
  Estimating the lasso's effective noise
  A0167:  H. Cho, M. Barigozzi, D. Owens
  Factor-adjusted network analysis for high-dimensional time series
  A1606:  R. Bu, D. Li, O. Linton, H. Wang
  Nonparametric estimation of large spot volatility matrices for high frequency data
Session CO412 Room: Virtual R31
Signal extraction Sunday 19.12.2021   14:00 - 15:40
Chair: Anindya Roy Organizer: Tucker McElroy
  A0797:  A. Roy, T. McElroy
  A Bayesian framework for handling outliers in seasonal adjustment
  A0821:  M. Wildi
  Zero-crossings of time series: Sign-prediction, mean-square error and a holding-time constraint
  A0967:  S. Pollock
  Enhanced methods of seasonal adjustment
  A1164:  D. Dobrev, D. Hansen, P. Szerszen
  A randomized missing data approach to robust filtering and forecasting
Session CO280 Room: Virtual R32
Volatility component models Sunday 19.12.2021   14:00 - 15:40
Chair: Christian Conrad Organizer: Christian Conrad
  A0249:  N. Virk
  A reality check on the GARCH-MIDAS volatility models
  A0284:  V. Candila, L. Petrella, A. Arcagni
  Hypotheses testing in mixed-frequency volatility models: A bootstrap approach
  A0724:  G. Sucarrat, C. Francq
  Volatility estimation when the zero-process of financial return is nonstationary
  A1104:  B.M. Kandji, C. Francq, J.-M. Zakoian
  Inference on multiplicative component GARCH without any small-order moment
Session CO150 Room: Virtual R33
Advances in macroeconometrics Sunday 19.12.2021   14:00 - 15:40
Chair: Saeed Zaman Organizer: Aubrey Poon
  A0197:  I. Chronopoulos, A. Raftapostolos, G. Kapetanios
  Deep quantile regression
  A0277:  T. Szendrei, D. Kohns
  Decoupling shrinkage and selection for the Bayesian quantile regression
  A0450:  C. Hou
  Macroeconomic forecasting with large stochastic volatility in mean VARs
  A0322:  S. Zaman
  A unified framework to estimate macroeconomic stars
Session CO726 Room: Virtual R35
Recent advances in financial econometrics Sunday 19.12.2021   14:00 - 15:40
Chair: Seok Young Hong Organizer: Seok Young Hong
  A0373:  J. Dalderop
  Efficient estimation of pricing kernels and market-implied densities
  A0377:  S. Li, O. Linton, S. Ge, W. Liu
  Augment large covariance matrix estimation with auxiliary network information
  A0439:  E. Smetanina
  Estimation of nonstationary nonparametric regression model with multiplicative structure
  A0843:  D. Massacci, L. Trapani
  Threshold regression for large datasets with common stochastic trends
Session CO569 Room: Virtual R38
Causal and noncausal time series models Sunday 19.12.2021   14:00 - 15:40
Chair: Alain Hecq Organizer: Alain Hecq
  A0188:  E. Voisin, A. Hecq, J.V. Issler
  Evaluation of the credibility of the Brazilian inflation targeting system using mixed causal-noncausal models
  A0203:  F. Giancaterini, A. Hecq
  Inference in mixed causal and noncausal models withgeneralized Student's t-distributions
  A0597:  J. Jasiak, C. Gourieroux
  Generalized covariance estimator
  A1159:  A. Hecq, F. Giancaterini, C. Morana
  Is global warming (time) reversible?
Session CO290 Room: Virtual R40
Time series econometrics Sunday 19.12.2021   14:00 - 15:40
Chair: Antonio Montanes Organizer: Antonio Montanes
  A0677:  L. Gadea, J. Gonzalo
  Local warming: The globe vs Spain
  A0830:  J.L. Carrion-i-Silvestre, C. Tamarit, M. Camarero
  Current account determinants in a globalized world
  A1424:  A. Alcay, A. Montanes, B. Simon-Fernandez
  Causality between waste, recycling and GDP in G-7 countries: A bootstrap Granger non-causality test approach
  A1494:  A. Romeu, M. Camacho, S. Ramallo
  Evaluation of classifiers through bilateral projections of the ROC curve
Parallel session J: CMStatistics Sunday 19.12.2021 16:10 - 17:25

Session EO080 Room: Virtual R20
Advances in infectious disease modelling Sunday 19.12.2021   16:10 - 17:25
Chair: Rob Deardon Organizer: Rob Deardon
  B0493:  C. Ward
  Incorporating infectious duration-dependent transmission into Bayesian epidemic models
  B0696:  L. Amiri
  Inference for individual-level models of infectious diseases with an application to the COVID-19 pandemic
  B1188:  C. Dean, G. Bucyibaruta, D. Xi, E. Renouf
  Time series approaches to compare Covid-19 mortality in the province of Ontario, Canada, across three epidemic waves
Session EO064 Room: Virtual R21
Recent development in experimental designs Sunday 19.12.2021   16:10 - 17:25
Chair: Po Yang Organizer: Po Yang
  B1727:  S. Mandal
  Optimal experimental designs for efficiency of parameters and model discrimination
  B1547:  J. Jaynes
  Orthogonal array composite designs for drug combination experiments with applications for tuberculosis
  B1502:  D. Edwards
  Structure of nonregular two-level designs
Session EO334 Room: Virtual R22
Model assessment II Sunday 19.12.2021   16:10 - 17:25
Chair: Maria Dolores Jimenez-Gamero Organizer: Maria Dolores Jimenez-Gamero
  B0233:  K. Ntotsis, A. Karagrigoriou, A. Artemiou
  A penalized multicollinearity measure for improved model assessment
  B0278:  V. Alba-Fernandez, F.J. Ariza-Lopez, M.D. Jimenez-Gamero
  Spatialised similarity analysis of two digital elevation models via a large number of two-sample multinomial problems
  B1605:  K. Reluga, G. Claeskens, S. Sperlich
  Post-selection inference for linear mixed model parameters using the conditional Akaike information criterion
Session EO292 Room: Virtual R23
Methods for high-dimensional and non-standard data Sunday 19.12.2021   16:10 - 17:25
Chair: Enea Bongiorno Organizer: Enea Bongiorno, Agnese Maria Di Brisco
  B0756:  M. Stefanucci, A. Canale, M. Bernardi
  Locally sparse function-on-function regression
  B1215:  K.L.L. Chan, E. Bongiorno, A. Goia
  Evaluating the complexity of a functional time series
  B0783:  L. Kontoghiorghes, A. Colubi
  Measuring and comparing statistically the importance of terms in documents based on topic modelling
Session EO428 Room: Virtual R24
Quantitative methods for health disparities research Sunday 19.12.2021   16:10 - 17:25
Chair: Rebecca Betensky Organizer: Rebecca Betensky
  B0819:  M. Goodman
  Disparities in missingness produce algorithmic bias: Availability of family health history in electronic medical records
  B1301:  S. Bellamy
  Simple principles to incorporate diversity, equity, and inclusion principles in biostatistics courses
  B1315:  K. Morales
  Latent variable modeling to understand characteristics associated with disparities in adult asthma
Session EO589 Room: Virtual R25
Spatial models for disease surveillance Sunday 19.12.2021   16:10 - 17:25
Chair: Andrew Lawson Organizer: Mahmoud Torabi
  B0438:  A. Lawson, J. Kim
  Bayesian space-time SIR modeling of Covid19 in SC, USA
  B0628:  A. Schmidt
  Zero-state coupled Markov switching count models for spatio-temporal infectious disease counts
  B0181:  A. Corberan-Vallet, K.C. Florez, I.C. Marino, J.D. Bermudez
  Spatial analysis of measles in Colombia using a Bayesian model that allows for risk estimation and cluster detection
Session EO722 Room: Virtual R26
Recent advances in Bayesian methods Sunday 19.12.2021   16:10 - 17:25
Chair: Andres Barrientos Organizer: Andres Barrientos
  B0356:  M. Heiner, A. Kottas
  Autoregressive density modeling with the Gaussian process mixture transition distribution
  B0544:  R. Liu
  Efficient in-situ image compression through probabilistic image representation
  B1008:  M. Jauch, A.F. Barrientos, V. Pena, D. Matteson
  Mixture representations for likelihood ratio ordered distributions
Session EO782 Room: Virtual R27
Spatial and spatio-temporal data science Sunday 19.12.2021   16:10 - 17:25
Chair: Miryam Sarah Merk Organizer: Miryam Sarah Merk, Philipp Otto
  B0510:  O. Dogan, S. Taspinar, Y. Yang
  Model selection and model averaging for matrix exponential spatial models
  B0575:  P. Maranzano, A. Fasso, P. Otto
  An adaptive-LASSO algorithm for feature selection in functional spatiotemporal models
  B1349:  M.S. Merk, P. Otto
  Directional spatial autoregressive dependence in the conditional first- and second-order moments
Session EO336 Room: Virtual R28
Advanced methods for time series Sunday 19.12.2021   16:10 - 17:25
Chair: Bouchra Nasri Organizer: Bouchra Nasri
  B0343:  M. Ghannam, S. Nkurunziza
  Shrinkage estimators in tensor regression with change-points
  B0624:  M. Thioub, B. Nasri, B.N. Remillard
  Goodness of fit for regime-switching copula models with application to option pricing
  B1127:  V. Leos Barajas
  Spatially-coupled hidden Markov models
Session EO274 Room: Virtual R29
Statistical methods for streaming data Sunday 19.12.2021   16:10 - 17:25
Chair: Michelle Miranda Organizer: Michelle Miranda
  B1572:  J. Morris, Y.E. Zohner
  Quantile functional regression for high dimensional data streams
  B1619:  Y. Zhang, X. Chen, Z. Lai, H. Li
  Online statistical inference for stochastic optimization
  B1718:  L. Kong
  Damped Anderson mixing for deep reinforcement learning: Acceleration, convergence, and stabilization
Session EO188 Room: Virtual R36
Lifetime data analysis: Survival and reliability Sunday 19.12.2021   16:10 - 17:25
Chair: Mariangela Zenga Organizer: Juan Eloy Ruiz-Castro, Mariangela Zenga
  B1235:  P. Ramirez Cobo, R. Lillo, P. de la Concepcion Morales
  Analysis of recurrence times by the Markovian arrival process: An application to survival cancer data
  B1341:  M. Restaino, F. Giordano
  Feature selection for competing risks model in high and ultra-high dimensions
  B1435:  F. Porro, M. Restaino, J.E. Ruiz-Castro, M. Zenga
  Identifying the determinants of soccer coach turnover in Italian League Serie A
Session EO232 Room: Virtual R37
Computational advancements in survey sampling Sunday 19.12.2021   16:10 - 17:25
Chair: Maria Michela Dickson Organizer: Maria Michela Dickson
  B0353:  L.-C. Zhang
  Targeted or lagged walk sampling for estimation of finite-order graph parameters
  B0573:  G. Chauvet
  Simplified variance estimation for multistage sample surveys
  B0825:  F. Pantalone, R. Benedetti, M.M. Dickson, G. Espa, F. Piersimoni
  Simultaneously selection of balanced and spatially balanced samples by means of simulated annealing
Session EO575 Room: Virtual R38
Stochastic process models and their inference Sunday 19.12.2021   16:10 - 17:25
Chair: Michael Wiper Organizer: Michael Wiper
  B0571:  M. Wiper, A.P. Palacios, J.M. Marin
  A stochastic model for multiple bacteria growth curves based on the random telegraph process
  B1421:  M. Gonzalez Velasco, C. Minuesa Abril, I.M. del Puerto
  Controlled branching processes: Estimation based on ABC-SMC methodology
  B1482:  J.M. Marin, M. Wiper, F. Ruggeri
  A gamma process application to microorganisms population modelling
Session EO342 Room: Virtual R39
Recent developments in statistical network analysis Sunday 19.12.2021   16:10 - 17:25
Chair: Jonathan Stewart Organizer: Jonathan Stewart
  B0539:  V. Lyzinski, K. Pantazis, A. Athreya, J. Arroyo, W. Frost, E. Hill
  The importance of being correlated: Implications of dependence in joint spectral inference across multiple networks
  B0893:  E. Kolaczyk, X. Zhu
  On the asymptotics of temporal motif estimation via sampling
  B1292:  J. Stewart
  Estimating random graph models from observed subgraphs
Session EO513 Room: Virtual R40
False confidence, unverifiable assumptions: Foundations matter Sunday 19.12.2021   16:10 - 17:25
Chair: Peter Grunwald Organizer: Peter Grunwald
  B0748:  C. Hennig
  How to think about model assumptions
  B0863:  R. Martin
  False confidence, imprecise probability, and valid statistical inference
  B1156:  P. Grunwald
  Evidence and the optional continuation principle
Session EO838 Room: K0.16 (Hybrid 02)
Statistical methods for environmental health data (virtual) Sunday 19.12.2021   16:10 - 17:25
Chair: Carolina Euan Organizer: Carolina Euan
  B0410:  I. Martinez-Hernandez
  Changepoint detection for home activity count data: A functional approach
  B1062:  C. Anderson
  Spatial disaggregation of disease count data
  B1073:  L. Bondi, M. Bonetti, M. Pagano
  Optimal estimation of the sparsity index in Poisson size-biased sampling
Session EO611 Room: K0.19 (Hybrid 04)
Single-cell resolution image analysis Sunday 19.12.2021   16:10 - 17:25
Chair: Simon Vandekar Organizer: Simon Vandekar
  B0798:  C. Harris, E. McKinley, J. Roland, Q. Liu, M. Shrubsole, K. Lau, R. Coffey, J. Wrobel, S. Vandekar
  Computational tools to quantify and correct slide-to-slide variation in multiplexed immunofluorescence images
  B0907:  I. Chervoneva
  Quantification of spatial interaction between cancer and immune cells
  B1096:  J. Wrobel, S. Vandekar, C. Harris
  Bioconductor infrastructure for analyzing multiplex single cell imaging data in R
Session EO098 Room: K0.20 (Hybrid 05)
Statistical methods for high dimensional neuroimaging data II (Virtual) Sunday 19.12.2021   16:10 - 17:25
Chair: John Kornak Organizer: John Kornak
  B0948:  M. Guerrero, R. Huser, H. Ombao
  Club Exco: Clustering brain extreme communities from multi-channel EEG data
  B1148:  X. Tang, L. Li
  Multivariate temporal point process regression
  B0223:  A. Chen, R. Shinohara, H. Shou
  Similarity-based multimodal regression
Session EC870 Room: Virtual R35
Contributions in compositional data analysis Sunday 19.12.2021   16:10 - 17:25
Chair: Karel Hron Organizer: CFE-CMStatistics
  B0287:  L. Morrill, F. Markowetz
  Compositional models for mutational signature analysis
  B1471:  J. Machalova, K. Hron
  Approximation of density functions using compositional splines with optimal knots
  B0866:  G. Gloor
  Correlations at the margins cannot be rescued by estimation
Session EC873 Room: K2.41 (Hybrid 09)
Graphical models and networks (virtual) Sunday 19.12.2021   16:10 - 17:25
Chair: Ana Belen Ramos-Guajardo Organizer: CFE-CMStatistics
  B1282:  F. Bayer, G. Moffa, N. Beerenwinkel, J. Kuipers
  Estimating the normalizing constant in Bayesian networks
  B1553:  F. Vieira, J. Mulder, R. Leenders, D. McFarland
  Bayesian mixed-effect models for independent dynamic social network data
  B1434:  J.J. Cai, D. Yang, W. Zhu, H. Shen, L. Zhao
  Network regression and supervised centrality estimation
Session EG061 Room: K0.18 (Hybrid 03)
Contributions in clustering complex data Sunday 19.12.2021   16:10 - 17:25
Chair: Faicel Chamroukhi Organizer: CFE-CMStatistics
  B1651:  S. Columbu, J. Vermunt
  Multilevel latent class models for cross-classified data
  B1524:  F. Chamroukhi, N.-T. Pham, V.H. Hoang, G. McLachlan
  Mixtures-of-experts with functional predictors
  B1577:  S. Brivet, F. Chamroukhi, M. Coates, R. Forghani, P. Savadjiev
  Model-based clustering of dual-energy CT images for tumor analysis
Parallel session J: CFE Sunday 19.12.2021 16:10 - 17:25

Session CI014 (Special Invited Session) Room: K E. Safra (Multi-use 01)
Advances in macro and finance (virtual) Sunday 19.12.2021   16:10 - 17:25
Chair: Martin Wagner Organizer: Martin Wagner
  A0728:  M.M. Andreasen
  Robustifying inference of DSGE models estimated by filtering methods
  A0775:  J. Chan
  Large order-invariant bayesian vars with stochastic volatility
Session CO050 Room: Virtual R18
Heterogeneous and nonlinear dynamics in panels Sunday 19.12.2021   16:10 - 17:25
Chair: Peter Pedroni Organizer: Peter Pedroni
  A1726:  B. Ntsafack, P. NCho, P. Pedroni
  The macro stabilization role of migrants FDI contributions and wage remittances
  A1724:  P. NCho
  Monetary policy effectiveness the case of an economic and monetary Union with a fixed exchange rate
  A1720:  P. Pedroni
  Using heterogeneous panels to estimate nonlinear VAR dynamics
Session CO442 Room: Virtual R32
Developments in cryptocurrency and blockchain Sunday 19.12.2021   16:10 - 17:25
Chair: Marco Lorusso Organizer: Marco Lorusso, Francesco Ravazzolo
  A0822:  P. De Pace, J. Rao
  Conditional tail dependence between major cryptocurrencies and other major assets
  A0995:  G. Dwyer, P. Jin
  Trading and arbitrage with stablecoins
  A1095:  D. Bianchi, M. Babiak
  A factor model for cryptocurrency returns
Session CO677 Room: Virtual R33
Copula-based multivariate time series models Sunday 19.12.2021   16:10 - 17:25
Chair: Aleksey Min Organizer: Aleksey Min
  A0692:  B.N. Remillard, B. Nasri, T. Bahraoui
  Change-point problems for multivariate time series using pseudo-observations
  A1089:  A. Derumigny, J.-D. Fermanian
  Conditional empirical copula processes and generalized measures of association
  A0495:  A. Min, A. Buecher, M. Jaser
  Detecting departures from meta-ellipticity for multivariate stationary time series
Session CO663 Room: Virtual R34
High-dimensionality and sparsity Sunday 19.12.2021   16:10 - 17:25
Chair: Anders Kock Organizer: Anders Kock
  A1313:  K. Salehzadeh Nobari, A. Kock, A. Gibberd
  High-dimensional generalized least squares
  A1692:  M. Caner
  Generalized linear models with structured sparsity estimators
  A1545:  R. Masini, M. Medeiros, R.P. Masini
  Bridging factor and sparse models
Session CG033 Room: Virtual R30
Contributions in financial econometrics I Sunday 19.12.2021   16:10 - 17:25
Chair: Christos Savva Organizer: CFE
  A0302:  C. Savva, H. Nyberg
  Risk-return tradeoff in international stock returns: Skewness and business cycles
  A1767:  P. Jaworski
  Rates of return on stock prices: Impact of ESG measures
Session CG009 Room: Virtual R31
Contributions in monetary policies Sunday 19.12.2021   16:10 - 17:25
Chair: Nektarios Michail Organizer: CFE-CMStatistics
  A1477:  M.S. Miescu
  Forward guidance and conventional monetary policy shocks: Identification and assessment
  A0212:  N. Michail
  On the effectiveness of quantitative easing in the US
  A0850:  M. Cremona, F. Severino, E. Dadie
  COVID-19 effects on the Canadian term structure of interest rates
Parallel session K: CMStatistics Sunday 19.12.2021 17:35 - 19:15

Session EI018 (Special Invited Session) Room: K E. Safra (Multi-use 01)
Causal inference with machine learning (virtual) Sunday 19.12.2021   17:35 - 19:15
Chair: Xavier de Luna Organizer: Xavier de Luna
  B0250:  J. Antonelli, H. Shin
  Improved doubly robust inference for treatment effect heterogeneity using nonparametric and high-dimensional models
  B0272:  I. Diaz
  Non-parametric causal effects based on longitudinal modified treatment policies
  B0273:  M. Farrell
  Deep learning for individual heterogeneity: An automatic inference framework
Session EO816 Room: Virtual R21
Developments in output analysis for Markov chain Monte Carlo Sunday 19.12.2021   17:35 - 19:15
Chair: James Flegal Organizer: James Flegal
  B0514:  K.W. Chan, M.F. Leung
  Beyond optimal online variance estimation in time series
  B0681:  M. Riabiz, W.Y. Chen, J. Cockayne, P. Swietach, S. Niederer, C. Oates
  Optimal thinning of MCMC output
  B0790:  V. Roy
  Convergence of position-dependent MALA with application to conditional simulation in GLMMs
  B0816:  J. Flegal, D. Vats
  Lugsail lag windows for estimating time-average covariance matrices
Session EO116 Room: Virtual R22
Estimation and inference for precision medicine Sunday 19.12.2021   17:35 - 19:15
Chair: Erica Moodie Organizer: Erica Moodie
  B0462:  Y. Zhao
  Estimation and inference on high-dimensional individualized treatment rule in observational data
  B0587:  M. Davidian
  Estimation of optimal treatment regimes with censored time-to-event outcome: A classification perspective
  B1065:  D. Stephens
  Bayesian semiparametric approaches to tailoring strategies
  B1091:  N. Kallus
  Post-contextual-bandit inference
Session EO086 Room: Virtual R23
Recent advances in optimal experimental design Sunday 19.12.2021   17:35 - 19:15
Chair: Saumen Mandal Organizer: Saumen Mandal
  B1560:  H. Wynn, F. Rapallo, R. Fontana
  Circuit bases in optimal experimental design and randomization
  B1725:  J. Zhou
  Computing optimal regression designs with multiple objectives
  B1616:  P. Yang
  Bayesian optimal designs with high prediction efficiency
  B1704:  S. Ghosh
  Binary response models comparison using the alpha-Chernoff divergence measure and exponential integral functions
Session EO607 Room: Virtual R24
Advance statistical tools for modern high dimensional data Sunday 19.12.2021   17:35 - 19:15
Chair: Shubhadeep Chakraborty Organizer: Shahina Rahman
  B1358:  Z. Szabo
  Vector-valued infinite task learning in style transfer
  B1418:  K. Gregory
  Solution path based variable selection
  B1438:  S. Karmakar
  Long-term prediction for high-dimensional regression
  B1578:  S. Rahman, S. Subbarao, V. Johnson
  A fast and automated clustering of large scale high dimensional data: Application to scRNA-seq data
Session EO384 Room: Virtual R25
Geometry and topology in statistics and machine learning Sunday 19.12.2021   17:35 - 19:15
Chair: Wolfgang Polonik Organizer: Wolfgang Polonik
  B0640:  K. Balasubramanian
  Fractal Gaussian networks: A sparse random graph model based on gaussian multiplicative chaos
  B1034:  W. Qiao
  Confidence regions for filamentary structures
  B1479:  S. Mukherjee
  Modeling shapes and fields
  B1674:  E. Arias-Castro
  On using graph distances to estimate euclidean and related distances
Session EO244 Room: Virtual R26
Modern advanced statistical methods in biomedical research Sunday 19.12.2021   17:35 - 19:15
Chair: Esra Kurum Organizer: Shujie Ma
  B0616:  E. Kurum, D. Nguyen, D. Senturk
  Multilevel joint modeling of hospitalization and survival in patients on dialysis
  B1177:  A. Yuan, A. Yin, M. Tan
  Enhanced doubly robust procedure for causal inference
  B1218:  Y. Peng
  Identifying treatment-sensitive subgroups based on multiple covariates and longitudinal measurements
  B1450:  K. Huang, S. Ma
  Convolutional neural networks estimation via Lipschitz loss functions with applications to biomedical studies
Session EO340 Room: Virtual R27
Advances in longitudinal data analysis Sunday 19.12.2021   17:35 - 19:15
Chair: Sanjoy Sinha Organizer: Sanjoy Sinha
  B0341:  S. Sinha
  Robust analysis of longitudinal mixed binary and count responses
  B0406:  X. Xu
  Optimal planning for ordered logit and ordered probit models
  B0697:  T. Hasan, R. Chowdhury
  Modelling big data to predict trajectories of repeated binary outcomes
  B0708:  L. Zeng
  Statistical methods for clustered longitudinal binary data
Session EO372 Room: Virtual R28
Advances in network analysis and clustering Sunday 19.12.2021   17:35 - 19:15
Chair: Anderson Ye Zhang Organizer: Anderson Ye Zhang
  B1752:  T. Ke
  Power enhancement and phase transitions for global testing of the mixed membership stochastic block model
  B0198:  X. Tong
  Individual-centered partial information in social networks
  B1549:  D. Xia
  Community detection on mixture multi-layer networks via regularized tensor decomposition
  B0231:  T. Li, Q. Dawkins, H. Xu
  Diffusion source identification on networks with statistical confidence
Session EO206 Room: Virtual R29
Robust causal inference Sunday 19.12.2021   17:35 - 19:15
Chair: Zijian Guo Organizer: Zijian Guo
  B0471:  D. Rothenhaeusler, J. Gimenez
  Causal aggregation: Estimation and inference of causal effects by constraint-based data fusion
  B0645:  S. Li, Z. Guo
  Causal inference for nonlinear outcome models with possibly invalid instrumental variables
  B0615:  X. Liang
  Agglomerative hierarchical clustering for selecting valid instrumental variables
  B1149:  L. Wang, X. Zhang, S. Volgushev, D. Kong
  Ultra-high dimensional learning of polygenic risk scores for mendelian randomization studies
Session EO529 Room: Virtual R30
New developments on data depth and its applications Sunday 19.12.2021   17:35 - 19:15
Chair: Sara Lopez Pintado Organizer: Sara Lopez Pintado
  B0319:  A. Nieto-Reyes, G. Francisci, C. Agostinelli
  The enlarged simplicial depth
  B1416:  G. Staerman, P. Mozharovskyi
  A pseudo-metric between probability distributions based on depth-trimmed regions
  B1382:  S. Lopez Pintado
  Statistical data depth and its applications to health sciences
  B1489:  G. Van Bever, S. Nagy, P. Ilmonen, S. Helander, L. Viitasaari
  Flexible integrated functional depths
Session EO082 Room: Virtual R31
New directions in functional and high-dimensional data analysis Sunday 19.12.2021   17:35 - 19:15
Chair: Alessia Caponera Organizer: Alexander Aue
  B0371:  M. Lopes, Z. Lin, H.-G. Mueller
  High-dimensional MANOVA via bootstrapping and its application to functional and sparse count data
  B0633:  D. Senturk
  Multilevel hybrid principal components analysis forregion-referenced functional EEG data
  B0637:  W.-K. Seo
  Functional principal component analysis of cointegrated functional time series
  B0290:  J. Aston, E. Lila
  Functional data analysis in constrained spaces
Session EO689 Room: Virtual R32
Advances in clustering, network analysis, and multivariate statistics Sunday 19.12.2021   17:35 - 19:15
Chair: Joshua Cape Organizer: Joshua Cape
  B1370:  G. Allen
  Fast and interpretable consensus clustering via minipatch learning
  B0710:  Y. Fan, X. Han, Q. Yang
  Universal rank inference via residual subsampling with application to large networks
  B1620:  S. Stein, C. Leng
  A sparse random graph model for sparse directed networks
  B1051:  J. Bryan, P. Hoff
  The multirank likelihood for semiparametric CCA
Session EO746 Room: Virtual R35
Computational statistical methods for environmental sciences Sunday 19.12.2021   17:35 - 19:15
Chair: Seiyon Lee Organizer: Seiyon Lee
  B1152:  Y. Guan, M. Haran
  Fast expectation-maximization algorithms for spatial generalized linear mixed models
  B1258:  L. Zhang, M. Risser, B. Shaby
  Spatial scale-aware tail dependence modeling for high-dimensional spatial extremes
  B1270:  R. MacDonald, S. Lee
  Flexible basis representations for modeling high-dimensional hierarchical spatial data using adaptive resolution tuning
  B1291:  J. Hewitt, R. Schick, A. Gelfand
  Continuous-time discrete-space (CTDS) movement models over two- and three-dimensional space
Session EO748 Room: Virtual R36
Statistical theory for machine learning methods Sunday 19.12.2021   17:35 - 19:15
Chair: Michael Vogt Organizer: Michael Vogt
  B0384:  S. Langer
  Evading the curse of dimensionality in nonparametric regression with deep neural networks
  B0887:  N. Muecke
  Benign overfitting in distributed learning
  B0970:  S. Basu
  Graphical models for stationary time series
  B1277:  C. Breunig
  Average derivative estimation with bayesian decision tree ensembles
Session EO533 Room: Virtual R37
Projection pursuit II Sunday 19.12.2021   17:35 - 19:15
Chair: Nicola Loperfido Organizer: Nicola Loperfido
  B0861:  Z. Landsman
  Portfolio optimization by a bivariate functional of the mean and variance
  B0889:  T. Shushi
  The tail risk projection: From multivariate risk measures to projection pursuit
  B0567:  U. Laa, D. Cook, A. Buja, G. Valencia
  Section pursuit
  B0835:  N. Loperfido
  Asymmetric projection pursuit for classification
Session EO160 Room: K0.16 (Hybrid 02)
Bayesian nonparametrics and semiparametrics with applications Sunday 19.12.2021   17:35 - 19:15
Chair: Michael Daniels Organizer: Michael Daniels
  B0391:  M. Josefsson, M. Daniels, S. Pudas
  A Bayesian semi-parametric approach for inference on the PPCM from longitudinal data with dropout
  B1017:  B. Betancourt
  A prior based on allelic partitions for record linkage applications
  B0894:  A. Oganisian, N. Mitra, J. Roy
  Hierarchical Bayesian bootstrap for heterogeneous treatment effect estimation
  B1121:  A. Linero
  In nonparametric and high-dimensional models, ignorability is an informative prior
Session EO479 Room: K0.18 (Hybrid 03)
Recent advances in change point analysis Sunday 19.12.2021   17:35 - 19:15
Chair: George Michailidis Organizer: George Michailidis
  B1589:  A. Kaul, G. Michailidis
  Inference for change points in high dimensional mean shift models
  B1667:  H. Li
  Optimistic search strategy in change point detection for large-scale data
  B1697:  A. Safikhani
  Inference for location of change points in high-dimensional non-stationary vector auto-regressive models
  B1700:  G. Michailidis
  Multiple change point detection in high dimensional data streams via the doubling algorithm
Session EO489 Room: K0.19 (Hybrid 04)
Recent advances in copula methods (virtual) Sunday 19.12.2021   17:35 - 19:15
Chair: Radu Craiu Organizer: Radu Craiu
  B0295:  C. Grazian, L. Dalla Valle, B. Liseo
  Approximate Bayesian conditional copulas
  B0303:  B. Nasri
  Test of serial dependence for multivariate time series with arbitrary distributions
  B1222:  J. Blanchet
  Statistics of Wasserstein distributionally robust estimators
  B1279:  R. Zimmerman, V. Leos Barajas, R. Craiu
  Copula modelling of serially correlated multivariate data with hidden structures
Session EO148 Room: K0.20 (Hybrid 05)
Last trends in clustering and classification methods (virtual) Sunday 19.12.2021   17:35 - 19:15
Chair: Marta Nai Ruscone Organizer: Daniel Fernandez, Marta Nai Ruscone
  B0403:  I. Epifanio, A. Alcacer, J. Valero, A. Ballester
  Combining user-based collaborative filtering and classification for matching footwear size
  B0663:  B. Gruen, G. Malsiner-Walli, S. Fruehwirth-Schnatter
  How many data clusters are in the Galaxy data set: Bayesian cluster analysis in action
  B0906:  C. Tortora, H. Tong, L. Tran
  On clustering and outlier detection with missing data
  B0812:  M. Marbac, M. Sedki, C. Biernacki, V. Vandewalle
  Simultaneous semi-parametric estimation of clustering and regression
Session EO398 Room: K2.40 (Hybrid 08)
Recent advances in Bayesian approaches to neuroimaging Sunday 19.12.2021   17:35 - 19:15
Chair: Aaron Scheffler Organizer: Aaron Scheffler
  B0613:  J. Kornak, K. Young, E. Friedman
  Bayesian image analysis in Fourier space models and some relationships with Markov random fields
  B0730:  R. Guhaniyogi, A. Scheffler
  New ideas on Bayesian data sketching
  B1220:  M. Guindani
  Bayesian time-varying tensor vector autoregressive models for dynamic effective connectivity
  B0473:  A. Scheffler, R. Guhaniyogi, R. Marquez
  A Bayesian regression framework for brain imaging data with multiple structural- and network-valued predictors
Session EO452 Room: K2.31 Nash (Hybrid 07)
Spatio-temporal modeling of infectious diseases (virtual) Sunday 19.12.2021   17:35 - 19:15
Chair: Andrew Lawson Organizer: Andrew Lawson
  B0470:  R. Deardon
  Behavioural change in spatial epidemic models
  B0882:  J. Kim, A. Lawson
  Comparison of Bayesian spatio-temporal models in the infectious disease outbreak surveillance
  B1141:  D. Gamerman, M. Prates, S. Faria, M. Castro
  A latent spatial model for pandemic prediction
  B1406:  B. Sartorius, A. Browne, M. Chipeta, F. Fell, S. Hackett, G. Haines-Woodhouse, B. Kashef Hamadani, E. Kumaran, C. Moore, C. Dolecek
  Global space-time mapping of antimicrobial-resistance among selected priority bacterial pathogens, 2000-2019
Session EG021 Room: Virtual R18
Contributions in Bayesian statistics I Sunday 19.12.2021   17:35 - 19:15
Chair: Antonio Canale Organizer: CFE-CMStatistics
  B0953:  E.L. Sanjuan, M.I. Parra Arevalo, M.M. Pizarro, J. Martin Jimenez
  Baseline methods for estimating the parameters of Generalized Pareto distributions
  B1311:  C. Salvatore, S. Biffignandi, J. Sakshaug, A. Wisniowski, B. Struminskaya
  A Bayesian approach for combining probability and non-probability samples for analytic inference
  B1669:  V. Geels, M. Pratola, R. Herbei
  The taxicab sampler: MCMC for discrete spaces with application to tree models
  B1643:  S. Mildiner Moraga, E. Aarts
  A Bayesian multilevel hidden Markov model with time-varying covariates for multivariate count time series
Parallel session K: CFE Sunday 19.12.2021 17:35 - 19:15

Session CO539 Room: Virtual R33
Empirical aspects of cryptocurrency markets Sunday 19.12.2021   17:35 - 19:15
Chair: Pierangelo De Pace Organizer: Pierangelo De Pace
  A0712:  S. Lee, M. Gronwald, S. Wadud, R.B. Durand, Y. Zhao
  Measuring cryptocurrency price co-movement using a thick pen
  A0987:  M. Lorusso, F. Ravazzolo, S. Grassi
  Heterogeneous agents and cryptocurrency
  A1090:  M. Benetton, G. Compiani
  Investors' beliefs and cryptocurrency prices
  A1457:  L. Kristoufek
  Diversification among cryptoassets: Bitcoin maximalism, active portfolio management, and survival bias
Session CO164 Room: Virtual R34
Impulse responses Sunday 19.12.2021   17:35 - 19:15
Chair: Michael Owyang Organizer: Michael Owyang
  A0238:  A. Lusompa
  Local projections, autocorrelation, and efficiency
  A0405:  A. Paccagnini, F. Parla
  Identifying high-frequency shocks in nonlinear models
  A1059:  A.M. Herrera, E. Pesavento, S. Goncalves, L. Kilian
  Impulse response analysis for structural dynamic models with nonlinear regressors
  A0494:  D. Soques, N. Francis, M. Owyang
  Impulse response functions in a self-exciting world
Session CO040 Room: Virtual R38
Econometric methods for high-frequency data Sunday 19.12.2021   17:35 - 19:15
Chair: Massimiliano Caporin Organizer: Massimiliano Caporin
  A0237:  Z. Simon, F. Abdi, E. Kormanyos, L. Pelizzon, M. Getmansky Sherman
  A modern take on market efficiency: The impact of Trump's tweets on financial markets
  A0241:  F. Poli, M. Caporin, O. Cepni, A.F. Aysan
  Not all words are equal: Sentiment and jumps in cryptocurrency market
  A0504:  D. Pirino, A. Kolokolov, G. Livieri
  Testing for endogeneity of irregular sampling schemes
  A0738:  M. Caporin, G. Storti
  A model-based spillover index
Session CO362 Room: Virtual R39
Time series econometrics Sunday 19.12.2021   17:35 - 19:15
Chair: Josu Arteche Organizer: Josu Arteche
  A0572:  C. Velasco, I. Lobato
  Single step estimation of ARMA roots for non-fundamental nonstationary fractional models
  A0758:  J. Arteche
  Local bootstrap in long memory time series
  A0963:  P. Sibbertsen, V. Less
  Testing for multiple structural breaks in multivariate long memory time series
  A1324:  J. Sapena, M. Camarero, C. Tamarit
  A state-space frame for modelling time-varying parameters in panels: An applicacion to the Okun's law
Session CO322 Room: Virtual R40
highfrequency Sunday 19.12.2021   17:35 - 19:15
Chair: Onno Kleen Organizer: Kris Boudt, Onno Kleen
  A0393:  N. Bouamara, K. Boudt, S. Laurent, C. Neely
  Sluggish news reactions: A combinatorial approach for synchronizing stock jumps
  A0848:  M. Stollenwerk
  Probability distributions for realized covariance matrices
  A1014:  A. Tetereva
  Forecasting realized correlations: A MIDAS approach
  A0469:  K. Boudt, K. Dragun, O. Sauri, S. Vanduffel
  Beta-adjusted covariance estimation
Session CC867 Room: K2.41 (Hybrid 09)
Contributions in forecasting Sunday 19.12.2021   17:35 - 19:15
Chair: Richard McGee Organizer: CFE
  A1768:  S. Pybis, M. Stamatogiannis, O. Henry, M. Ferrer Fernandez
  Can we forecast better in periods of low uncertainty: The role of technical indicators
  A1608:  R. McGee, T. Post, V. Poti
  Option-implied physical probabilities
  A1556:  L. Hanus, J. Barunik
  Probabilistic forecasting with machine learning and big data
  A1662:  M.M. Vich Llompart, A. Vaello Sebastia
  On the ability of risk-neutral densities to forecast the direction of change
Session CG031 Room: Virtual R20
Contributions in applied financial econometrics Sunday 19.12.2021   17:35 - 19:15
Chair: Kurt Lunsford Organizer: CFE
  A0193:  K. Lunsford
  Advance layoff notices and aggregate job loss
  A1269:  M. Moessler
  Stability of fundamental parity conditions in international finance
  A0232:  M. Lof, P. Jylha
  Mind the Basel gap
  A0737:  S. Wadud, M. Gronwald, R.B. Durand, S. Lee
  Co-movement between commodity and equity markets revisited: An application of the Thick Pen method
Parallel session M: CMStatistics Monday 20.12.2021 08:15 - 09:30

Session EO126 Room: Virtual R20
Theory and computation in inference for stochastic processes Monday 20.12.2021   08:15 - 09:30
Chair: Hiroki Masuda Organizer: Hiroki Masuda
  B0451:  I. Muni Toke
  Hawkes processes with a state-dependent factor
  B0982:  K. Kamatani
  Scaling limit of some piecewise deterministic Markov processes via multi scale analysis
  B1403:  A. Gloter, C. Amorino, C. Dion, S. Sarah Lemler
  Nonparametric inference of coefficients of self-exciting jump-diffusion processes
Session EO090 Room: Virtual R21
Statistical models for survival data I Monday 20.12.2021   08:15 - 09:30
Chair: Marialuisa Restaino Organizer: Marialuisa Restaino
  B0218:  C. Acal, J.E. Ruiz-Castro
  A new cut-point PH-distribution to fit a Survival data set
  B0530:  P. Blanche, T. Scheike
  The underrecognized potential of logistic regression to analyze survival data from clinical trials
  B0871:  C. Moreira, J. de Una-Alvarez, R. Crujeiras
  New tools for analyzing doubly truncated data
Session EO517 Room: Virtual R22
Branching processes: Theory, computation and applications I Monday 20.12.2021   08:15 - 09:30
Chair: Ines M del Puerto Organizer: Ines M del Puerto, Miguel Gonzalez Velasco
  B1517:  E. Yarovaya
  Stochastic evolution of particle systems for branching random walks in non homogeneous and homogeneous environments
  B1478:  C. Minuesa Abril, P. Braunsteins, S. Hautphenne
  Estimation of the carrying capacity in branching processes via weighted least square estimation
  B1519:  V. Kutsenko, E. Yarovaya
  Comparing numerical results for branching random walks in non random and random media
Session EO555 Room: Virtual R23
Beliefs, risk and uncertainty in artificial intelligence II Monday 20.12.2021   08:15 - 09:30
Chair: Davide Petturiti Organizer: Davide Petturiti, Barbara Vantaggi
  B0529:  M. Nendel
  Markovian dynamics under Wasserstein uncertainty
  B0760:  T. Augustin
  Generalised measurement error models
  B0763:  I. Montes
  Aggregation of comonotone risks using robust distribution functions
Session EO246 Room: Virtual R24
Some recent results on statistical modelling Monday 20.12.2021   08:15 - 09:30
Chair: Geoffrey McLachlan Organizer: Geoffrey McLachlan
  B1508:  H. Nguyen
  Finite sample inference for nonlinear autoregressive models
  B1497:  S. Lee
  A selective survey of mixture models with flexible distributions
  B1529:  D. Ahfock, M. Zhu
  Statistical modelling with noisy labels: An application to fraud detection
Session EO358 Room: Virtual R26
Data science and cybersecurity Monday 20.12.2021   08:15 - 09:30
Chair: Clara Grazian Organizer: Clara Grazian
  B0428:  N. Heard
  Cluster analysis of hacker groups from terminal commands issued in honeypots
  B0636:  Y. Wang, C. Grazian
  Assessing the invertibility of deep biometric representation
Session EO380 Room: Virtual R28
Functional and high-dimensional data analysis Monday 20.12.2021   08:15 - 09:30
Chair: Jeng-Min Chiou Organizer: Jeng-Min Chiou
  B1408:  Y. Araki
  Functional survival analysis with convex clustering
  B1748:  Y. Kim
  Bayesian deep neural networks: Optimality and adaptivity
  B1243:  H. Matsui
  Truncated estimation for varying-coefficient functional linear models
Session EO802 Room: Virtual R34
Bayesian methods for extreme events Monday 20.12.2021   08:15 - 09:30
Chair: Isadora Antoniano-Villalobos Organizer: Isadora Antoniano-Villalobos
  B0755:  T. Moins, S. Girard, J. Arbel, A. Dutfoy
  A Bayesian framework for Poisson process characterization of extremes with uninformative prior
  B0785:  A. Canale, E. Zorzetto, M. Marani
  Bayesian non-asymptotic extreme value hierarchical models
  B1028:  J. Koh, T. Opitz
  Spatiotemporal wildfire modeling through point processes with moderate and extreme marks
Session EC853 Room: K E. Safra (Multi-use 01)
Multivariate and high-dimensional statistics (hybrid) Monday 20.12.2021   08:15 - 09:30
Chair: Ioulia Papageorgiou Organizer: CFE-CMStatistics
  B1604:  I. Papageorgiou, S. Voutsinas
  Multivariate outlier detection with ICS and application to statistical quality control for autocorrelated data
  B1565:  M. Bousebata, S. Girard, G. Enjolras
  Extreme partial least-squares regression
  B1312:  A. Gibberd, S. Roy
  High-dimensional changepoint selection with fused graphical models
Session EG059 Room: Virtual R25
Contributions in Bayesian statistics II Monday 20.12.2021   08:15 - 09:30
Chair: Tomonari Sei Organizer: CFE-CMStatistics
  B1617:  T. Sei, F. Komaki
  A correlation-shrinkage prior for the 2-dimensional Wishart model
  B1622:  K. Yano, T. Okada
  Stochastic time-discrete SIR models and particle filtering
  B1624:  D. Han, T. Choi
  Bayesian sparse seemingly unrelated regression model with variable and covariance selection
Session EG017 Room: K0.19 (Hybrid 04)
Contributions in time-varying approaches Monday 20.12.2021   08:15 - 09:30
Chair: Tommaso Proietti Organizer: CFE
  B1212:  Y. Bai
  Time-varying GMM estimation in structural time series models
  B1717:  C. Grivas
  Testing For Exogeneity in Instrumental Variable Regressions: A Bootstrap Approach
  B1241:  J. Wu, M. Karanasos, S. Yfanti
  Time-varying co-movements among financial and financialised assets: The cyclical variation of the cross-asset nexus
Parallel session M: CFE Monday 20.12.2021 08:15 - 09:30

Session CO780 Room: Virtual R18
Recent developments on statistical learning and its applications Monday 20.12.2021   08:15 - 09:30
Chair: Wei Zhou Organizer: Wei Zhong
  A0909:  Y. Ge, X. Feng, X. He
  GSLM: Structure learning via unstructured kernel-based M-regression
  A1468:  W. Zhou, W. Zhong
  Efficient learning of quadratic variance function directed acyclic graphs via topological layers
  A1532:  X. Wang
  Censored quantile regression based on multiply robust propensity scores
Session CO220 Room: Virtual R27
EcoSta journal session I Monday 20.12.2021   08:15 - 09:30
Chair: Alessandra Amendola Organizer: Erricos Kontoghiorghes
  A0219:  Y. Yan, J. Gao, B. Peng
  Nonparametric estimation for multivariate time-varying models: Theory and practice
  B1659:  R. Brard, L. Bellanger, A. Stamm, P. Drouin, L. Chevreuil, F. DOISTAU
  Comparison of machine learning algorithms for an HAR problem using rotation times series data
Session CO048 Room: Virtual R29
Sustainable finance I Monday 20.12.2021   08:15 - 09:30
Chair: Michele Costola Organizer: Monica Billio
  A0392:  M. Costola, K. Vozian
  Transition factors and market-implied credit risk
  A0449:  S. Ramelli, M. Briere
  Green sentiment, stock returns and corporate behavior
  A0400:  V. Cerasi, M. Manera, L. Bonacorsi
  ESG factors and firms' credit risk
Session CO168 Room: Virtual R30
Econometric forecasting Monday 20.12.2021   08:15 - 09:30
Chair: Robert Kunst Organizer: Robert Kunst
  A1310:  I. Fortin, J. Hlouskova, L. Soegner
  Measuring uncertainty to identify financial instability
  A1365:  R. Kunst, M. Costantini
  On the use of mean square error and directional forecast accuracy for model selection: A Monte Carlo investigation
  A0177:  A. Volpicella, A. Carriero
  The Identifying information in the forecast error variance: An application to uncertainty shocks
Session CO617 Room: Virtual R32
Advances in econometrics Monday 20.12.2021   08:15 - 09:30
Chair: Catherine Forbes Organizer: Catherine Forbes
  A1227:  R. Thompson
  Robust subset selection
  A1272:  D. Zhu, J. Chan, A. Poon
  Efficient estimation of mixed-frequency state-space VARs: A precision-based approach
  A1548:  J. Shi
  A sparse dynamic factor approach to mortality modelling
Session CC858 Room: Virtual R33
Contributions in econometric and financial modelling Monday 20.12.2021   08:15 - 09:30
Chair: Dennis Umlandt Organizer: CFE
  A1223:  D. Umlandt, A.G. Gretener, M. Neuenkirch
  Dynamic mixture vector autoregressions with score-driven weights
  A1448:  W. Wang, X. Kong, X. Yan
  Unobserved heterogeneity in factor-augmented panel quantile model
  A1551:  P. Vallarino, A. Luati, L. Catania
  Modelling dynamic multiple quantiles with exogenous factors
Session CG013 Room: Virtual R31
Contributions in risk management Monday 20.12.2021   08:15 - 09:30
Chair: Consuelo Nava Organizer: CFE
  A1259:  C. Nava, M.G. Zoia, M.D. Braga
  Risk parity strategy based on Kurtosis: Methodology and portfolio effects
  A1399:  K. Yashiki
  To swing or not to swing: Reference point and professional baseball players
  B1647:  D. Garcia Rasines, D. Rios Insua, R. Naveiro, S. Rodriguez, C.B. Guevara Maldonado
  Adversarial risk analysis for competitive business decisions with applications in banking
Parallel session N: CMStatistics Monday 20.12.2021 10:00 - 11:15

Session EO068 Room: Virtual R18
Methodological advancements in functional data models Monday 20.12.2021   10:00 - 11:15
Chair: Zhenhua Lin Organizer: Alexander Petersen
  B0446:  Z. Lin, Y. Lin
  A unified approach for hypothesis testing in functional linear models
  B0786:  S. Jiao, H. Ombao
  Filtrated common functional principal components of multi-group functional data
  B1677:  V. Panaretos
  Random surface covariance estimation by shifted partial tracing
Session EO196 Room: Virtual R20
Some issues in biostatistics Monday 20.12.2021   10:00 - 11:15
Chair: Christiana Kartsonaki Organizer: Christiana Kartsonaki
  B1350:  B. Goncalves
  Estimation of incidence of early-onset invasive Group B Streptococcus disease in infants using Bayesian methods
  B1359:  E. Dankwa, M. Plummer, C. Kartsonaki
  Predicting Helicobacter pylori serostatus: a comparison of classification algorithms
  B1354:  N. Wright
  Methods for analyses of recurrent events in cohort studies
Session EO084 Room: Virtual R21
Statistical models for survival data II Monday 20.12.2021   10:00 - 11:15
Chair: Marialuisa Restaino Organizer: Marialuisa Restaino
  B0884:  S. Milito, M. Restaino, F. Giordano
  A variable selection method for high-dimensional survival data
  B0975:  R. Braekers
  Using factor copula functions to model the association structure in right-censored survival data
  B1044:  D. Dobler
  Randomizing relative treatment effects
Session EO519 Room: Virtual R22
Branching processes: Theory, computation and applications II Monday 20.12.2021   10:00 - 11:15
Chair: Miguel Gonzalez Velasco Organizer: Ines M del Puerto, Miguel Gonzalez Velasco
  B1539:  M. Slavtchova-Bojkova, V. Simeonova
  Modelling of Covid'19 pandemic using Crump-Mode-Jagers branching processes with vaccination
  B1685:  P. Martin-Chavez, M. Gonzalez Velasco, I.M. del Puerto
  Fluctuation limit theorem of critical controlled branching processes using limit theorems for martingale differences
  B1688:  I.M. del Puerto, M. Gonzalez Velasco, M. Molina, G. Yanev, N. Yanev
  Randomly indexed controlled branching processes
Session EO252 Room: Virtual R23
EcoSta journal session II Monday 20.12.2021   10:00 - 11:15
Chair: Fabrizio Durante Organizer: Erricos Kontoghiorghes
  B1742:  D. Pommeret
  K-sample test of copulas
  A1602:  A. Mayer, D. Wied
  Estimation and inference in factor copula models with exogenous covariates
  B1784:  Y. Kulagina, F. Balabdaoui, A. Kolar, L. Mueller
  Estimation of the complexity of a finite mixture distribution
Session EO288 Room: Virtual R24
Bayesian empirical likelihood-based inference methods Monday 20.12.2021   10:00 - 11:15
Chair: Anna Simoni Organizer: Anna Simoni
  B1463:  C. Forbes
  Case influence diagnostics from Bayesian empirical likelihood posteriors
  B1574:  S. MacEachern, E. Kim, M. Peruggia
  Empirical likelihood for designed experiments
  B1684:  S. Chib, M. Shin, A. Simoni
  Bayesian estimation and comparison of conditional moment models
Session EO764 Room: Virtual R25
Recent advances in high-dimensional statistics Monday 20.12.2021   10:00 - 11:15
Chair: Jun Song Organizer: Jun Song
  B1701:  W. Luo
  On efficient dimension reduction with respect to the interaction between two response variables
  B1528:  S.J. Shin, A. Artemiou
  Principal weighted least square support vector machine: An online dimension-reduction tool for binary classification
  B0979:  Z. Zhang
  High-dimensional spatial quantile function-on-scalar regression
Session EO310 Room: Virtual R26
Advances in optimal design of experiments II Monday 20.12.2021   10:00 - 11:15
Chair: Victor Casero-Alonso Organizer: Victor Casero-Alonso, Juan M Rodriguez-Diaz
  B0759:  K. Mylona, S. Gilmour, P. Goos
  Precise pure-error estimation of the variance components in optimal split-plot designs
  B0959:  J.M. Rodriguez-Diaz
  Analysis of the covariance structure from the point of view of design in time-depending multiresponse models
  B1012:  S. Pozuelo Campos, M. Amo-Salas, V. Casero-Alonso
  Robust designs for toxicological test
Session EO128 Room: Virtual R34
Off-the-grid methods for nonparametric estimation Monday 20.12.2021   10:00 - 11:15
Chair: Cristina Butucea Organizer: Cristina Butucea
  B0537:  C. Marteau
  SuperMix: Sparse regularization for mixtures
  B0923:  R. Petit, V. Duval, Y. De Castro
  An off-the-grid method for the recovery of piecewise constant images in linear inverse problems
  B1136:  C. Hardy
  Sparse dictionary learning
Session EG093 Room: K E. Safra (Multi-use 01)
Contributions in copulas and dependence modelling (hybrid) Monday 20.12.2021   10:00 - 11:15
Chair: Alexandra Dias Organizer: CFE-CMStatistics
  B1515:  A. Wolny-Dominiak, T. Zadlo
  The accuracy of claim severity prediction using longitudinal data
  B1628:  M. Nai Ruscone, D. Karlis
  Robustness methods for modeling count data with general dependence structures
  B1660:  A. Dias
  On the pseudo-likelihood estimator for copula models parameters
Parallel session N: CFE Monday 20.12.2021 10:00 - 11:15

Session CO030 Room: Virtual R28
Graphical models and networks analysis in financial applications Monday 20.12.2021   10:00 - 11:15
Chair: Sandra Paterlini Organizer: Sandra Paterlini
  A0207:  P. Caraiani
  The impact of macroeconomic shocks on corporate investments
  A0650:  S. Paterlini, R. Riccobello, M. Bogdan, G. Bonaccolto, P.J. Kremer
  Sparse graphical modelling via the sorted l1 - norm
  A0455:  K. Bax, E. Taufer, S. Paterlini
  A generalized precision matrix for t-Student distributions
Session CO258 Room: Virtual R29
Sustainable finance II Monday 20.12.2021   10:00 - 11:15
Chair: Michele Costola Organizer: Monica Billio
  A0576:  C. Latino, J. Kapraun, C. Scheins, C. Schlag
  (In)-credibly green: Which bonds trade at a green bond premium?
  A0666:  G. Pianon
  A factor-based calibration model: An application to the relation between sustainability and option-implied distributions
  A0744:  M. Billio, M. Costola, L. Pelizzon, C. Latino, I. Hristova
  Inside the ESG ratings: (Dis)agreement and performance
Session CO466 Room: Virtual R30
The econometrics of Covid-19 pandemic Monday 20.12.2021   10:00 - 11:15
Chair: Sergio Scicchitano Organizer: Sergio Scicchitano
  A0204:  S. Schueller, H. Steinberg
  Parents under stress evaluating emergency childcare policies during the first COVID-19 lockdown in Germany
  A0782:  G. Beccari, L. Becchetti, G. Conzo, P. Conzo, D. De Santis, F. Salustri
  Particulate matter and Covid-19 excess deaths: Decomposing long-term exposure and short-term effects
  A0943:  S. Scicchitano, F. Carbonero
  Labour and technology at the time of Covid-19: Can artificial intelligence mitigate the need for proximity?
Session CO162 Room: Virtual R31
Financial capability: Models and empirical evidence Monday 20.12.2021   10:00 - 11:15
Chair: Sabrina Giordano Organizer: Sabrina Giordano, Rosaria Simone
  A1247:  S. Giordano, R. Colombi, M. Kateri
  Financial capability: A longitudinal perspective through hidden Markov models
  A1419:  M. Zenga, P. Bongini, E. Rinaldi
  Financial literacy among young people: Hints from PISA 2018.
Session CO036 Room: Virtual R32
Topics in the econometrics of DSGE models Monday 20.12.2021   10:00 - 11:15
Chair: Marco Maria Sorge Organizer: Marco Maria Sorge
  A1054:  S. Fasani, A. Colciago, L. Rossi
  Unemployment, firm dynamics, and the business cycle
  A0288:  M. Al Sadoon
  The spectral approach to linear rational expectations models
  A1055:  M.M. Sorge, G. Angelini
  Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks
Session CO390 Room: Virtual R33
Bayesian methods in financial econometrics: New developments Monday 20.12.2021   10:00 - 11:15
Chair: Maria Kalli Organizer: Maria Kalli
  A0507:  D. Gunawan, R. Kohn, C.K. Carter
  Efficient particle hybrid sampler for state-space models
  A0968:  M. Iacopini, L. Rossini
  Bayesian semiparametric estimation of structural VAR models with stochastic volatility
  A1702:  M.-N. Tran, R. Kohn, N. Nguyen Trong
  Recurrent conditional heteroskedasticity
Session CC865 Room: Virtual R27
Contributions in macro and finance II (virtual) Monday 20.12.2021   10:00 - 11:15
Chair: Demetris Koursaros Organizer: CFE
  A0270:  D. Koursaros
  Asymmetry in inflation persistence under inflation targeting
  A1447:  J. Wang, K. Sargent
  Joining the gig workforce: A (potentially) one-way trip with an expensive return ticket
  A1569:  D. Opschoor, M. van der Wel
  A smooth shadow-rate dynamic Nelson-Siegel model of the yield curve at the zero lower bound
Session CC864 Room: K0.19 (Hybrid 04)
Contributions in applied econometrics (virtual) Monday 20.12.2021   10:00 - 11:15
Chair: Jose Olmo Organizer: CFE
  A1542:  R. Navratil, J. Vecer
  Utility based auction mechanism and model selection
  A1249:  T. Hartl
  Monitoring the pandemic: A fractional filter for the COVID-19 contact rate
  A1610:  C.D. Kim, N. Bedorf
  Predicting housing sale prices in Germany by applying machine learning models and methods of data exploration
Session CG109 Room: K0.18 (Hybrid 03)
Contributions in credit risk Monday 20.12.2021   10:00 - 11:15
Chair: Massimiliano Caporin Organizer: CFE
  A0502:  P. Brakatsoulas
  Credit rating downgrade risk on equity returns
  A1665:  C. Erlwein-Sayer, S. Grimm, A. Pieper, R. Alsac
  Forecasting corporate credit spreads: Regime-switching in LSTM
  A1603:  N. Urban, M. Hibbeln, R. Kopp
  Credit risk modeling in the age of machine learning
Parallel session Q: CMStatistics Monday 20.12.2021 14:45 - 16:25

Session EO400 Room: Virtual R18
Recent advances in large scale estimation and testing Monday 20.12.2021   14:45 - 16:25
Chair: Trambak Banerjee Organizer: Trambak Banerjee
  B0210:  S. Parsaeian
  Structural breaks in seemingly unrelated regression models
  B0294:  B. Sherwood
  Computationally efficient penalized quantile regression
  B0467:  E. Demirkaya, Y. Fan, J. Lv
  Nonuniformity of p-values can occur early in diverging dimensions
  B1031:  P. Basu
  Empirical Bayes control of the false discovery exceedance
Session EO062 Room: Virtual R20
Recent advances in biostatistics Monday 20.12.2021   14:45 - 16:25
Chair: Reza Drikvandi Organizer: Reza Drikvandi
  B0259:  G. Verbeke
  How to correct for baseline covariates in longitudinal clinical trials
  B0305:  J. Einbeck, A. Errington, J. Cumming, P. Wilson
  Disentangling zero-inflation from overdispersion in statistical biodosimetry
  B0985:  M. De Iorio
  Seemingly unrelated multi-state processes: A Bayesian semiparametric approach
  B1771:  R. Drikvandi
  Diagnostic tools for random effects in general mixed models
Session EO312 Room: Virtual R21
Statistical joint modeling with longitudinal and survival data Monday 20.12.2021   14:45 - 16:25
Chair: Ding Chen Organizer: Din Chen
  B0240:  J. Van Niekerk
  Competing risks joint model and other complex survival models using R-INLA
  B1132:  F. Gumedze
  Robust joint modelling of longitudinal data and survival data: Detection and downweighting of longitudinal measurements
  B1368:  Z. Li
  Joint modeling in presence of informative censoring in palliative care studies
  B1600:  M. Shojaei Shahrokhabadi, D. Chen
  Fitting marginalized two- part joint models to semi-continuous medical cost and survival from complex surveys
Session EO416 Room: Virtual R22
Bayesian nonparametric methods in classification problems Monday 20.12.2021   14:45 - 16:25
Chair: Ramses Mena Organizer: Ramses Mena
  B0401:  S. Wade
  Bayesian scalar-on-image regression for automatically detected of regions of interest
  B0396:  J.A. Perusquia Cortes, J. Griffin, C. Villa
  On a novel Bayesian nonparametric approach to supervised learning for binary data
  B0442:  L. Gutierrez
  On a Dirichlet process mixture representation of phase-type distributions
  B0927:  T. Rigon, D. Dunson, A. Zito, O. Ovaskainen
  Bayesian modelling of sequential discoveries
Session EO194 Room: Virtual R23
Advances in Bayesian methodology Monday 20.12.2021   14:45 - 16:25
Chair: Victor Pena Organizer: Victor Pena
  B0246:  C. Li
  Bayesian fixed-domain asymptotics for covariance parameters in Gaussian process models
  B0550:  A. Barrientos, V. Pena
  Differentially private methods for managing model uncertainty in linear regression models
  B0834:  K. Irie, V. Pena
  On the conjugate multivariate stochastic volatility processes
  B1698:  M. Gu
  Marginalization of latent variables for correlated data
Session EO202 Room: Virtual R24
Simultaneous sufficient dimension reduction and variable selection Monday 20.12.2021   14:45 - 16:25
Chair: Qingcong Yuan Organizer: Chenlu Ke
  B0315:  J. Weng
  Fourier transform sparse inverse regression estimators for sufficient variable selection
  B0459:  P. Wang
  Sufficient dimension reduction and variable selection by feature filter
  B0713:  C. Ye, J. Ding, R. Ghanadan
  Meta clustering for collaborative learning
  B1128:  S. Ding, W. Qian, L. Wang
  A unified framework to high dimensional sufficient dimension reduction with applications to censored data
Session EO092 Room: Virtual R25
Copulas and dependence modelling I Monday 20.12.2021   14:45 - 16:25
Chair: Piotr Jaworski Organizer: Piotr Jaworski
  B0568:  M. Manstavicius, E. Gutauskaite
  Multivariate dependence measures revisited
  B0649:  M. Waltz, O. Okhrin, S. Trimborn
  Goodness-of-fit tests for copulae: gofCopula
  B0656:  J. Gorecki
  Pairwise likelihood estimation for copulas with tractable bivariate margins
  B0762:  P. Jaworski
  On copulas of a Wiener process and its running maxima and running minima processes
Session EO070 Room: Virtual R26
Recent developments in respondent-driven sampling Monday 20.12.2021   14:45 - 16:25
Chair: Erica Moodie Organizer: Erica Moodie
  B0458:  F. Crawford
  Learning about network features from respondent-driven sampling data
  B0545:  M. Rotondi, L. Avery
  Regression Modelling for Respondent-Driven Sampling
  B0877:  M. Yauck, E. Moodie, M. Hudgens
  Identifiability in regression methods for respondent-driven sampling
  B0990:  K. Gile
  Clustering network tree data from respondent-driven sampling
Session EO396 Room: Virtual R27
Advances in functional data analysis Monday 20.12.2021   14:45 - 16:25
Chair: Marzia Cremona Organizer: Marzia Cremona
  B0670:  A. Srivastava
  Statistical shape analysis of complex networks of curves
  B0582:  A. Pini, N. Lundtorp Olsen, S. Vantini
  False discovery rate for functional data
  B0764:  M. Carey, J. Ramsay
  Data-driven identification of dynamical systems
  B0818:  F. Chiaromonte, M. Cremona, T. Boschi, J. DiIorio, L. Testa
  Functional data analysis characterizes the shapes of the COVID-19 epidemic in Italy
Session EO402 Room: Virtual R28
Bayesian methods in structured data and high-dimensional problems Monday 20.12.2021   14:45 - 16:25
Chair: Nilabja Guha Organizer: Nilabja Guha
  B0562:  A. Roy
  Nonparametric group variable selection with multivariate response for connectome-based prediction of cognitive scores
  B1304:  J. Datta
  Shrinkage on simplex: Bayesian inference for sparse and structured compositional data
  B1378:  A. Sarkar
  Bayesian semiparametric longitudinal functional mixed models with locally informative predictors
  B1386:  D. Pati, S. Dasgupta, B. Mallick, P. Ghosh
  An approximate Bayesian approach to covariate dependent graphical modeling
Session EO487 Room: Virtual R29
Statistical methods for high-dimensional and dependent data Monday 20.12.2021   14:45 - 16:25
Chair: Yumou Qiu Organizer: Yumou Qiu
  B1266:  Y. Qiu
  Inference on multi-level partial correlations based on multi-subject time series data
  B1334:  S. Zhang, S.X. Chen, Y. Qiu
  Two-sample mean test for high-dimensional time series
  B1374:  L. Wang, S. Yu, R. Plazola-Ortiz, Y. Li
  Forward selection in ultra-high dimensional functional concurrent models with applications to functional GWAS
  B1440:  X. Li, S. Yu, Y. Wang, G. Wang, L. Wang
  A new smoothing method for 3D imaging data: Efficiency vs. accuracy
Session EO527 Room: Virtual R30
Current developments in imaging data analysis Monday 20.12.2021   14:45 - 16:25
Chair: Zhengwu Zhang Organizer: Tingting Zhang
  B0307:  Y. Zhao
  Genetic underpinnings of brain structural connectome for young adults
  B1183:  A. Zhang
  Optimal generalized tensor estimation with applications to 4D-STEM image denoising
  B1209:  S. Bruce, P. Bagchi
  Adaptive frequency band analysis for functional time series
  B1442:  S. Yu, G. Wang, L. Gao, L. Wang
  Big imaging data learning: A parallel solution
Session EO134 Room: Virtual R31
High-dimensional inference in generalized linear models Monday 20.12.2021   14:45 - 16:25
Chair: Fadoua Mohr Organizer: Fadoua Mohr
  B1144:  R. Dai, C. Zheng
  Post-selection inference on high-dimensional varying-coefficient generalized linear models
  B1452:  Z. Guo
  Inference for the case probability in high-dimensional logistic regression
  B1736:  A. Carpentier, E. Pilliat, N. Verzelen
  Optimal ranking in crowdsourcing
  B1739:  M. Banerjee
  Inference in high-dimensional single-index models under symmetric designs
Session EO657 Room: Virtual R34
Advances in the analysis of quantiles, expectiles and extremiles Monday 20.12.2021   14:45 - 16:25
Chair: Abdelaati Daouia Organizer: Abdelaati Daouia
  B0977:  Y. Abbas
  Extreme expectile regression in heavy-tailed regression models
  B0931:  F. Bellini, T. Fadina, R. Wang, Y. Wei
  Parametric measures of variability induced by risk measures
  B0765:  S. Girard, E. Gobet
  Estimation of the largest tail-index and extreme quantiles from a mixture of heavy-tailed distributions
  B0886:  G. Stupfler, A. Daouia, I. Gijbels
  Extremile regression
Session EO834 Room: Virtual R36
New challenges on change-point detection (virtual) Monday 20.12.2021   14:45 - 16:25
Chair: Andreas Anastasiou Organizer: Andreas Anastasiou
  B0468:  A. Kostic, P. Fryzlewicz
  Change point ideas in multiple testing: Estimating the proportion of false null hypotheses
  B0606:  M. Gong, R. Killick, C. Nemeth
  A changepoint approach to modelling soil moisture dynamics
  B1105:  X. Fang
  Detection and estimation of local signals
  B1137:  I. Cribben
  Novel network change point methods
Session EO376 Room: Virtual R37
Time space models: Events at random beyond Gaussianity II Monday 20.12.2021   14:45 - 16:25
Chair: Anastassia Baxevani Organizer: Anastassia Baxevani
  B1541:  H. Bengtsson
  Exceedance time distributions through the clipped Slepian process
  B1544:  M. Kratz, E. Prokopenko
  Multi-normex distributions
  B1562:  O. Ottmar Cronie
  Statistical learning for general point processes
  B1735:  T. Kozubowski, M. Ohemeng
  Normal Pareto distributions: Theoretical framework and computational issues
Session EO122 Room: Virtual R39
Recent advancements in causal inference Monday 20.12.2021   14:45 - 16:25
Chair: Joseph Antonelli Organizer: Joseph Antonelli
  B0800:  Z. Branson
  Randomization tests for assessing covariate balance when designing and analyzing matched datasets
  B1000:  N. Pfister
  Statistical testing under distributional shifts: Applications in causal inference
  B1068:  C. Miles
  On the causal interpretation of randomized interventional indirect effects
  B1722:  R. Nethery
  Integrated causal-predictive machine learning models for tropical cyclone epidemiology
Session EO296 Room: K0.16 (Hybrid 02)
Advances in Bayesian methods and applications Monday 20.12.2021   14:45 - 16:25
Chair: David Rossell Organizer: David Rossell
  B0540:  Y. Ni
  Bayesian causal graphical models with purely observational data
  B1178:  A. Avalos Pacheco, D. Rossell, S. Ventz, L. Trippa
  Leveraging external data in Bayesian adaptive platform designs
  B1240:  J. Jewson
  Bayesian learning from synthetic data
  B1335:  F. Rotiroti, C. Carvalho, J. Murray
  Time-varying non-linear predictions of asset returns
Session EO226 Room: K0.19 (Hybrid 04)
Statistics in neuroscience I Monday 20.12.2021   14:45 - 16:25
Chair: Jeff Goldsmith Organizer: Jeff Goldsmith
  B1093:  Y. Guo, Y. Wang
  A sparse blind source separation method for probing human whole-brain connectomes
  B1328:  T. Garcia, R. Kim, M. Pourahmadi
  Maximum likelihood estimation of a covariance matrix with thresholding: Application to Huntington disease
  B1525:  J. Goldsmith, A. Garcia de la Garza, B. Sauerbrei, A. Hantman
  Adaptive functional principal component analysis
  B0680:  S. Vandekar
  A robust measure of effect size for neuroimage analysis
Session EO792 Room: K0.20 (Hybrid 05)
Dynamical systems in machine learning Monday 20.12.2021   14:45 - 16:25
Chair: Anna Korba Organizer: Anna Korba
  B0289:  A. Barakat, P. Bianchi, W. Hachem, S. Schechtman
  Stochastic optimization with momentum: Convergence, fluctuations, and traps avoidance
  B0732:  M. Sander, P. Ablin, M. Blondel, G. Peyre
  Momentum residual neural networks
  B0991:  P. Glaser, A. Gretton, M. Arbel
  KALE flow: A relaxed KL gradient flow for probabilities with disjoint support
  B1530:  N. Nuesken
  Stein optimal transport for Bayesian inference
Session EO318 Room: K0.50 (Hybrid 06)
Advances in optimal design of experiments I (virtual) Monday 20.12.2021   14:45 - 16:25
Chair: Stefanie Biedermann Organizer: Stefanie Biedermann
  B0788:  B. Parker, S. Gilmour, V. Koutra
  Design of experiments for autoregressive networks
  B0878:  H. Grossmann, S. Gilmour
  Partially orthogonal blocked three-level response surface designs
  B0932:  P. Goos, J. Nunez Ares, E. Schoen
  Orthogonal minimally aliased response surface designs with and without two-level categorical factors
  B0952:  J. Noonan
  Improving tests for missing-not-at-random using design of experiments
Session EO655 Room: K2.40 (Hybrid 08)
Mediation analysis for complex data structure (virtual) Monday 20.12.2021   14:45 - 16:25
Chair: Yeying Zhu Organizer: Yeying Zhu
  B0814:  X. Cai, Y. Zhu, Y. Huang, D. Ghosh
  Causal mediation analysis based on partial linear models
  B1030:  S. Vansteelandt, T.T. Vo
  Longitudinal mediation analysis of time-to-event endpoints based on natural effect models
  B1512:  L. Wang, Y. Zhu, R. Cook
  A doubly robust joint modelling approach of multiple uncausally correlated mediators
  B1707:  T. Lange
  Using the medflex package for (semi)high dimensional mediators and/or complex outcomes
Session EO756 Room: K2.31 Nash (Hybrid 07)
Multivariate and high dimensional time series Monday 20.12.2021   14:45 - 16:25
Chair: Sayar Karmakar Organizer: Sayar Karmakar
  B0416:  S. Deb, S. Sen
  A new classification method for multivariate time series data
  B0578:  D. Sen, D. Dunson
  Scalable Bayesian inference for time series via divide-and-conquer
  B0586:  L. Duan
  Bayesian vector autoregression using the tree rank prior
  B1444:  M. Xu
  A high dimensional Cramer-von Mises test
Session EC851 Room: K0.18 (Hybrid 03)
Contributions in methodological statistics II Monday 20.12.2021   14:45 - 16:25
Chair: Ingrid Van Keilegom Organizer: CFE-CMStatistics
  B1756:  K. Pericleous
  Estimating treatment effects on optimal row designs under dependence
  B1657:  L. Mavrogonatou, D. Robertson, S. Villar
  Optimal allocation strategies for blocked clinical trial designs with heterogeneous outcomes
  B1362:  J. Cai, I. Van Keilegom
  Mixed frontier estimation in the presence of measurement error with unknown variance
  B0506:  A. Quaini, F. Trojani
  A unifying convex analysis framework to inference for penalized least squares
Session EG065 Room: Virtual R33
Contributions in computational and methodological statistics Monday 20.12.2021   14:45 - 16:25
Chair: Qing Wang Organizer: CFE-CMStatistics
  B1666:  C. Perez-Gonzalez, A.J. Fernandez, V. Giner-Bosch, A. Carrion-Garcia
  Optimal repetitive reliability inspection of manufactured lots for lifetime models using prior information
  B0881:  J. Gerstenberg
  A general framework for ID-based data structures to derive erm-approaches for learning
  B1570:  Q. Wang, Y. Wei
  Quantifying uncertainty of subsampling-based ensemble methods under a U-statistic framework
  B1271:  D. Chakrabarty
  Forecasting by learning the evolution-driving function
Parallel session Q: CFE Monday 20.12.2021 14:45 - 16:25

Session CI880 (Special Invited Session) Room: K E. Safra (Multi-use 01)
Forecasting (virtual) Monday 20.12.2021   14:45 - 16:25
Chair: Michael Owyang Organizer: Michael Owyang
  A0190:  M. McCracken, A. Amburgey
  On the real time predictive content of financial conditions for growth
  A0194:  A. Galvao, M. McCracken, M. Owyang
  Forecasting sovereign defaults
  A0195:  M. Owyang
  Asymmetric loss and breakeven inflation forecasts
Session CO278 Room: Virtual R32
Tracking the economy with high dimensional methods Monday 20.12.2021   14:45 - 16:25
Chair: Scott Brave Organizer: Scott Brave, Andrew Butters
  A1130:  S. Brave
  Tracking U.S. consumers in real time with a new weekly index of retail trade
  A1131:  F. Huber, G. Koop
  Subspace shrinkage in conjugate Bayesian vector autoregressions
  A1201:  C. Foroni, A. Consolo, C. Martinez Hernandez
  A mixed frequency model for the euro area labour market
  A1522:  L. Mosley, I. Eckley, A. Gibberd
  Sparse temporal disaggregation
Session CO224 Room: Virtual R38
Spatial econometrics and statistics for micro-geographic data Monday 20.12.2021   14:45 - 16:25
Chair: Diego Giuliani Organizer: Diego Giuliani
  A0260:  D. De Silva, A. Slechten, M. Chen
  Director appointments, boardroom networks, and firm environmental performance
  A0261:  J. Dube, C. Brunelle, M. Aikous
  How highway expansion affect land use changes
  A0940:  B. Power, R. Geraldine, J. Doran
  The effect of agglomeration economies on firm deaths: A comparison of firm and regional based approaches
  A1058:  F. Santi, D. Giuliani, G. Espa, M.M. Dickson
  Fitting approaches of Cliff-Ord models to data affected by locational errors
Session CO665 Room: Virtual R40
Asset pricing I Monday 20.12.2021   14:45 - 16:25
Chair: Julien Penasse Organizer: Julien Penasse
  A1492:  J. Van Binsbergen
  Dynamic asset (mis)pricing: Build-up vs. resolution anomalies
  A1509:  A. Vedolin
  Model complexity, expectations, and asset prices
  A1559:  F. Trojani, A. Quaini
  Smart stochastic discout factors
  A0171:  J. Penasse
Session CC859 Room: K2.41 (Hybrid 09)
Contributions in financial econometrics II Monday 20.12.2021   14:45 - 16:25
Chair: Genevieve Gauthier Organizer: CFE
  A1283:  L. Catania
  The leverage effect and propagation
  A1289:  G. Bakalli, S. Guerrier, O. Scaillet
  A penalized two-pass regression to predict stock returns with time-varying risk premia
  A0426:  M. Klein
  Fiscal policy, international spillovers, and endogenous productivity
  A0269:  G. Gauthier, P. Francois, R. Galarneau-Vincent, F. Godin
  Venturing into unchartered territories: An extensible parametric implied volatility surface model
Session CG015 Room: Virtual R35
Contributions in machine learning for econometrics and finance Monday 20.12.2021   14:45 - 16:25
Chair: Marie Bessec Organizer: CFE
  A1538:  A. Babii, E. Ghysels
  Binary choice with asymmetric loss in a data-rich environment: theory and an application to racial justice
  A1360:  M. Bessec, J. Fouquau
  A green wave in media, a change of tack in stock markets
  A1383:  G. Anderson, A. Audzeyeva
  Predicting emerging market credit spreads with support vector regression: Exploiting ubiquitous local optima
  A0221:  K. Baur
  Real estate pricing and natural language processing: Improving price valuation using textual descriptions
Parallel session R: CMStatistics Monday 20.12.2021 16:55 - 18:35

Session EO100 Room: Virtual R18
Statistical methods for provider profiling Monday 20.12.2021   16:55 - 18:35
Chair: Michael Daniels Organizer: Sebastien Haneuse
  B0475:  S. Paddock, J. Adams, J. Hwang
  Defining and estimating reliability in hierarchical logistic regression models for health care provider profiling
  B0610:  D. Nguyen
  High-dimensional fixed effects profiling models: New developments and applications
  B1154:  K. He
  Individualized empirical null for profiling healthcare providers
  B1480:  R. Groenwold
  Quantitative bias analysis for provider profiling and practice variation studies
Session EO072 Room: Virtual R20
Statistical methods for contemporary business application Monday 20.12.2021   16:55 - 18:35
Chair: Gourab Mukherjee Organizer: Gourab Mukherjee
  B1200:  S. Siddarth, B. Karmakar, O. Kwon, G. Mukherjee
  A Bayesian structural uncertainty model to target rebates to consumers with correlated preferences
  B1211:  B. Karmakar, O. Kwon, G. Mukherjee, S. Siddarth, J. Silva-Risso
  Understanding early adoption of hybrid cars via a new multinomial probit model with multiple spatial weights
  B1294:  G. Mukherjee
  A large-scale mixed joint modeling approach for efficient digital coupon marketing
  B1507:  K. Basu
  Achieving fairness via post-processing in web-scale recommender systems
Session EO535 Room: Virtual R22
Bayesian nonparametrics: Modeling and computation Monday 20.12.2021   16:55 - 18:35
Chair: Federico Camerlenghi Organizer: Federico Camerlenghi
  B0390:  M. Beraha, L. Ghilotti, A. Guglielmi
  Repulsive mixture models: Modelling and computations, with applications to high-dimensional data
  B0424:  G. Rebaudo, P. Mueller
  Gibbs-type random partition aligned on a graph: Application to single-cell RNA data
  B0594:  L. Masoero, T. Broderick, S. Favaro, F. Camerlenghi
  More for less: Predicting and maximizing genetic variant discovery via bayesian nonparametrics
  B0895:  Y. Xu
  A Bayesian nonparametric approach for inferring drug combination effects on mental health in people with HIV
Session EO360 Room: Virtual R23
Causal inference in the era of data science Monday 20.12.2021   16:55 - 18:35
Chair: Alessandra Mattei Organizer: Alessandra Mattei
  B0474:  C. Zigler, M. Tec
  Adjusting for nonlocal spatial confounding with U-nets in studies of meteorology and air pollution
  B0768:  M. Lupparelli, A. Mattei
  Relative-risk scale effects in mediation analysis
  B1678:  F. Mealli
  Estimand strategies for RCTs with intercurrent events
  B1694:  F.J. Bargagli Stoffi
  Data-driven heterogeneity detection among subgroup-specific exposure-response functions
Session EO308 Room: Virtual R24
High dimensional tensor regression Monday 20.12.2021   16:55 - 18:35
Chair: Fei Jiang Organizer: Fei Jiang
  B0472:  D. Kong
  Covariance estimation for matrix-valued data
  B0481:  G. Li
  High-dimensional tensor autoregression
  B1437:  B. Wang, Q. Mai
  A unified framework and fast computation for large-margin tensor classifiers
  B0417:  W. Shen
  Bayesian inference for matrix-valued data
Session EO102 Room: Virtual R25
Copulas and dependence modelling II Monday 20.12.2021   16:55 - 18:35
Chair: Piotr Jaworski Organizer: Piotr Jaworski
  B0904:  J. Neslehova, A. Alexander John McNeil, A. Smith
  On attainability of Kendall's tau matrices and concordance signatures
  B1047:  I. Gijbels, M. Matterne
  Conditional copulas: Mean, median and quantiles
  B1038:  E. de Amo
  Algorithms for constructing copulas via *-product decompositions
  B1139:  C. Ignazzi, F. Durante, P. Jaworski
  On left truncation invariant limit distributions under low threshold
Session EO426 Room: Virtual R26
Statistical aspects of measurement and psychometrics Monday 20.12.2021   16:55 - 18:35
Chair: Daphna Harel Organizer: Daphna Harel
  B0536:  D. Harel
  Using optimal test assembly to shorten patient reported outcome measures
  B0605:  C. Falk, M.J. Ilagan
  On the detection of bots in online surveys
  B0691:  C. Parlett, E. Linstead, S. Jaeggi, G. Lin
  Applications of Bayesian item response theory
  B0736:  E. Buchanan
  Using computer adaptive testing to improve migraine outcomes
Session EO649 Room: Virtual R27
Statistical learning and inference on complex data structures Monday 20.12.2021   16:55 - 18:35
Chair: Tianxi Li Organizer: Tianxi Li
  B0867:  J. Cape
  Spectral analysis of networks with latent space dynamics and signs
  B1145:  S. Paul
  Modeling continuous-time networks of relational events
  B1205:  E.J. Zhang
  High Dimensional Gaussian Graphical Regression Models with Covariates
  B1388:  G. Yu
  Reluctant interaction modeling in GLMs
Session EO659 Room: Virtual R28
Bayesian methods in causal inference Monday 20.12.2021   16:55 - 18:35
Chair: Chanmin Kim Organizer: Chanmin Kim
  B0440:  L. Hu, J. Ji, J. Hogan
  Bayesian machine learning for causal inference with multiple treatments and multilevel censored survival outcomes
  B0596:  J. Roy, N. Mitra, Y. Zhu
  The impact of positivity assumption on causal inference using Bayesian nonparametric methods
  B0639:  P. Mueller
  A nonparametric Bayesian model-based construction of synthetic treatment arms in a clinical study
  B1052:  C. Krantsevich, R. Hahn
  Imputing biomarkers from cognitive assessments: combating covariate shift by assuming causal stationarity
Session EO424 Room: Virtual R29
Advances on Bayesian computation and its apllications Monday 20.12.2021   16:55 - 18:35
Chair: Brenda Betancourt Organizer: Brenda Betancourt
  B0382:  E. Aliverti
  Stratified stochastic variational inference for network factor models
  B0553:  J. Park
  Sampling from multimodal target distributions using tempered Hamiltonian transitions
  B0699:  S. Srivastava
  Divide-and-conquer Bayesian inference in hidden Markov models
  B1380:  I. Taylor, A. Kaplan, B. Betancourt
  A Bayesian approach to streaming multi-file record linkage
Session EO571 Room: Virtual R30
Applied statistical learning Monday 20.12.2021   16:55 - 18:35
Chair: Abbas Khalili Organizer: Alejandro Murua
  B0560:  M. Zhu, M. Hofert, A. Prasad
  Making probabilistic predictions in multi-response regression problems
  B0690:  M. Belbahri, O. Gandouet
  A twin neural model for causal inference: Applications in python
  B1385:  A. Khalili, T. Manole
  Estimating the number of components in finite mixture models via the group-sort-fuse procedure
  B1460:  J.-F. Plante
  Data challenges in applied AI projects: A few stories
Session EO724 Room: Virtual R31
New applications and directions in state space modeling Monday 20.12.2021   16:55 - 18:35
Chair: Daniel McDonald Organizer: Daniel McDonald
  B1499:  M. Auger-Methe
  State-space models in ecology: Opportunities and challenges
  B1527:  D. Degras, H. Ombao, C.M. Ting
  Markov-switching state-space models with applications to neuroimaging
  B0551:  D. McDonald
  Markov-switching State Space models for uncovering musical interpretation
  B1703:  L. Brooks
  State-space epidemiological compartmental models: Approximations, control, forecasting, and real-world complications
Session EO497 Room: Virtual R35
Advances in statistical learning and inference with robust insights Monday 20.12.2021   16:55 - 18:35
Chair: Zhao Ren Organizer: Zhao Ren
  B0378:  A.Y. Zhang
  Uncertainty quantification in the Bradley-Terry-Luce model
  B1278:  W. Zhou, Y. Song, W. Zhou
  Large-scale inference of multivariate regression for heavy-tailed and asymmetric data
  B1300:  W. Zhou, K.M. Tan, L. Wang
  Conquer: Convolution-smoothed quantile regression
  B1302:  K.M. Tan, R. Man, Z. Wang, W. Zhou
  Retire: Robustified expectile regression in high dimensions
Session EO088 Room: Virtual R36
Causal inference in the presence of competing events Monday 20.12.2021   16:55 - 18:35
Chair: Daniel Nevo Organizer: Daniel Nevo
  B0430:  M. Schnitzer, S. Ferreira Guerra, C. Longo, L. Blais, R. Platt
  Estimating gestational age-specific exposure effects during pregnancy with observational data: A target trials approach
  B0531:  T. Martinussen
  Separable direct and indirect effects in a competing risk setting
  B0915:  D. Nevo, A. Sasson
  The subtype-free average causal effect for disease heterogeneity studies
  B1232:  M. Stensrud
  Causal inference when resources are constrained
Session EO846 Room: Virtual R37
Time space models: Events at random beyond Gaussianity I Monday 20.12.2021   16:55 - 18:35
Chair: Krzysztof Podgorski Organizer: Krzysztof Podgorski
  B0846:  F. Javed, K. Podgorski
  Volatility leverage and non-Gaussian shocks
  B1535:  A. Baxevani, K. Podgorski
  Signals featuring harmonics with random frequencies: Spectral, distributional and ergodic properties
  B1564:  A. de Bustamante Simas, D. Bolin, J. Wallin
  Estimation of parameters of elliptic SPDE models driven by non-Gaussian white noise
  B1740:  A. Panorska, F. Zuniga, A. Weyant, I. Vinci, A. Gershunov, T. Kozubowski
  Multivariate model of precipitation events in California: The role of atmospheric rivers, topography, and climate change
Session EO124 Room: K0.16 (Hybrid 02)
Advances in the analysis of dependent functional data structures (virtual) Monday 20.12.2021   16:55 - 18:35
Chair: Anne van Delft Organizer: Anne van Delft
  B0466:  D. Kowal, A. Canale
  Semiparametric functional factor models with Bayesian Rank Selection
  B0654:  S. Hoermann, G. Rice, T. Kuenzer
  Estimating the conditional distribution in functional regression problems
  B0662:  A. Caponera, J. Fageot, M. Simeoni, V. Panaretos
  Sparsely observed functional data on the sphere
  B0910:  A. El Yaagoubi Bourakna, H. Ombao, M.K. Chung
  Persistence surfaces: A new frequency specific topological summary for time series dependence structure
Session EO446 Room: K0.18 (Hybrid 03)
Recent advances in Bayesian modelling Monday 20.12.2021   16:55 - 18:35
Chair: Bruno Santos Organizer: Bruno Santos
  B0794:  I. Marques, P. Wiemann, T. Kneib
  Spatial multi-resolution model for forestry data
  B0924:  J. Lichter, P. Wiemann, T. Kneib
  Semi-implicit variational inference in additive models
  B1363:  A. Rodrigues, P. Borges, B. Santos
  A defective cure rate quantile regression model for a maternal population with severe COVID-19
  B1285:  B. Santos, A. Rodrigues, T. Kneib
  Growth curves for multiple-output response variables via Bayesian quantile regression models
Session EO228 Room: K0.19 (Hybrid 04)
Statistics in neuroscience II Monday 20.12.2021   16:55 - 18:35
Chair: Russell Shinohara Organizer: Russell Shinohara
  B0230:  K. Linn, R. Shinohara, J. Beer
  Longitudinal ComBat: A method for harmonizing longitudinal multi-scanner imaging data
  B1049:  H. Shou, A. Chen, R. Shinohara
  Statistical harmonization for the neuroimaging data with complex data distributions
  B1446:  M. Fiecas
  Approximate hidden Semi-Markov models for dynamic connectivity analysis in resting-state fMRI
  B1708:  V. Baladandayuthapani
  Tumor radiogenomics in gliomas with Bayesian layered variable selection
Session EO238 Room: K0.50 (Hybrid 06)
Analysis of data from wearable devices (virtual) Monday 20.12.2021   16:55 - 18:35
Chair: Jaroslaw Harezlak Organizer: Jaroslaw Harezlak
  B0614:  C. Tekwe
  Estimation of sparse functional quantile regression with measurement error: A SIMEX approach
  B0412:  L. Natarajan
  Modeling accelerometer-based physical activity
  B0842:  E. Smirnova
  Functional survey weighted modeling to associate physical activity and non-alcoholic fatty liver disease
  B1023:  J. Bai, J. Bai, Y. Sun, J. Schrack, C. Crainiceanu, M.-C. Wang
  A two-stage model for wearable device data
Session EO302 Room: K2.40 (Hybrid 08)
Bayesian design of experiments (virtual) Monday 20.12.2021   16:55 - 18:35
Chair: Tim Waite Organizer: Tim Waite
  B0421:  D. Woods
  Design of experiments with functional independent variables
  B0441:  R.D. McMichael
  A python package for Bayesian experiment design and is application in physics experiments
  B1458:  A. Foster
  Deep adaptive design: Amortizing sequential Bayesian experimental design
Session EO886 Room: K2.41 (Hybrid 09)
Statistical genetics and the host genetics of COVID-19 Monday 20.12.2021   16:55 - 18:35
Chair: Lloyd Elliott Organizer: Lloyd Elliott, Elika Garg
  B1206:  A. Auton
  Participant powered research: Using direct to consumer genetic testing to help us understand COVID-19 host genetics.
  B1265:  A. Ganna
  Genetic associations from the COVID-19 Host Genetics Initiative highlight biology behind severity and susceptibility
  B1430:  L. Sun, B. Chen, R. Craiu, W. Deng, L. Elliott, E. Garg, A. Paterson, L. Strug, Z. Wang, L. Zhang
  Advances and challenges in X chromosome-aware whole genome genetic studies
  B1695:  B. Richards
  A Neanderthal OAS1 isoform protects individuals of European ancestry against COVID-19 susceptibility and severity
Session EO840 Room: K2.31 Nash (Hybrid 07)
New developments on time series models (virtual) Monday 20.12.2021   16:55 - 18:35
Chair: Israel Martinez-Hernandez Organizer: Israel Martinez-Hernandez
  B0409:  C. Euan
  Statistical analysis of multi-day solar irradiance using a threshold time series model
  B0415:  S. Das, M. Genton
  Cyclostationary processes with evolving periods and amplitudes
  B0419:  R. Killick
  Micro-macro changepoint inference for periodic data sequences
  B1481:  R. Sundararajan
  Factor modeling of multivariate time series: A frequency components approach
Session EC854 Room: K0.20 (Hybrid 05)
Methodological statistics and biostatistics (virtual) Monday 20.12.2021   16:55 - 18:35
Chair: Maria Brigida Ferraro Organizer: CFE-CMStatistics
  B1641:  J. Gonzalez-Delgado, A. Gonzalez Sanz, P. Neuvial, J. Cortes
  Goodness-of-fit tests on the flat torus based on Wasserstein distance and their relevance to structural biology
  B0229:  D. Tu, B. Mahony, M. Bertolero, A. Alexander-Bloch, T. Satterthwaite, D. Bassett, A. Raznahan, R. Shinohara
  CoCoA: A conditional correlation model with association size
  B1108:  M. Qasim
  A Stein-type shrinkage limited information maximum likelihood estimator
Session EC852 Room: K E. Safra (Multi-use 01)
Computational statistics and machine learning (hybrid) Monday 20.12.2021   16:55 - 18:35
Chair: Stanislav Nagy Organizer: CFE-CMStatistics
  B1770:  W. Li
  A stochastic approximation approach for parametric inference of intractable likelihood models
  B1165:  S. Nagy, R. Dyckerhoff, P. Laketa
  Fast computation of the angular halfspace depth
  B1601:  T. Besbeas
  Fitting higher order state-space models using hidden Markov methodology
  B1020:  M. Caprio, S. Mukherjee
  Concentration inequalities, optimal number of layers and classification fallacy of a stochastic neural network
Parallel session R: CFE Monday 20.12.2021 16:55 - 18:35

Session CO464 Room: Virtual R21
Portfolio selection with parameter uncertainty Monday 20.12.2021   16:55 - 18:35
Chair: Nathan Lassance Organizer: Nathan Lassance
  A0286:  L. Wang, C. Hafner
  Dynamic portfolio selection with sector-specific regularization
  A0327:  N. Lassance, A. Martin-Utrera, M. Simaan
  A robust approach to optimal portfolio choice with parameter uncertainty
  A1305:  A. Weissensteiner, T. Dangl, L. Garlappi
  Ambiguity, learning, and equilibrium portfolio flows
  A1204:  G. Zhou, M. Yuan
  Why naive diversification is not naive, and how to improve it
Session CO204 Room: Virtual R32
Uncertainty and model selection in finance Monday 20.12.2021   16:55 - 18:35
Chair: Mohammad Jahan-Parvar Organizer: Mohammad Jahan-Parvar
  A0243:  A. Andrew Detzel, M. Velikov, R. Novy-Marx
  Model comparison with transaction costs
  A0276:  C. Sarisoy, D. Cascaldi-Garcia
  Medium- and long-term interest rate uncertainty
  A0355:  S. Rosen
  Adding fuel to the fire sales: Banks, capital regulation, and systemic risk
  A0488:  M. Jahan-Parvar, Y. Kitsul, B.A. Wilson, J. Rahman
  Foreign economic policy uncertainty and the U.S. equity returns
Session CO573 Room: Virtual R33
Financial modelling and forecasting Monday 20.12.2021   16:55 - 18:35
Chair: Ekaterini Panopoulou Organizer: Ekaterini Panopoulou
  A0275:  N. Voukelatos
  The informational content of implied correlation
  A0828:  J. Oberoi, D. Andrews
  Structuring and pricing home equity release with alternative sharing of house price risks
  A0859:  E. Bersimi, E. Panopoulou, N. Voukelatos
  The risk parity approach and fund of hedge funds
  A1214:  E. Panopoulou, A. Alexandridis
  Denoising the equity premium: A wavelet quantile approach
Session CO172 Room: Virtual R34
Inflation dynamics Monday 20.12.2021   16:55 - 18:35
Chair: Edward Knotek Organizer: Edward Knotek
  A0608:  M. Klepacz, R. Schoenle, G.H. Hong, E. Pasten
  The real effects of monetary shocks: Evidence from micro pricing moments
  A0784:  C. Conflitti, M. Bottone, M. Riggi, A. Tagliabracci
  Firms inflation expectations and pricing strategies during COVID-19
  A1261:  O. Kryvtsov, A. Cavallo
  What can stockouts tell about inflation: Evidence from online micro data
  A0535:  E. Knotek
  The effects of price endings on price rigidity: Evidence from VAT changes
Session CO468 Room: Virtual R38
Machine learning techniques, climate change and portfolio selection Monday 20.12.2021   16:55 - 18:35
Chair: Jose Olmo Organizer: Jose Olmo
  A0623:  J. Gonzalo, L. Gadea
  Long-term climate forecasts: A future heterogenous warming
  A0598:  J. Olmo, M. Sanso-Navarro
  A network regression model with an estimated interaction matrix
  A0602:  H. Calvo-Pardo, T. Mancini, J. Olmo
  Machine learning the carbon footprint of Bitcoin mining
  A0678:  A. Taamouti, W. Lin
  Portfolio selection under systemic risk: A QRNN-based approach
Session CO180 Room: Virtual R39
Robustness in time series Monday 20.12.2021   16:55 - 18:35
Chair: Pascal Bondon Organizer: Pascal Bondon, Valderio Anselmo Reisen
  A1260:  Y. Li, L. Giraitis
  Robust testing for correlation in a non-i.i.d. setting
  A1268:  L.K. Hotta, J.S. Diniz, E.G. Pinheiro, C. Trucios
  Robust estimation of volatility models in the presence of additive outliers
  A1338:  S. Taskinen, K. Nordhausen, D. Tyler
  Blind source separation based on M autocovariance matrices
  A1320:  P. Bondon, I. Danilevicz, V.A. Reisen, F. Sarquis
  A robust longitudinal study of the influence of air pollutants on children
Session CO694 Room: Virtual R40
Asset pricing II Monday 20.12.2021   16:55 - 18:35
Chair: Benjamin Holcblat Organizer: Benjamin Holcblat
  A1625:  L. Calvet, S. Betermier, S. Knupfer, J. Kverner
  What do the portfolios of individual investors reveal about the cross-section of equity returns
  A1511:  N. Boyarchenko
  Measuring corporate bond market dislocations
  A1510:  S. Giglio
  Test assets and weak factors
  A0166:  B. Holcblat