Keynote talk 1 Saturday 16.12.2017 08:40 - 09:30 Room: Beveridge Hall
Piecewise deterministic Markov chain Monte Carlo for Bayesian computation
Speaker: A. Doucet  Co-authors: A. Bouchard, G. Deligiannidis Chair: Michele Guindani
Keynote talk 2 Saturday 16.12.2017 10:05 - 10:55 Room: Beveridge Hall
Identification and estimation of dynamic causal effects in macroeconomics
Speaker: M.W. Watson  Co-authors: J.H. Stock Chair: Gael Martin
Keynote talk 3 Sunday 17.12.2017 18:25 - 19:15 Room: Beveridge Hall
Tests of policy ineffectiveness
Speaker: R. Smith   Chair: Jeroen Rombouts
Keynote talk 4 Monday 18.12.2017 14:25 - 15:15 Room: Beveridge Hall
Model-free prediction and regression
Speaker: D. Politis   Chair: Alessandra Amendola
Keynote talk 5 Monday 18.12.2017 17:10 - 18:00 Room: Beveridge Hall
Linear stochastic models in discrete and continuous time
Speaker: S. Pollock   Chair: Berc Rustem


Parallel session B: CMStatistics2017 Saturday 16.12.2017 09:40 - 10:55

Session EO344 Room: CLO B01
Bayesian analysis Saturday 16.12.2017   09:40 - 10:55
Chair: Miguel de Carvalho Organizer: Miguel de Carvalho
  E0660:  B. Barney, G. Page, L. Lawson, R. Clark, M. de Carvalho
  Bayesian estimation of a time-varying bivariate distribution from censored data
  E0653:  V. Inacio, A. Branscum
  Bayesian nonparametric inference for the three-class Youden index and its associated optimal cut-points
  E1015:  C. Vallejos
  BASiCS: Vertical and horizontal data integration for noisy single-cell expression data
Session EO583 Room: Bloomsbury
Complex data modeling and computational methods Saturday 16.12.2017   09:40 - 10:55
Chair: Mauricio Castro Organizer: Mauricio Castro
  E0195:  V. Lourenco, V. Inacio, M. de Carvalho
  Robust inference for ROC regression
  E0531:  T.-I. Lin, W.-L. Wang, M. Castro
  Mixtures of common factor analyzers based on the restricted multivariate skew-t distribution
  E0565:  W.-L. Wang, T.-I. Lin, V.H. Lachos Davila
  Multivariate-t linear mixed models for multiple repeated measures with censored data
Session EO486 Room: Chancellor's Hall
Multi-dimensional modeling techniques for brain imaging data Saturday 16.12.2017   09:40 - 10:55
Chair: Damla Senturk Organizer: Damla Senturk
  E0897:  H. Zhou
  A simple algorithm for molecular reconstruction from cryo-electron microscopy
  E1525:  M. Guindani
  A Bayesian approach for multi-subject effective connectivity inference using multi-modal neuroimaging data
  E1862:  R. Krafty
  Localized multivariate FPCA for analyzing dynamic coupling of the heart and brain
Session EO483 Room: Court
Statistical modelling of climate change and weather events Saturday 16.12.2017   09:40 - 10:55
Chair: Michael Wiper Organizer: Michael Wiper
  E0851:  M. Gomez, C. Ausin, C. Dominguez
  Hierarchical vine copula models for the analysis of glacier discharge
  E1020:  A. Justel, L. Fernandez Piana, J. Rodriguez-Puerta, M. Svarc, S. Gonzalez
  Cluster of trajectories of airborne microorganisms susceptible to colonize Antarctic soils in a climate change scenario
  E0850:  M. Wiper, C. Ausin, A. Sarhadi
  Time-varying nonstationary multivariate risk analysis using a dynamic Bayesian copula
Session EO340 Room: G11
New methods for high-dimensional data Saturday 16.12.2017   09:40 - 10:55
Chair: Ming-Yen Cheng Organizer: Ming-Yen Cheng
  E0723:  T. Yu, J. Qin, P. Li, H. Liu, B. Chen
  Using a monotone single-index model to stabilize the propensity score in missing data problems and causal inference
  E1029:  Y. Zhu
  A group lasso-based method with its application to biomedical spectroscopic data
  E0232:  X. Dou
  An investigation of a generalized least squares estimator for non-linear time series models
Session EO746 Room: Gordon
Advances in clustering and representation models Saturday 16.12.2017   09:40 - 10:55
Chair: J Fernando Vera Organizer: Eva Boj, J Fernando Vera
  E1852:  E. Boj, J.F. Vera
  Cluster and structural equation multidimensional scaling for response and predictor spaces in distance-based regression
  E1853:  J.F. Vera
  Latent block distance-association model
  E1854:  T. Costa, E. Boj
  Weighted metric scaling in logistic classification
Session EO290 Room: CLO 101
Bayesian decision and risk Saturday 16.12.2017   09:40 - 10:55
Chair: Jacinto Martin Jimenez Organizer: Jacinto Martin Jimenez
  E0712:  E. Lopez Cano, J. Martinez Moguerza, A. Alonso Ayuso
  A decision model for combining energy storage technologies
  E1196:  J. Martin Jimenez, E.L. Sanjuan, M.I. Parra Arevalo
  Bayesian analysis of risk measures in finance
  E0951:  J.P. Arias-Nicolas, A. Suarez-Llorens
  Bayesian sensitivity analysis of the parameters of a GPD using distorted band classes
Session EO609 Room: CLO 102
Advances in statistical modelling: Theory and applications Saturday 16.12.2017   09:40 - 10:55
Chair: Inmaculada Barranco-Chamorro Organizer: Inmaculada Barranco-Chamorro
  E0684:  J. Mira, A. Sanjurjo de No, C. Gonzalez, B. Arenas
  Application of random forests and ANOVA techniques to the aggregate modeling of road accident time series in Spain
  E0877:  F. Prieto, J.M. Sarabia
  Modelling real phenomena with power law tail by the family of generalized power law distributions
  E0910:  I. Barranco-Chamorro
  Statistical tools to deal with off-diagonal elements in square asymmetric matrices obtained from spatial data
Session EO534 Room: Jessel
Recent developments in high-dimensional modeling, inference and computation Saturday 16.12.2017   09:40 - 10:55
Chair: Yun Yang Organizer: Yun Yang
  E1254:  Q. Mai
  An iterative penalized least squares approach to sparse canonical correlation analysis
  E1046:  W. Shen
  Bayesian model selection for semi-parametric models
  E0585:  W.W. Sun, B. Gaines, E. Chi, H. Zhou
  Convex tensor clustering with applications to online advertising
Session EO234 Room: Montague
Causal inference in high dimensional settings Saturday 16.12.2017   09:40 - 10:55
Chair: Jason Roy Organizer: Jason Roy
  E0673:  J. Antonelli, G. Parmigiani, F. Dominici
  High-dimensional confounding adjustment using continuous spike and slab priors
  E0786:  A. Ertefaie, Q. Zhao, D. Small
  Precision medicine in high dimensional settings
  E0796:  E. Kennedy
  Nonparametric causal effects based on incremental propensity score interventions
Session EO262 Room: Senate
Robust statistics Saturday 16.12.2017   09:40 - 10:55
Chair: Marco Riani Organizer: Marco Riani
  E1295:  R. Fried
  On robust change-point detection in time series
  E0834:  L.A. Garcia-Escudero, A. Mayo-Iscar, J. Ortega, D. Rivera Garcia
  A robust proposal for functional clustering via trimming and constraints
  E0748:  T. Verdonck, P. Segaert, S. Van Aelst
  Robust joint modeling of mean and dispersion for GLMs
Session EO061 Room: Woburn
Modern financial networks: From customers to institutions Saturday 16.12.2017   09:40 - 10:55
Chair: Ekaterina Smirnova Organizer: Yulia Gel, Vyacheslav Lyubchich
  E1316:  V. Lyubchich, Y. Chen, Y. Gel
  Social network analysis and deep learning for customer retention in retail banking
  E0929:  M. Oskarsdottir
  Adding value to credit scoring using mobile phone data and social networks
  E1324:  C. Brunetti
  Measuring asset holdings in the banking sector with balance sheet driven probability factorization
Session EO264 Room: CLO 203
Testing in complex problems Saturday 16.12.2017   09:40 - 10:55
Chair: Cristina Butucea Organizer: Jan Johannes, Cristina Butucea
  E1375:  C. Marteau
  Multidimensional two-component Gaussian mixtures detection
  E1799:  M.I. Borrajo, W. Gonzalez-Manteiga, L. Martinez-Miranda
  Testing a covariate dependent model for first-order intensity
  E1763:  M. Fromont, M. Lerasle, P. Reynaud-Bouret
  Family-wise separation rates for multiple testing
Session EO222 Room: CLO 204
Spreading out the optimal design of experiments Saturday 16.12.2017   09:40 - 10:55
Chair: Victor Casero-Alonso Organizer: Victor Casero-Alonso
  E0249:  S. Aljeddani, K. Mylona, D. Woods
  Bayesian analysis of data from experiments subject to restricted randomisation
  E1162:  J.M. Rodriguez-Diaz
  Optimal designs for multiresponse models with double covariance structure
  E0856:  V. Casero-Alonso, W.K. Wong, A. Pepelyshev
  Optimal design for detecting hormesis
Session EO575 Room: SH349
Model-based clustering Saturday 16.12.2017   09:40 - 10:55
Chair: Vincent Vandewalle Organizer: Vincent Vandewalle
  E1139:  M. Marbac, M. Sedki
  Variable selection for model-based clustering: Application in human population genomics
  E1226:  F. Chamroukhi
  Model-based co-clustering of high-dimensional functional data
Session EG022 Room: G3
Contributions in latent variables Saturday 16.12.2017   09:40 - 10:55
Chair: Irini Moustaki Organizer: CMStatistics
  E1606:  H. Hara
  Identifiability of binary Bayesian networks with one latent variable
  E1693:  K. Holst, E. Budtz-Jorgensen
  A two-stage estimation procedure for nonlinear structural equation models
  E1682:  X. Pedeli, G. Masarotto, C. Varin
  Indirect pairwise fitting of latent autoregressive and moving average models
Session EG028 Room: G5
Contributions in extreme values and rare events Saturday 16.12.2017   09:40 - 10:55
Chair: Laurent Gardes Organizer: CMStatistics
  E1744:  A. Caponera, M. Werner
  How robust is the skill score of probabilistic earthquake forecasts?
  E1591:  D. Dupuis, L. Trapin
  Identification of a structural break in the serial dependence of a time series of extremes
  E1676:  M. Hainy, X.J. Lee, C. Drovandi, A. Pettitt
  ABC model selection for spatial max-stable models applied to South Australian maximum temperature data
Parallel session D: CMStatistics2017 Saturday 16.12.2017 11:25 - 13:05

Session EI015 Room: CLO B01
Prediction, present and future Saturday 16.12.2017   11:25 - 13:05
Chair: Dimitris Politis Organizer: Bertrand Clarke
  E0157:  P. Dawid, A. Tewari
  Predictive consistency
  E0158:  A. Rakhlin
  Novel adaptive algorithms for prediction of individual sequences
  E0159:  F. Komaki
  A predictive approach to statistical problems with multiplicity
Session EO298 Room: MAL B18
Graphical Markov models I Saturday 16.12.2017   11:25 - 13:05
Chair: Giovanni Maria Marchetti Organizer: Giovanni Maria Marchetti
  E0911:  A. Roverato, L. La Rocca
  Undirected, indirected and regression graph models for categorical data in a common framework
  E1291:  R. Evans
  Model selection and local geometry
  E1306:  S. Massa
  Learning stable graphical models
Session EO457 Room: MAL B20
Spatial and multivariate extremes Saturday 16.12.2017   11:25 - 13:05
Chair: Emeric Thibaud Organizer: Emeric Thibaud
  E0827:  M. Oesting
  Equivalent representations of max-stable processes via $\ell^p$ norms
  E0620:  E. Simpson, J. Wadsworth, J. Tawn
  Determining the dependence structure of multivariate extremes
  E0764:  G. Stupfler, S. Girard
  Some negative results on extreme multivariate quantiles defined through convex optimisation
Session EO415 Room: MAL B30
Advances in analysis of correlated survival data Saturday 16.12.2017   11:25 - 13:05
Chair: Liming Xiang Organizer: Liming Xiang
  E0855:  G. Li
  Hybrid quantile regression estimation for time series models with conditional heteroscedasticity
  E1007:  M. Peng
  Joint regression analysis for survival data in the presence of two semi-competing risks
  E0843:  T. Yu
  Conditional modeling of survival data with semi-competing risks
  E0625:  L. Xiang, L. Liu
  Missing covariate data in generalized linear mixed models with distribution-free random effects
Session EO617 Room: MAL B33
Statistical analysis in finite and infinite dimensional Hilbert spaces Saturday 16.12.2017   11:25 - 13:05
Chair: Karel Hron Organizer: Karel Hron
  E1128:  G. Gonzalez-Rodriguez, A. Colubi
  Testing a functional regression model through consistent bootstrap procedures
  E1032:  A. Menafoglio, P. Secchi, G. Gaetani
  Kriging for Hilbert data over complex domains through random domain decomposition
  E1209:  T. Rudas, A. Klimova
  On the compositional interpretation of frequency data
  E0739:  J. Walach, P. Filzmoser, K. Hron, B. Walczak, L. Najdekr
  A new method for variable selection in a two and multi-group case
Session EO488 Room: MAL B34
Recent developments for functional data exploration Saturday 16.12.2017   11:25 - 13:05
Chair: Frederic Ferraty Organizer: Frederic Ferraty
  E0349:  J. Jacques
  Model-based co-clustering for functional data
  E0342:  S. Nagy
  Data depth for discontinuous functions and random sets
  E0730:  E. Bongiorno, J.-B. Aubin, A. Goia
  An asymptotic factorization of the small-ball probability: Theory and applications
  E1109:  H. Kadri
  Operator-valued kernels for learning from functional responses
Session EO394 Room: MAL B35
High-dimensional inference Saturday 16.12.2017   11:25 - 13:05
Chair: Rajen Shah Organizer: Rajen Shah
  E1259:  J. Bradic
  Significance testing in non-sparse high-dimensional linear models
  E1057:  S. Basu
  Network modeling of high-dimensional time series in the presence of factors
  E0904:  C. Leng
  A feature distributed framework for large-scale sparse regression
  E0801:  G.-A. Thanei, R. Shah, N. Meinshausen
  The xyz algorithm for fast interaction search in high-dimensional data
Session EO236 Room: G21A
Regression models under non i.i.d. settings Saturday 16.12.2017   11:25 - 13:05
Chair: Sophie Dabo Organizer: Sophie Dabo, Ghislaine Gayraud
  E0208:  S. Bouzebda
  Some nonparametric tests for change-point detection based on the P-P and Q-Q plot processes
  E0622:  M. Chaouch
  Conditional homoscedasticity test in time series with dependent innovations: Asymptotic power properties
  E1039:  N. Debarsy, J. LeSage
  Efficient MCMC estimation for spatial econometrics models with convex combination of connectivity matrices
  E1603:  B. Nasri, B. Remillard, T. Bouezmarni
  A nonstationarity copula-based conditional quantile approach: Application to extreme daily stream-flow in Canada
Session EO134 Room: CLO 101
Bayesian semi- and nonparametric modelling I Saturday 16.12.2017   11:25 - 13:05
Chair: Raffaele Argiento Organizer: Matteo Ruggiero, Li Ma, Raffaele Argiento
  E0689:  J. Griffin
  Using particle Gibbs methods with Bayesian nonparametric models
  E1275:  A. Beskos
  Geometric MCMC for infinite-dimensional inverse problems
  E1242:  G. Zanella
  Design of informed local proposals for MCMC in discrete spaces
  E0381:  G. Malsiner-Walli, S. Fruhwirth-Schnatter, B. Gruen
  Inferring components and clusters in Bayesian finite mixture modelling
Session EO581 Room: CLO 102
Inference for diffusion models Saturday 16.12.2017   11:25 - 13:05
Chair: Frank van der Meulen Organizer: Frank van der Meulen
  E0346:  A. Ruttor, P. Batz, M. Opper
  Nonparametric learning of stochastic differential equations
  E0930:  A. Golightly
  Correlated pseudo marginal schemes for partially observed diffusion processes
  E1180:  M. Schauer
  Inference for diffusion processes from observations of passage times
  E1163:  C. Fuchs, S. Pieschner
  MCMC inference for discretely-observed diffusions: Improving efficiency
Session EO642 Room: Senate
High dimensional time series models and their applications Saturday 16.12.2017   11:25 - 13:05
Chair: George Michailidis Organizer: George Michailidis
  E0919:  J. Lin, G. Michailidis
  Regularized estimation and testing for high-dimensional multi-block VAR models
  E1430:  D. Zhang, W.B. Wu
  Gaussian approximation for high dimensional time series
  E1524:  H. Xiao
  Autoregressive model for matrix-valued time series
  E1570:  S. Das, S. Basu, G. Michailidis, A. Purnanandam
  A system-wide approach to measure connectivity in the financial sector
Session EO238 Room: CLO 203
Statistical size distributions and heavy-tailed distributions Saturday 16.12.2017   11:25 - 13:05
Chair: Christophe Ley Organizer: Yves Dominicy
  E0544:  F. Clementi, M. Gallegati
  $\kappa$-generalized models of income and wealth distributions: A survey
  E0539:  T. Imoto, K. Shimizu, T. Abe
  Pareto type probability distribution for cylindrical data
  E0841:  P. Cirillo
  Characterizing the concentration of tail risk under fat-tails
  E0744:  C. Kleiber
  Size distributions and the moment problem
Session EO049 Room: CLO 204
Design, modeling, data analysis, and computational statistics Saturday 16.12.2017   11:25 - 13:05
Chair: Subir Ghosh Organizer: Subir Ghosh
  E0475:  C. Jennison
  Designing an adaptive trial with treatment selection and a survival endpoint
  E0742:  Y. Berger, M. Oguz-Alper
  Modelling multilevel data under complex sampling designs: An empirical likelihood approach
  E0471:  J. Godolphin
  Construction of two-level factorial and fractional factorial designs with runs in blocks of size two
  E0456:  S. Ghosh
  CV, ECV, and robust CV designs for replications under a class of linear models in factorial experiments
Session EO421 Room: MAL 402
Advances in ordinal data analysis Saturday 16.12.2017   11:25 - 13:05
Chair: Cristina Mollica Organizer: Cristina Mollica
  E0323:  M. Alvo, H. Xu
  The use of penalized likelihood for analyzing ranking data
  E0561:  M. Crispino, V. Vitelli, A. Frigessi, O. Sorensen, E. Arjas
  Probabilistic preference learning with the Mallows rank model
  E0528:  B. Francis, R. Dittrich
  Modelling multiple Likert items through an adjacent categories ordinal paired comparison model
  E0872:  M. Iannario, R. Simone
  Assessment of zero inflated mixture models for ordinal data
Session EO384 Room: MAL 414
Statistics in bioscience Saturday 16.12.2017   11:25 - 13:05
Chair: Hao Chen Organizer: Thomas Lee
  E1303:  M.-G. Xie
  Approximate confidence distribution computing (ACC): A likelihood-free method with statistical guarantees
  E0277:  R. Craiu, S. Bull, O. Espin-Garcia
  Two-phase designs for joint trait- and genotype-dependent sampling in post-GWAS regional sequencing
  E1182:  J. Hannig, Y. Cui
  Estimation and testing of survival functions via generalized fiducial inference with censored data
  E0860:  T. Sit
  Transformed dynamic quantile regression on censored data
Session EO439 Room: MAL 415
Simultaneous statistical inference Saturday 16.12.2017   11:25 - 13:05
Chair: Thorsten Dickhaus Organizer: Thorsten Dickhaus
  E0525:  P. Neuvial, G. Blanchard, E. Roquain
  Post-selection inference via multiple testing
  E0535:  D. Yekutieli
  From post hoc analysis to post selection inference
  E0767:  J. Goeman, A. Solari
  All-resolution inference: Consistent confidence bounds for the false discovery proportion in high-dimensional data
  E0638:  T. Dickhaus, A. Neumann, T. Bodnar, D. Pfeifer
  Multivariate multiple test procedures based on nonparametric copula estimation
Session EO362 Room: MAL 416
Statistics on networks Saturday 16.12.2017   11:25 - 13:05
Chair: Jean-Pierre Florens Organizer: Jean-Pierre Florens
  E0479:  A. de Paula
  Identifying and estimating social connections from outcome data
  E0486:  J.-P. Florens, A. Babii
  Convolution on networks
  E1789:  M. Weidner, V. Chernozhukov, I. Fernandez-Val
  Network and panel quantile effects via distribution regression
  E1798:  E. Gautier, C. Rose
  Inference on social effects when the network is sparse and unknown
Session EO286 Room: MAL 421
Machine learning, approximation, and robustness Saturday 16.12.2017   11:25 - 13:05
Chair: Andreas Christmann Organizer: Andreas Christmann
  E1779:  R. Zamar
  Ensembles of Regularized Linear Models
  E0704:  F. Dumpert
  Consistency and robustness properties of predictors based on locally learnt support vector machines
  E0597:  D. Xiang
  The stability of SVMs
  E0737:  A. Christmann
  Stability of pairwise learning methods
Session EO561 Room: MAL 532
Recent developments on spatio-temporal modelling Saturday 16.12.2017   11:25 - 13:05
Chair: Sudipto Banerjee Organizer: Alexandra Schmidt
  E0378:  G. Jona Lasinio, G. Mastrantonio, A. Pollice, C. Blasi, G. Capotorti, G. Genova, L. Teodonio
  Bayesian model-based space-time joint interpolation of temperature and rainfall fields
  E1152:  A. Datta
  Spatial disease mapping using directed acyclic graph autoregressive (DAGAR) model
  E1081:  J. Pereira, M. Rodriguez, A. Schmidt, J. Deschenes
  Spatial modelling of fish counts in stream networks: Convolution or multilevel approaches
  E1389:  G. Shaddick
  Global estimation of air quality and the burden of disease associated with ambient air pollution
Session EO156 Room: MAL 538
Advances in fuzzy clustering Saturday 16.12.2017   11:25 - 13:05
Chair: Maria Brigida Ferraro Organizer: Maria Brigida Ferraro
  E0492:  M. Sato-Ilic
  A fuzzy clustering based data fusion method
  E0663:  D. Fernandez, R. Arnold, S. Pledger
  Mixture-based clustering for the ordered stereotype model
  E1330:  M.B. Ferraro, M. Alfo, P. Giordani
  Model-based and fuzzy clustering algorithms: A comparative simulation study
  E0888:  J. Vilar, B. Lafuente-Rego
  Soft clustering of time series: New methods considering fuzzy, mixture models and probabilistic-D approaches
Session EO569 Room: MAL 539
Copula-based regression Saturday 16.12.2017   11:25 - 13:05
Chair: Ingrid Hobaek Haff Organizer: Ingrid Hobaek Haff
  E0548:  C. Czado, D. Kraus, T. Nagler
  Extended D-vine quantile regression with applications
  E0658:  T. Bouezmarni
  Copula-based logistic regression estimation
  E0595:  C. Varin, G. Masarotto
  Gaussian copula regression
  E1077:  L. Yang, E. Frees, G. Lee
  Multivariate frequency-severity regression models in insurance
Session EO631 Room: MAL 540
Miscellaneous results for change point analysis Saturday 16.12.2017   11:25 - 13:05
Chair: Marie Huskova Organizer: Marie Huskova
  E0296:  W. Pouliot, L. Horvath, S. Wang
  Detecting at-most-m changes in linear regression model
  E0913:  R. Killick, J.-L. Chapman, I. Eckley
  Nonparametric changes in variance detection using localised estimates
  E1329:  A. Steland, R. von Sachs
  Change detection and inference in high-dimensional covariance matrices based on $l_1$- and $l_2$-projections
  E0584:  M. Huskova, J. Antoch, J. Hanousek, Z. Hlavka, L. Horvath, S. Wang
  Some results on detection of change points in panel data
Session EO447 Room: MAL 541
Time series and regression models Saturday 16.12.2017   11:25 - 13:05
Chair: Marco Meyer Organizer: Marco Meyer
  E1237:  B. Funovits
  Estimating non-causal VARs using multivariate all-pass filters
  E1232:  S. Richter
  Adaptive bandwidth selection for M-estimators in locally stationary time series
  E0963:  S. Subbarao
  Linear regression with time series regressors
  E1280:  E. Paparoditis
  Extending the range of validity of autoregressive bootstrap methods
Session EC699 Room: MAL 152
Contributions in hypothesis testing Saturday 16.12.2017   11:25 - 13:05
Chair: Clement Marteau Organizer: CMStatistics
  E1048:  J. Visagie, N. Henze
  A new class of tests for multinormality based on the moment generating function
  E1690:  I. Zezula, D. Klein, A. Roy
  Multivariate mean testing under block exchangeable covariance structure
  E0292:  N. Potas
  Testing the equality of coefficients of variations with right-censored data
  E1680:  R. Leipus, A. Philippe, D. Surgailis, V. Pilipauskaite
  Statistical inference for random coefficient dynamic panel data models
Session EG026 Room: MAL 151
Contributions to time series analysis I Saturday 16.12.2017   11:25 - 13:05
Chair: Rajendra Bhansali Organizer: CMStatistics
  E1426:  C. Cordeiro, M. Neves, M.R. Ramos
  A bootstrap contribution in STL decomposition
  E1436:  J. Lopez
  Estimation of autoregressive models from data with measurement error
  E1739:  F. Mies, A. Steland
  Nonparametric Gaussian inference for stable processes
  E1151:  C.Y. Yau
  Optimal estimation of change-points in time series
Parallel session D: CFE2017 Saturday 16.12.2017 11:25 - 13:05

Session CO504 Room: Bloomsbury
Nonparametric methods in microeconometrics Saturday 16.12.2017   11:25 - 13:05
Chair: Christoph Breunig Organizer: Christoph Breunig
  C0675:  F. Dunker, T. Krivobokova, S. Klasen
  Simultaneous confidence bands for ratios of quantile functions and growth incidence curves
  C0982:  A. Dzemski, R. Okui
  Confidence sets for group memberships
  C0682:  M. Lechner, M. Knaus, A. Strittmatter
  Heterogeneous employment effects of job search programmes: A machine learning approach
  C1176:  M. Spindler
  Estimation and inference of treatment effects with $L_2$-boosting in high-dimensional settings
Session CO512 Room: Chancellor's Hall
Time series econometrics Saturday 16.12.2017   11:25 - 13:05
Chair: Antonio Montanes Organizer: Antonio Montanes
  C0344:  L. Gadea, J. Gonzalo Munoz
  Polar warming
  C0339:  M. Camarero, C. Tamarit, J. Peiro-Palomino
  External imbalances and economic growth across countries: A non-parametric reassessment
  C1266:  J.L. Carrion-i-Silvestre
  Cointegration, cobreaking and cotrending for trending time series
  C1325:  A. Montanes, L. Gadea
  Testing for cointegration under the presence broken trends
Session CO593 Room: Court
Durham quant-fin group session: High frequency trading and econometrics Saturday 16.12.2017   11:25 - 13:05
Chair: Julian Williams Organizer: Julian Williams
  C0392:  A. Taamouti
  Spanning GARCH: Pricing uncertainty in the very long run
  C1093:  N. Paltalidis
  Credit, stock, commodity and shipping market interactions in a three state boom bust cycle
  C1030:  H. Sun, J. Williams, D. Philip, J. Cook
  Recovering foreign exchange option volatility surface from spot price dynamics
  C1031:  J. Williams, Y. Zhang
  The information content of option implied moments and co-moments
Session CO638 Room: G11
Financial econometrics Saturday 16.12.2017   11:25 - 13:05
Chair: Roderick McCrorie Organizer: Roderick McCrorie
  C1277:  C.W. Cheang
  The fractionally cointegrated VAR model with threshold adjustment
  C1201:  I. Figuerola-Ferretti, R. McCrorie, R. Bermejo Climent, G. Suarez
  Bubble migration across asset classes during the global financial crises
  C1205:  T. Tang, I. Figuerola-Ferretti, I. Paraskevopoulos
  A market approach for convergence trades
  C0348:  F. Bec, R. Boucekkine, C. Jardet
  On the rationality of expert's forecasts: An empirical insight from consensus economics data
Session CO660 Room: G3
The econometrics of market exuberance Saturday 16.12.2017   11:25 - 13:05
Chair: Florian Ielpo Organizer: Florian Ielpo
  C0229:  A. Kornprobst, R. Douady
  An empirical approach to financial crisis indicators based on random matrices
  C1809:  S. Astill
  Detecting end-of-sample explosive behaviour using persistence change tests
  C1457:  E. Tolo, T. Virtanen, M. Viren, K. Taipalus
  On unit root methods to predict financial crises
  C1579:  F. Ielpo, M. Kniahin
  Fundamental bubbles in equity markets
Session CO514 Room: G4
Time series models of commodities and commodities futures Saturday 16.12.2017   11:25 - 13:05
Chair: Pierre Siklos Organizer: Pierre Siklos, Claudia Wellenreuther
  C0861:  D. Basu
  Economic impact of commodity financialization
  C1005:  K. Kuck, R. Maderitsch
  The quantile-heterogeneous autoregressive model of realized volatility: New evidence from commodity markets
  C0826:  C. Wellenreuther, J. Voelzke
  Speculation and volatility: A time-varying approach applied on Chinese commodity futures markets
  C1417:  M. Kartsakli
  On crude oil as financial asset: Evidence from ten years of financialization
Session CO252 Room: G5
Empirical macroeconomics Saturday 16.12.2017   11:25 - 13:05
Chair: Michael Owyang Organizer: Michael Owyang
  C0197:  N. Traum, M. Cacciatore
  Trade flows, trade policy, and the size of fiscal multipliers
  C0268:  L. Jackson Young, M. Owyang, S. Zubairy
  Debt and stabilization policy: Evidence from a Euro area FAVAR
  C0295:  A. Guisinger, T. Sinclair
  Gender differences in business cycle dynamics and policy implications
  C0315:  M. Owyang
  A time-varying threshold star model of unemployment and the natural rate
Session CO116 Room: Jessel
Regime change modeling I: Finance and forecast Saturday 16.12.2017   11:25 - 13:05
Chair: Willi Semmler Organizer: Willi Semmler
  C0319:  J. Hanousek, J. Antoch, M. Huskova, L. Horvath, S. Wang
  Structural breaks in panel data: Large number of panels and short length time series
  C0524:  J. Kotlowski, M. Brzoza-Brzezina
  To what extent does sentiment drive real GDP
  C1533:  F. Jawadi
  Arbitrage costs and nonlinear adjustments in individual equity prices: A VSTECM modeling
  C1586:  M. Rieth, A. Velinov, D. Bierbaumer
  Nonlinear intermediary asset pricing in the oil futures market
Session CO260 Room: Montague
Financial modelling and forecasting Saturday 16.12.2017   11:25 - 13:05
Chair: Ekaterini Panopoulou Organizer: Ekaterini Panopoulou
  C0419:  E. Panopoulou, I. Souropanis
  The role of technical indicators in exchange rate forecasting
  C0420:  R. Tunaru, T. Zheng
  The normal before the crises: The volatility and skewness crystal ball
  C0417:  N. Voukelatos, E. Panopoulou
  An examination of herd behaviour in hedge funds
  C0480:  A. Alexandridis, H. Gzyl, E. ter Horst, G. Molina
  Extracting risk neutral densities for weather derivatives pricing using the maximum entropy method
Session CO126 Room: Woburn
Network analysis and high dimensional time series models Saturday 16.12.2017   11:25 - 13:05
Chair: Christian Brownlees Organizer: Christian Brownlees
  C0241:  R. Hipp
  On the architecture of financial networks
  C0387:  G. Gudmundsson
  Community detection in large vector autoregressions
  C0616:  I. Archakov, A. Lunde, P. Hansen
  A multi-factor realized GARCH with an application to the Fama-French model
  C0713:  M. Hallam, J. Cotter, K. Yilmaz
  Mixed-frequency macro-financial spillovers
Session CO490 Room: SH349
Mixture models, independent components, and identification Saturday 16.12.2017   11:25 - 13:05
Chair: Markus Haas Organizer: Markus Haas
  C0671:  J. Krause, M. Paolella, S. Broda
  Approximating expected shortfall for heavy-tailed distributions
  C0830:  D. Umlandt, S. Reitz
  Financial intermediation and the cross-section of FX returns
  C0932:  S. Mueller
  On interdependence and shift contagion between core Euro Area refinancing conditions
  C1204:  M. Haas, S. Mueller
  Robust and flexible mixture models for the identification of structural shocks of financial time series
Session CG072 Room: Gordon
Contributions in stochastic volatility Saturday 16.12.2017   11:25 - 13:05
Chair: Peter Exterkate Organizer: CFE
  C1517:  M. Danielova Zaharieva, F. Goessling
  Semi-parametric Bayesian forecasting with an application to stochastic volatility
  C1458:  A. Hansen
  A macro-finance term structure model with volatility-induced stationarity
  C0236:  A. Santos
  Volume, durations and jumps in SV models for the evolution of intraday financial volatility
  C0562:  S. Vahap
  Bayesian state-space model with time varying parameters and stochastic volatility in identification of financial shocks
Parallel session E: CMStatistics2017 Saturday 16.12.2017 14:35 - 16:15

Session EI736 Room: CLO B01
Statistical inference and machine learning Saturday 16.12.2017   14:35 - 16:15
Chair: Jelena Bradic Organizer: Jelena Bradic
  E0466:  M. Kolar
  Learning structured densities without parametric assumptions
  E0468:  S. Wager, S. Athey
  Efficient policy learning
Session EO019 Room: MAL B18
Graphical Markov models II Saturday 16.12.2017   14:35 - 16:15
Chair: Nanny Wermuth Organizer: Nanny Wermuth
  E1243:  G.M. Marchetti
  Identical maximum likelihood estimates for Gaussian and Ising models defined by a chordless cycle
  E0635:  C. Tarantola, M. Lupparelli, I. Ntzoufras
  Probability based independence sampler for Bayesian quantitative learning in graphical log-linear marginal models
  E1281:  C. Uhler, Y. Wang, L. Solus, K. Yang
  Permutation-based causal inference algorithms with interventions
  E0894:  P. Zwiernik
  Maximum likelihood estimation of the latent class model through model boundary decomposition
  E0436:  H. Massam
  Precision matrix estimation in large coloured graphical Gaussian models
Session EO200 Room: MAL B20
Extreme value statistics Saturday 16.12.2017   14:35 - 16:15
Chair: John Einmahl Organizer: John Einmahl
  E0281:  L. Gardes
  Tail dimension reduction for extreme quantile estimation
  E0499:  A. Guillou, V. Chavez-Demoulin
  Risk measure estimation for $\beta-$mixing time series and applications
  E0577:  J. Beirlant
  Extreme value estimation for censored regularly varying tails
  E0942:  C. de Valk, J. Segers
  Tail behaviour of a multivariate quantile based on optimal transport
Session EO230 Room: MAL B30
Functional data analysis Saturday 16.12.2017   14:35 - 16:15
Chair: Alicia Nieto-Reyes Organizer: Alicia Nieto-Reyes
  E0702:  J. Berrendero, B. Bueno-Larraz, A. Cuevas
  Functional logistic regression: An RKHS approach
  E0759:  G. Boente, M. Salibian-Barrera, P. Vena
  Robust estimators under a functional partial linear model
  E0906:  A. Elias
  Prediction bands for functional data based on depth measures
  E1067:  G. Van Bever, H. Oja, F. Critchley, R. Sabolova, B. Li
  Joint diagonalisation of scatter operators: Functional fourth order blind identification
Session EO510 Room: MAL B33
Modeling dependence for functional data Saturday 16.12.2017   14:35 - 16:15
Chair: Matthew Reimherr Organizer: Siegfried Hormann
  E1536:  C. Cerovecki, S. Hormann, C. Francq, J.-M. Zakoian
  Functional GARCH models
  E1500:  N. Salish
  A moment-based notion of time dependence for functional time series
  E1506:  P. Constantinou, P. Kokoszka, M. Reimherr
  Testing separability of functional time series
  E1588:  D. Poss, D. Liebl
  Generalized functional linear models with points of impact
Session EO284 Room: MAL B34
Statistics for Hilbert spaces Saturday 16.12.2017   14:35 - 16:15
Chair: Gil Gonzalez-Rodriguez Organizer: Gil Gonzalez-Rodriguez
  E0558:  C. Goga
  Robust estimation of the total electricity load curve by sampling in a finite population
  E1071:  S. Lopez Pintado
  Depth-based methods for sparse and complex functional data
  E1294:  C. Ritz, A. van Delft
  Application of functional correlation in biology and econometrics
  E1134:  Y. Terada
  Semi-supervised classification for functional data and its applications
Session EO142 Room: MAL B35
Statistical advances in neuroimaging Saturday 16.12.2017   14:35 - 16:15
Chair: Timothy Johnson Organizer: Timothy Johnson
  E0322:  T. Johnson
  A time-varying AR coefficient model of functional near-infrared spectroscopy data
  E0451:  N. Lazar, C. Park, C. Helms
  Semiparametric estimation under shape invariance for fMRI data
  E0637:  M. Lindquist
  Principal directions of mediation
  E1202:  T. Ogden, H. Park, E. Petkova, T. Tarpey
  Calculating a generated effect modifier (GEM) for treatment selection based on imaging data
Session EO067 Room: Bloomsbury
Recent advances in statistical genetics Saturday 16.12.2017   14:35 - 16:15
Chair: Florian Frommlet Organizer: Florian Frommlet
  E1142:  M. Bogdan, P. Szulc, D. Siegmund, R. Doerge
  Mixed model approach for QTL mapping in inbred crosses
  E1284:  D. Edelmann, A. Benner
  Independence hypothesis weighting in biostatistical practice
  E1173:  A. Futschik, S. Zehetmayer
  Statistical tests for genomic time series data
  E1795:  A. Posekany
  Outlier detection with mixtures of Gaussian and heavy-tailed distributions
Session EO368 Room: Chancellor's Hall
Non-stationarity and high-dimensionality in time series analysis Saturday 16.12.2017   14:35 - 16:15
Chair: Piotr Fryzlewicz Organizer: Piotr Fryzlewicz
  E0191:  C. Brownlees, G. Mesters
  Detecting granular time series in large panels
  E0700:  P. Feng, C. Lam
  Integrating regularized covariance matrix estimators
  E1019:  K. Leeming, M. Knight, G. Nason, M. Nunes
  Network time series
  E0898:  R. von Sachs, J. Chau
  Positive-definite wavelet estimation of time-varying spectral density matrices
Session EO382 Room: Court
Recent advances on high-dimensional statistics Saturday 16.12.2017   14:35 - 16:15
Chair: Ines Wilms Organizer: Ines Wilms
  E0529:  E. Wijler, S. Smeekes
  Penalized estimation of sparse high-dimensional single-equation error correction models
  E0729:  L. Barbaglia, C. Croux, I. Wilms
  Volatility spillovers and heavy tails: A large t-vector autoregressive approach
  E0596:  G. Tarr
  Assessing selection stability in regularised regression models
  E1133:  I. Wilms, J. Bien, D. Matteson, S. Basu
  Estimation of sparse vector autoregressive moving averages
Session EO198 Room: G11
Nonparametric modelling of dependent data Saturday 16.12.2017   14:35 - 16:15
Chair: Tatyana Krivobokova Organizer: Tatyana Krivobokova
  E1844:  W.B. Wu
  Testing for trends in high-dimensional time series
  E0526:  F. Enikeeva, C. Chesseboeuf, H. Bierme
  Estimation of the change in variance for Gaussian stationary sequences
  E0923:  P. Serra, T. Krivobokova, F. Rosales Marticorena
  Regression with correlated noise: Non-parametric approach
  E1378:  T. Apanasovich
  Nonparametric estimation in spatial regression
  E0384:  M. Singer, T. Krivobokova, A. Munk
  Kernel partial least squares for stationary data
Session EO162 Room: G3
Statistics for high frequency data: Theory and applications Saturday 16.12.2017   14:35 - 16:15
Chair: Nakahiro Yoshida Organizer: Nakahiro Yoshida
  E0546:  H. Masuda, S. Eguchi
  Modeling time scale in high-frequency data
  E0556:  M. Uchida
  Hybrid estimators for ergodic diffusion processes based on thinned data
  E1136:  Y. Koike
  Lead-lag analysis of non-synchronously observed time series with R
  E1351:  E. Guidotti, S. Iacus
  The Yuima framework for simulation and inference of stochastic processes and its GUI
Session EO031 Room: G4
New methods for analyzing complex data Saturday 16.12.2017   14:35 - 16:15
Chair: Yue Niu Organizer: Yichao Wu
  E0352:  H. Chen, Y. Xia
  Gaussianity test for high-dimensional data
  E0345:  X. Gao
  Weighted adaptive hard threshold signal approximation for robust change point detection
  E0500:  Y. Cui, R. Zhu, M. Zhou, M. Kosorok
  Adaptive concentration and consistency of tree-based survival models
  E1794:  Y. Niu, N. Hao, B. Dong
  Reduced ranked linear discriminant analysis
Session EO296 Room: G5
Predictive models for actuarial science Saturday 16.12.2017   14:35 - 16:15
Chair: Katrien Antonio Organizer: Katrien Antonio
  E1602:  R. Henckaerts, K. Antonio, R. Verbelen, M. Clijsters
  A data driven strategy for the construction of tariff classes in P\&C insurance
  E1771:  T. Reynkens, J. Beirlant, A. Kijko, J. Einmahl
  Estimating the maximum possible earthquake magnitude using extreme value methodology: The Groningen case
  E1614:  J. Crevecoeur, K. Antonio, R. Verbelen
  A time change strategy to model reporting delay dynamics inclaims reserving
  E1770:  S. Devriendt, K. Antonio, R. Verbelen, E. Frees
  Sparse modeling of risk factors in insurance analytics
Session EO471 Room: Gordon
Big data: Convergence of statistics and optimization Saturday 16.12.2017   14:35 - 16:15
Chair: Stephane Chretien Organizer: Stephane Chretien
  E1516:  L. Grigoryeva, J.-P. Ortega
  Machine learning with universal reservoir computers using non-homogeneous state-affine systems and forecasting tasks
  E1560:  M. Massias, A. Gramfort, J. Salmon
  From safe screening rules to working sets for faster Lasso-type solvers
  E1830:  S. Sardy
  New tests for generalized linear models based on lasso
  E1842:  S. Roy, A. Gibberd
  Multiple change-point estimation in Gaussian graphical models
Session EO674 Room: CLO 101
j-ISBA session: Nonparametric Bayesian analysis of copula models Saturday 16.12.2017   14:35 - 16:15
Chair: Giovanna Jona Lasinio Organizer: Clara Grazian
  E0256:  L. Rossini, F. Leisen, L. Dalla Valle
  Bayesian nonparametric conditional copula estimation of twin data
  E0438:  S. Shaoyang Ning, N. Shephard
  A nonparametric Bayesian approach to copula estimation
  E0766:  G. Mastrantonio, C. Grazian, E. Bibbona
  Introducing dependence among Dirichlet processes: A copula based approach
  E1103:  A. Riva Palacio, F. Leisen
  Levy copulas in Bayesian non-parametric models
Session EO166 Room: CLO 102
Recent developments in multivariate data analysis Saturday 16.12.2017   14:35 - 16:15
Chair: Anne Ruiz-Gazen Organizer: Anne Ruiz-Gazen, Klaus Nordhausen
  E0816:  A. Archimbaud, A. Ruiz-Gazen, K. Nordhausen
  ICS with singular scatter matrices
  E0925:  V. Oellerer
  Application of BigVAR: Forecasting fund shares using social variables
  E0976:  J. Virta, B. Li, K. Nordhausen, H. Oja
  Asymptotic comparison of tensorial and vectorial ICA methods
  E1230:  K. Nordhausen, H. Oja, D. Tyler, J. Virta
  Testing the dimension of the non-Gaussian subspace in NGCA
Session EO407 Room: Jessel
New trends in robust estimation Saturday 16.12.2017   14:35 - 16:15
Chair: Adrien Saumard Organizer: Adrien Saumard
  E0457:  M. Lerasle, G. Lecue
  Learning from MOM's principle: Theoretical results
  E0454:  G. Lecue, M. Lerasle
  Learning from MOM's principle
  E0863:  M. Sart
  On hazard rate estimation for censored data
  E1408:  E. Joly
  Concentration for robust mean estimators: Some recent results
Session EO017 Room: Montague
Risk prediction in survival analysis Saturday 16.12.2017   14:35 - 16:15
Chair: Ingrid Van Keilegom Organizer: Ingrid Van Keilegom, Anouar El Ghouch
  E0221:  J.-C. Pardo-Fernandez, P. Martinez-Camblor
  Smooth time-dependent ROC curve estimators
  E1060:  M.X. Rodriguez-Alvarez, T. Kneib
  Evaluating the accuracy of prognostic biomarkers in the presence of external information
  E1289:  X. Piulachs, M. Guillen
  Simultaneous modeling of counts with excess zeros and left-truncated survival data with time-varying effects
  E0261:  P. Dupont
  The balance hazard ratio for evaluating prognostic factors and survival risk groups
Session EO216 Room: Senate
Outliers and change-points in time series Saturday 16.12.2017   14:35 - 16:15
Chair: Roland Fried Organizer: Roland Fried
  E0677:  S. Hoermann, P. Kokoszka, L. Horvath, T. Gorecki
  Testing normality of functional time series
  E0699:  C. Kirch
  Multiple change point estimation based on moving sum statistics
  E0883:  O. Sonmez, G. Rice, A. Aue
  Detecting and dating structural breaks in functional data without dimension reduction
  E1016:  D. Vogel, C. Gerstenberger, M. Wendler
  Studentized U-quantile processes
Session EO492 Room: Woburn
Modern statistical methods for complex data Saturday 16.12.2017   14:35 - 16:15
Chair: Yang Feng Organizer: Yang Feng
  E0727:  M.-Y. Cheng
  Testing goodness-of-fit with complex data
  E1112:  E. Laber
  Optimal treatment allocation for emerging infectious diseases
  E0621:  T. Wang, R. Samworth
  High-dimensional changepoint estimation via sparse projection
  E1231:  Y. Zhao, C. Du
  On the consistency of graph-based semi-supervised learning
Session EO023 Room: CLO 203
The Stein method in statistics: A new quantification of approximations Saturday 16.12.2017   14:35 - 16:15
Chair: Christophe Ley Organizer: Christophe Ley
  E0196:  I. Nourdin
  Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
  E0379:  G. Reinert, Y. Swan
  Differential Stein operators for multivariate continuous distributions and applications
  E0443:  R. Gaunt, G. Reinert
  The rate of convergence of some asymptotically chi-square distributed via Stein's method
  E0508:  F. Ghaderinezhad, C. Ley
  Measuring the impact of priors with Stein's Method
Session EO152 Room: CLO 204
Empirical processes and applications Saturday 16.12.2017   14:35 - 16:15
Chair: Eric Beutner Organizer: Henryk Zaehle, Eric Beutner
  E0376:  B. Beare, Z. Fang
  Weak convergence of the least concave majorant of estimators for a concave distribution function
  E0469:  J. Carcamo
  The central limit theorem for empirical processes in $L^p(\mu)$ with applications
  E0435:  A. Lachal, S. Alvarez-Andrade, S. Bouzebda
  Some asymptotic results for integrated empirical processes with applications to statistical tests
  E0523:  J. Soehl, M. Trabs
  Adaptive confidence bands for Markov chains and diffusions: Estimating the invariant measure and the drift
Session EO719 Room: SH349
Recent advances for inference in latent variable models Saturday 16.12.2017   14:35 - 16:15
Chair: Estelle Kuhn Organizer: Estelle Kuhn
  E0607:  M. Delattre, E. Kuhn
  Estimating the Fisher information matrix in latent variable models
  E1348:  E. Ollier
  Stochastic proximal gradient algorithms for penalized mixed models
  E0996:  E. Devijver, G. Claeskens, I. Gijbels
  Mixed effects modeling and warping for functional data using B-spline
  E0505:  T. Rebafka, C. Matias, F. Villers
  A semiparametric extension of the stochastic block model for longitudinal networks
Parallel session E: CFE2017 Saturday 16.12.2017 14:35 - 16:15

Session CI007 Room: Beveridge Hall
Inference in semiparametric generalized separable models Saturday 16.12.2017   14:35 - 16:15
Chair: Stefan Sperlich Organizer: Stefan Sperlich
  C0164:  B. Park
  Smooth backfitting for errors-in-variables additive models
  C0166:  J.M. Rodriguez-Poo, P. Moreno
  Semiparametric estimation of a sample selection model with binary endogenous regressors
Session CO272 Room: MAL 151
Contributions in liquidity Saturday 16.12.2017   14:35 - 16:15
Chair: Gaelle Le Fol Organizer: CFE
  C1775:  G. Bauer, E. Granziera
  Variation in funding liquidity and financial stability risks
  C1777:  M. Siikanen, S. Ranganathan, J. Kanniainen
  Liquidity taking and stock returns
  C1542:  Y. Xu
  Illiquidity and volatility spillover effects in equity markets during and after a financial crisis: An MEM approach
  C1480:  H. Zhang, A. Dufour
  From a quote-driven to an order-driven market: The case of the EuroMTS government bond trading platform
Session CO496 Room: MAL 153
Financial econometrics with R Saturday 16.12.2017   14:35 - 16:15
Chair: Leopoldo Catania Organizer: Leopoldo Catania, David Ardia
  C0185:  K. Bluteau, D. Ardia, K. Boudt, L. Catania
  Forecasting performance of Markov-switching GARCH models: A large-scale empirical study
  C0189:  L. Catania, D. Ardia, K. Boudt
  Value-at-risk prediction in R with the GAS package
  C0203:  K. Boudt, D. Ardia
  Accounting for non-normality and luck in fund peer performance evaluation
Session CO180 Room: MAL 414
Recent developments and applications in the econometrics of networks Saturday 16.12.2017   14:35 - 16:15
Chair: Pierre Siklos Organizer: Pierre Siklos
  C0406:  E. Baumohl, S. Lyocsa, T. Vyrost, E. Kocenda
  Networks of volatility spillovers among stock markets
  C1221:  C. Gross, M.T. Bohl, P. Siklos
  The transmission of sovereign and bank credit risk to the non-financial corporate sector in Europe
  C0579:  P. Siklos
  Signed spillover effects building on historical decompositions
Session CO246 Room: MAL 415
Volatility modeling Saturday 16.12.2017   14:35 - 16:15
Chair: Giuseppe Storti Organizer: Giuseppe Storti
  C0957:  C. Diks, H. Fang
  Comparing density forecasts in a risk management context
  C1312:  M. Marchese
  A conditional coverage test for forecast combination in Value at Risk prediction
  C1382:  S. Laurent, O. Sauri, S. Acosta
  Estimation of realized betas in a multi-factor model in presence of noise and asynchronisity
  C1387:  G. Storti, A. Naimoli
  Heterogeneous component MEM models for forecasting trading volumes
Session CO411 Room: MAL 416
Perturbation solutions for dynamic economic models Saturday 16.12.2017   14:35 - 16:15
Chair: Peter Zadrozny Organizer: Peter Zadrozny
  C0792:  S. Maliar, V. Lepetyuk, L. Maliar
  Extended function path perturbation methods for nonstationary and unbalanced growth models
  C0819:  A. Meyer-Gohde
  Risk-sensitive linear approximations
  C0735:  J.C. Parra-Alvarez, O. Posch, H. Polattimur
  Risk matters: Breaking certainty equivalence
  C0802:  P. Zadrozny, B. Chen
  Multi-step perturbation solution of stochastic nonlinear rational expectations models
Session CO516 Room: MAL 421
Labor market impact of refugee immigrants in the Nordic countries Saturday 16.12.2017   14:35 - 16:15
Chair: Christopher Baum Organizer: Christopher Baum
  C0924:  P. Bevelander
  Employment assimilation of immigrant groups in Sweden: Longitudinal evidence from Swedish register data
  C1249:  B. Bratsberg
  Labor market integration of refugee immigrants
  C1233:  E. Solheim, A. Yijala
  The economic integration of immigrants in Finland: A register data analysis 2005-2014
  C1296:  H. Loof, C. Baum, A. Stephan, C. Alder
  Labour market integration of refugee-immigrants in Sweden
Session CO547 Room: MAL 532
Semi- and nonparametric methods for nonlinear regression Saturday 16.12.2017   14:35 - 16:15
Chair: Harry Haupt Organizer: Markus Fritsch, Joachim Schnurbus, Harry Haupt
  C0188:  K. Yu
  Improved local quantile regression
  C1194:  M. Fritsch, H. Haupt, J. Schnurbus
  Nonlinear spatial hedonic quantile regression: Housing prices, relevant characteristics, and their shadow prices
  C1171:  R. Tschernig, C. Rust
  Model confidence sets for nonparametric time series models
  C1773:  H. Haupt, J. Schnurbus
  Modeling and forecasting nonlinear seasonality
Session CO479 Room: MAL 538
Advances in behavioral macro-finance Saturday 16.12.2017   14:35 - 16:15
Chair: Christian Proano Organizer: Christian Proano
  C0413:  C. Proano, L. Draeger
  Cross-border banking and macroprudential policies in asymmetric monetary unions
  C1174:  T. Theobald
  Modeling credit market interactions with securitization in an agent based stock flow consistent approach
  C0571:  E. Gasteiger
  Optimal constrained interest-rate rules under heterogeneous expectations
  C1049:  M. Lengnick, C. Proano, N. Kotb, H.-W. Wohltmann
  Optimal monetary policy in a mixed-frequency new Keynesian macroeconomic model with animal spirits
Session CO320 Room: MAL 539
Time-series econometrics Saturday 16.12.2017   14:35 - 16:15
Chair: Robert Kunst Organizer: Robert Kunst
  C0446:  U. Gunter
  Using a global vector autoregression to conditionally forecast tourism exports and tourism export prices
  C0743:  R. Kunst
  Simulation-based selection of prediction models
  C1806:  P. Rodrigues
  Scale-invariant CUSUM-based ratio tests for parameter constancy: Application to variance stability
  C0488:  S. Arvanitis, A. Louka
  Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model
Session CO226 Room: MAL 540
Collinearity, common factors and common shocks Saturday 16.12.2017   14:35 - 16:15
Chair: Niklas Ahlgren Organizer: Niklas Ahlgren
  C0312:  A. Netsunajev, D. Kulikov
  Stargazing with structural VARs: Shock identification via independent component analysis
  C0547:  N. Ahlgren, J. Antell
  Strong and weak cross-sectional dependence in factor models for returns in event studies
  C0537:  A. Jach, T. McElroy
  Testing collinearity of vector time series
  C0593:  H. Nyberg
  Taking zero lower bound seriously: A structural vector autoregression containing positive-valued components
Session CO453 Room: MAL 541
Robust Bayesian econometrics Saturday 16.12.2017   14:35 - 16:15
Chair: Catherine Forbes Organizer: Catherine Forbes
  C1441:  H. Wang, C. Forbes, B. Koo
  Monitoring economic linkage with a semi-parametric VAR model
  C1415:  G. Mitrodima, J. Griffin
  A Bayesian quantile time series model for asset returns
  C0845:  C. Forbes, Z. Liu, H. Anderson
  Robust Bayesian inference for moment condition models
Session CG325 Room: MAL 152
Contributions in structural VAR Saturday 16.12.2017   14:35 - 16:15
Chair: Luca Fanelli Organizer: CFE
  C1454:  R. Braun, R. Brueggemann
  Identification of SVAR models by combining sign restrictions with external instruments
  C1563:  L. Fanelli, G. Angelini, E. Bacchiocchi
  Uncertainty across volatility regimes
  C1511:  M. Lanne, J. Luoto
  GMM estimation of structural vector autoregressions
  C1643:  S. Maxand
  Identification of independent structural shocks in the presence of multiple Gaussian components
Session CG119 Room: MAL 402
Contributions in long memory Saturday 16.12.2017   14:35 - 16:15
Chair: Michelle Voges Organizer: CFE
  C0218:  K. Nadarajah, G. Martin, D. Poskitt
  Optimal bias-correction in the log periodogram estimation of the fractional parameter: A jackknife approach
  C1488:  L. Kristoufek
  Fractal methods for fractional cointegration
  C1537:  J.E. Vera Valdes
  Long horizon forecasts
  C0263:  M. Voges, C. Leschinski, P. Sibbertsen
  The disintegration of EMU government bond markets
Parallel session F: CMStatistics2017 Saturday 16.12.2017 16:45 - 18:50

Session EI013 Room: CLO B01
Boundary estimation and deconvolution problems Saturday 16.12.2017   16:45 - 18:50
Chair: Leopold Simar Organizer: Leopold Simar
  E0154:  A. Kneip
  A novel method for panel models with jump discontinuities
  E0155:  A. Delaigle, P. Hall, W. Zhou
  Nonparametric covariate-adjusted regression
  E0156:  I. Van Keilegom, J.-P. Florens, L. Simar
  Estimation of the boundary of a variable observed with symmetric error
Session EO186 Room: MAL B20
Applied extremes Saturday 16.12.2017   16:45 - 18:50
Chair: Gilles Stupfler Organizer: Gilles Stupfler
  E0198:  A. Ferreira, P. Friederichs, L. de Haan, C. Neves, M. Schlather
  Estimating space-time trend and dependence of heavy rainfall
  E1092:  D. Castro-Camilo, R. Huser, A. Hering
  Towards an efficient early warning system for extreme wind speed detection
  E0757:  E. Mitchell, G. Stupfler, A. Wood, N. Crout, P. Wilson
  An extreme value analysis of top performing UK winter wheat producers
  E1167:  A. Sabourin, M. Chiapino, J. Segers
  Feature clustering and tests for asymptotic independence
  E0609:  R. Towe, E. Eastoe, J. Tawn, P. Jonathan
  Statistical downscaling for future extreme wave heights in the North Sea
Session EO051 Room: MAL B33
High dimensional model selection Saturday 16.12.2017   16:45 - 18:50
Chair: Malgorzata Bogdan Organizer: Malgorzata Bogdan
  E0340:  F. Frommlet
  A novel algorithmic approach to Bayesian logic regression
  E1165:  D. Brzyski, J. Goni, J. Harezlak, B. Ances
  Using tensor regression to select the HIV-related connections between brain's regions
  E1188:  A. Virouleau, S. Gaiffas, A. Guilloux, M. Bogdan
  Sorted-L1 norm for outliers detection and high-dimensional robust regression: Sharp oracle inequalities and FDR control
  E0886:  P. Pokarowski, A. Prochenka, M. Frej, J. Mielniczuk
  Improving Lasso for sparse high dimensional GLM and Cox model selection
  E1038:  M. Sesia, C. Sabatti, E. Candes
  Gene hunting with knockoffs for hidden Markov Models
Session EO065 Room: MAL B34
Statistics for Hilbert spaces Saturday 16.12.2017   16:45 - 18:50
Chair: Gil Gonzalez-Rodriguez Organizer: Gil Gonzalez-Rodriguez
  E0321:  J. Gertheiss
  Nonparametric variable selection and screening with a large number of functional predictors
  E0903:  G. James, X. Qiao, C. Qian
  Doubly functional graphical models in high dimensions
  E1056:  M. Reimherr, A. Parodi
  High-dimensional function-on-scalar regression in Hilbert spaces
  E0973:  H. Matsui
  Quadratic regression for functional response models
  E0890:  D. Liebl, A. Kneip
  On the optimal reconstruction of partially observed functional data
Session EO425 Room: MAL B35
Recent advances in statistical machine learning Saturday 16.12.2017   16:45 - 18:50
Chair: Peter Radchenko Organizer: Peter Radchenko, Rahul Mazumder
  E0952:  P. Radchenko, A. Dedieu, R. Mazumder
  High-dimensional regression with L0 regularization
  E1258:  H. Hazimeh, R. Mazumder
  Fast L0 regression: Coordinate descent, local search, and combinatorial optimization
  E0516:  J. Dunn, D. Bertsimas
  Optimal classification and regression trees
  E1118:  P. Grigas, R. Freund, R. Mazumder
  Computational properties of solution methods for logistic regression through the lens of condition numbers
  E0564:  R. Mukherjee, S. Sen
  Testing degree corrections in stochastic block models
Session EO228 Room: CLO 101
Novel Bayesian applications and methods Saturday 16.12.2017   16:45 - 18:50
Chair: Christopher Hans Organizer: Christopher Hans
  E0473:  S. Jensen
  Spatio-temporal modeling of urban data: A case study in Philadelphia
  E0450:  I. Manolopoulou, G. Ross, J. Pitkin
  Bayesian hierarchical modelling of sparse count processes with applications in retail analytics
  E0487:  C. Carvalho, R. Hahn, J. Murray
  Bayesian regression tree models for causal inference
  E1017:  J. Hill
  Partial identification of causal effects in grouped data with unobserved confounding
  E1066:  A. Volfovsky
  Hierarchical array priors for ANOVA decompositions of cross-classified data
Session EO423 Room: CLO 102
Contributions to the estimation problem in stochastic systems Saturday 16.12.2017   16:45 - 18:50
Chair: Raquel Caballero-Aguila Organizer: Raquel Caballero-Aguila
  E0746:  R. Caballero-Aguila, A. Hermoso-Carazo, J. Linares-Perez
  Signal filtering over sensor networks with random delays and loss compensations: Distributed and centralized framework
  E1352:  I. Garcia-Garrido, R. Caballero-Aguila, J. Linares-Perez
  Least-squares quadratic filtering in linear stochastic systems with random parameter matrices and correlated noises
  E1562:  M.J. Garcia-Ligero, A. Hermoso-Carazo, J. Linares-Perez
  A filtering algorithm for systems with random transmission delays modeled by multi-state Markov chains
  E1769:  M.P. Frias Bustamante, M.D. Ruiz-Medina, A. Torres
  Spatial point processes estimation in functional spaces
  E0969:  A. Hermoso-Carazo, R. Caballero-Aguila, J. Linares-Perez, Z. Wang
  Distributed estimation in networked systems with random parameter matrices and transmission packet dropouts
Session EO372 Room: CLO 203
Ordinal data modeling: Perspectives and applications Saturday 16.12.2017   16:45 - 18:50
Chair: Rosaria Simone Organizer: Rosaria Simone
  E0329:  B. Gruen, S. Dolnicar
  Joint model-based clustering for ordinal survey data
  E0968:  M. Kateri
  Measures of ordinal association in two-way contingency tables
  E0887:  F. Pennoni
  A review of panel data models with a Markov dependent structure for univariate and multivariate ordinal responses
  E0900:  D. Piccolo, S. Capecchi, M. Iannario, R. Simone
  A unifying perspective to model preference and evaluation data
  E1372:  G. Tutz
  Modelling of dispersion and response styles in ordinal regression
Session EO651 Room: MAL 414
Statistical methods for mobile health applications Saturday 16.12.2017   16:45 - 18:50
Chair: Jaroslaw Harezlak Organizer: Jaroslaw Harezlak
  E0870:  I. Gaynanova
  Challenges and opportunities in the analysis of continuous glucose monitoring data
  E1130:  C. Di
  A functional data analysis framework for objectively measured physical activity data from accelerometry
  E0944:  M. Kos, J. Harezlak, M. Bogdan, N. Glynn
  Classification of human activity via spherical representation of accelerometry signal
  E0994:  M. Straczkiewicz, C. Sorensen, J. Urbanek, B. Ances, C. Crainiceanu, J. Harezlak
  Walking recognition via continuous wavelet transforms applied to the longitudinal intervention study
  E1050:  J. Harezlak, W. Fadel, J. Urbanek, X. Li, S. Albertson
  Algorithm for differentiation of walking and stair climbing based on the raw accelerometry data
Session EO680 Room: MAL 416
Modernizing assessment and instruction in statistics Saturday 16.12.2017   16:45 - 18:50
Chair: Erin Blankenship Organizer: Erin Blankenship
  E0267:  M. Mocko
  Revising the GAISE: Guidelines for Assessment \& Instruction in Statistics Education
  E0301:  N. Tintle
  Reflections on best practices for teaching the algebra-based introductory statistics course
  E0770:  E. Blankenship, J. Green
  Cutting through the theory: Emphasizing statistical thinking in mathematical statistics
  E0721:  J. Green, E. Blankenship
  Educating educators: Developing teachers of statistical thinking
  E1004:  W. Stroup
  Teaching statistical thinking to statistics graduate students
Session EO302 Room: MAL 421
Robustness in data science Saturday 16.12.2017   16:45 - 18:50
Chair: Valentin Todorov Organizer: Valentin Todorov
  E0390:  P. Ruckdeschel, V. Todorov
  Refactoring the FORTRAN code for LTS and MCD Algorithm in R
  E1315:  A. Mayo-Iscar, L.A. Garcia-Escudero, A. Gordaliza
  Finding conics in noisy images
  E1338:  E. Sordini, V. Todorov, A. Corbellini
  fsdaR: making the FSDA toolbox available to R users
  E1490:  I. Vranckx, M. Hubert, B. de Ketelaere
  Real-time DetMCD-based classification of NIR-spectra
  E1604:  F. Alqallaf
  Robust SUR estimation under an independent contamination model
Session EO678 Room: MAL 532
Spatial point process models and their statistical inference Saturday 16.12.2017   16:45 - 18:50
Chair: Dominic Schuhmacher Organizer: Dominic Schuhmacher
  E1414:  J. Mateu
  Point patterns in space and space-time: Linear models and change of support
  E1484:  J. Illian
  Treating ecological data structures as thinned point processes
  E1428:  M. Myllymaki, T. Mrkvicka, P. Grabarnik, U. Hahn
  Global envelope tests, with emphasis on spatial point processes
  E1446:  T. Rajala
  Overview of anisotropic point pattern statistics
  E1469:  E. Rubak
  Point processes on the sphere
Session EO136 Room: MAL 538
Recent developments in latent variable models Saturday 16.12.2017   16:45 - 18:50
Chair: Giuliano Galimberti Organizer: Giuliano Galimberti
  E0405:  I. Moustaki, I. Papageorgiou
  Sampling of pairs in composite likelihood estimation for latent variable models for categorical responses
  E0568:  M. Farne
  Factor model estimation by composite minimization
  E1002:  C. Rampichini, F. Bassi, L. Grilli, O. Paccagnella, R. Varriale, L. Grilli
  Multilevel modelling with level-2 missing data: The relationship between student ratings and teacher feelings/practices
  E0807:  G. McLachlan
  A multithreaded implementation of the EM algorithm for finite mixture models
Session EC700 Room: MAL B18
Contributions to functional data analysis Saturday 16.12.2017   16:45 - 18:50
Chair: Stanislav Nagy Organizer: CMStatistics
  E1711:  K. Abramowicz, A. Pini, L. Schelin, S. Vantini, S. Sjostedt-de Luna
  Family-wise error rate on domain subsets: A unified framework for local inference in functional data analysis
  E1673:  M. Stefanucci, D. Kraus
  Classification of functional fragments by regularized linear classifiers with domain selection
  E0200:  G. Guo
  Hypergeometric-type bootstrap quasi-likelihood for functional longitudinal data: Inference and applications
  E1366:  F. Nicol, S. Puechmorel
  A Riemannian framework for curves with velocity information: Application to detection of bad runway conditions
  E1377:  N. Hernandez, G. Martos, A. Munoz
  Domain selection for functional data classification
Session EC692 Room: MAL 152
Contributions in computational statistics Saturday 16.12.2017   16:45 - 18:50
Chair: Keith Knight Organizer: CMStatistics
  E1826:  P. Paoullis, A. Colubi, E.J. Kontoghiorghes, P. Paoullis
  Parallel strategies for estimating the vector generalized linear model
  E1663:  A. Astorino, A. Fuduli, G. Giallombardo, G. Miglionico
  Optimization approaches for multiple instance classification
  E1635:  L. Schlosser, T. Hothorn, A. Zeileis
  Distributional trees and forests
  E1656:  E. Mathiesen, C. Ford
  Exploring and improving document-to-vector embeddings
  E0199:  K. Knight
  Elemental estimates, influence, and algorithmic leveraging
Session EC698 Room: MAL 153
Contributions to time series analysis II Saturday 16.12.2017   16:45 - 18:50
Chair: James Taylor Organizer: CMStatistics
  E1749:  A. Shelef, E. Schechtman
  A Gini-based time series analysis and test for reversibility
  E1753:  J. Tastu
  Multistep ahead forecasts: Parsimonious approach using varying coefficient models
  E1403:  E. Jorge-Gonzalez, E. Gonzalez-Davila, R. Martin-Rivero, D. Lorenzo-Diaz
  Intervention variables and stochastic trend in state space models
  E1735:  X. Meng, J. Taylor
  Forecast combining for multivariate probability distributions
  E1055:  M. Disegna, P. Durso, R. Massari
  Dynamic time warping-based fuzzy clustering with spatial information
Session EC696 Room: MAL 539
Contributions in applied statistics Saturday 16.12.2017   16:45 - 18:50
Chair: Anne Gegout-Petit Organizer: CMStatistics
  E1432:  D. Kirchhoff
  Kriging with continuous and categorical inputs in R
  E1440:  N. Koyuncu
  Estimation of proportion in stratified median ranked set sampling
  E1668:  V. Ficcadenti, R. Cerqueti
  Complexity of United State of America presidential speeches
  E1732:  I. Al-Hasani
  Estimating the effectiveness of a digital commerce advertising campaigns using a Geo-experiment
  E1846:  A. Buteikis, R. Leipus
  Application of copula-based BINAR models in loan modelling
Session EC704 Room: MAL 540
Contributions to biostatistics Saturday 16.12.2017   16:45 - 18:50
Chair: Joyce Niland Organizer: CMStatistics
  E1627:  S. Sugasawa, H. Noma
  Mining personalized treatment effects by gradient boosting tree
  E1416:  S. Tajima
  Dimensionality and topology of brain-wide attractor dynamics
  E1637:  S. Ferrari, G. Fumes, J.E. Corrente
  Box-Cox t random intercept model for estimating usual nutrient intake distributions
  E1730:  A.P. Rocha, M. Pereira
  Change-points in heart rate variability: application in critical care patients
  E1293:  O. Karadag, S. Aktas
  The intra and interclass correlation coefficients for measuring the familial relatedness in genetic studies
Session EC701 Room: MAL 541
Contributions to survival analysis and reliability Saturday 16.12.2017   16:45 - 18:50
Chair: Takeshi Emura Organizer: CMStatistics
  E0464:  A. Beretta, C. Heuchenne
  Variable selection in proportional hazards cure model with time-varying covariates, application to US bank failures
  E1642:  T. Kayal, Y.M. Tripathi
  Estimation and prediction for a distribution with bathtub shape under progressive first failure censoring
  E1641:  T. Sen, Y. Mani Tripathi, R. Bhattacharya
  Bayesian optimum warranty length under Type-II unified hybrid censoring scheme
  E1786:  S.H. Chiou
  A general class of semiparametric accelerated rate models for recurrent event processes under informative censoring
  E1628:  M. Gong
  A stochastic EM algorithm for maintenance modeling with random improvement factors
Session EG052 Room: MAL B30
Contributions in regularization Saturday 16.12.2017   16:45 - 18:50
Chair: Ana Maria Bianco Organizer: CMStatistics
  E1765:  M. Bernardi, M. Costola
  Bayesian non-negative constrained regularised regresssion
  E1646:  J.C. Laria de la Cruz, R. Lillo, M.C. Aguilera-Morillo
  An iterative sparse-group lasso
  E1725:  N. Brunel, Q. Clairon
  Optimal control and additive perturbations help in estimating ill-posed and uncertain dynamical systems
  E1701:  B. Sprung, T. Hohage
  Convergence rates for stochastic inverse problems using variational methods
  E1498:  K. Sugiura, T. Nakatsuma, A. Shimura
  On regularized regression of categorical responses on categorical predictors
Session EG024 Room: G21A
Contributions to statistical modelling I Saturday 16.12.2017   16:45 - 18:50
Chair: Melanie Birke Organizer: CMStatistics
  E1723:  M. Birke, S. Van Bellegem, I. Van Keilegom
  Semi-parametric estimation in a single index model with endogenous variables
  E0569:  I. Fabris-Rotelli, A. Stein
  A point process model for pulses of the DPT from an image
  E1337:  A. Almohaimeed, J. Einbeck
  Box-Cox transformation for regression models with random effects
  E1558:  K. Lee
  Modeling the ARMA random effects covariance matrix in logistic random effects models
  E1733:  H. Maruri, M. Vazquez
  Smoothing the logistic model
Session EG018 Room: MAL 151
Contributions in nonparametric methods Saturday 16.12.2017   16:45 - 18:50
Chair: Mayer Alvo Organizer: CMStatistics
  E1589:  S. Bonnini
  Combined permutation tests for linear regression models
  E1745:  T. Ohnishi, T. Mizuno, T. Watanabe
  Use of the two-dimensional Kolmogorov-Smirnov test to measure spatial concentration in geospatial data
  E1494:  Y. Sun, C.-C. Yeh, A. Cutler
  Tree-based regression for interval-valued data
  E0400:  I. El Hattab
  New nonparametric estimation of entropy and applications
  E1605:  T. Hyndman, P. Taylor, A. Delaigle
  How many point masses do we need for non-parametric deconvolution and maximum likelihood mixture densities?
Session EG654 Room: CLO 204
Contributions in incomplete data Saturday 16.12.2017   16:45 - 18:50
Chair: Clemence Leyrat Organizer: CMStatistics
  E1601:  M. Bee, G. Espa, D. Giuliani, M.M. Dickson, E. Taufer, F. Santi
  An EM-type algorithm for maximum likelihood estimation of spatial models with positional errors
  E1624:  E. Godolphin, P. Godolphin
  Robust assessment of cross-over designs against missing values
  E1759:  E. Mendes, G. Azevedo
  Distance estimation for mixed continuous and categorical data with missing values
  E0916:  D.K. To
  ROC surface analysis in presence of verification bias
  E0498:  M.R. Yucel, T. Akkaya-Hocagil
  Computationally efficient sequential regression imputation for multilevel datasets
Session EG249 Room: MAL 402
Contributions in statistical methods for economics and finance Saturday 16.12.2017   16:45 - 18:50
Chair: Jonas Andersson Organizer: CMStatistics
  E1741:  J. Andersson
  Correlations between irregularly spaced time series
  E1645:  H. Tsukahara
  Backtesting in finance and prequential analysis
  E1267:  A. Tetereva, F. Audrino
  Sentiment spillover effects for US and European companies
  E1686:  J. Riccioni, R. Cerqueti
  Regular paths in financial markets: investigating the Benford's Law
  E1390:  S. Ranjbar, E. Ronchetti
  Bias calibration for robust estimation of inequality indices in small areas
Session EG030 Room: MAL 415
Contributions in high dimensional statistics Saturday 16.12.2017   16:45 - 18:50
Chair: Cristian Gatu Organizer: CMStatistics
  E1411:  T. Honda, C.-K. Ing, W.-Y. Wu
  Adaptively weighted group Lasso for semiparametric quantile regression models
  E1658:  N. Tavernier, G. Dhaene
  Simple non-linear shrinkage estimators for large-dimensional covariance matrices
  E1612:  V. Avagyan, S. Vansteelandt
  Honest data-adaptive inference for the average treatment effect using penalised bias-reduced double-robust estimation
  E1694:  J. Bodelet, D. La Vecchia
  Robust sieve M-estimation with an application to dimension reduction
  E1834:  J. Huh, S. Lee
  Sequential change-point detection in panel data models
Parallel session F: CFE2017 Saturday 16.12.2017 16:45 - 18:50

Session CI288 Room: Beveridge Hall
Non-linear and non-stationary models Saturday 16.12.2017   16:45 - 18:50
Chair: Bent Nielsen Organizer: Bent Nielsen
  C0167:  Q. Wang
  Functional-coefficient cointegrating regression with endogeneity
  C0168:  J. Gonzalo Munoz
  Threshold stochastic unit root models
  C0169:  I. Kasparis, J. Duffy
  Regressions with fractional d=0.5 and weakly nonstationary processes
  C0430:  V. Berenguer Rico, Y. Guo, B. Nielsen
  Testing for autocorrelation in non-linear and non-stationary regressions
Session CO500 Room: Bloomsbury
Business cycles and macroeconomic imbalances Saturday 16.12.2017   16:45 - 18:50
Chair: Lola Gadea Organizer: Lola Gadea
  C0507:  E. Bandres, A. Gomez-Loscos, L. Gadea
  Regional business cycles in Europe: Dating and clustering
  C0540:  C. Tamarit, L. Gadea, M. Camarero, A. Gomez-Loscos
  External imbalances and recoveries
  C0756:  A. Gomez-Loscos, M. Camacho, L. Gadea
  Finite Markov mixture modeling to cluster turning points
  C0664:  A. Fuertes
  Exchange rate regime and external adjustment: An empirical investigation for the U.S.
  C0835:  I. Sanz, L. Gadea
  Growth and business cycle in Argentina: A long-run approach
Session CO244 Room: Chancellor's Hall
Testing and forecasting financial time series Saturday 16.12.2017   16:45 - 18:50
Chair: Jeroen Rombouts Organizer: Jeroen Rombouts, Lars Stentoft
  C1154:  F. Calonaci, G. Kapetanios, R. Baillie
  Loosening the chains on multi factor asset pricing models: Letting time varying betas speak
  C1211:  T. Cenesizoglu
  Limit order book liquidity and moments of the return distribution
  C1140:  J. Rombouts, F. Violante, L. Stentoft
  Individual stock variance premia properties
  C1213:  L. Stentoft, J. Rombouts, F. Violante
  Pricing individual stock options using both stock and market index information
  C1332:  M. Fernandes, W. Distaso, V. Corradi
  Testing for jump spillovers without testing for jumps
Session CO522 Room: G11
Commodity markets: Pricing and trading Saturday 16.12.2017   16:45 - 18:50
Chair: Ana-Maria Fuertes Organizer: Ana-Maria Fuertes
  C0518:  W. Tang, A.-M. Fuertes, Z. Liu
  On risk-neutral skewness and commodity pricing
  C1320:  A.-M. Fuertes, A. Fernandez-Perez, J. Miffre
  Harvesting commodity styles: An integrated framework
  C1445:  A. Vivian, J. Ma, M. Wohar
  On what drives commodity returns: Market, sector or idiosyncratic factors
  C1424:  I. Moutzouris, N. Nomikos
  The formation of FFA rates in dry bulk shipping: Spot rates, risk premia, and heterogeneous expectations
  C1683:  A. Pantelous, I. Psaradellis, J. Laws, G. Sermpinis
  Pairs trading, technical analysis and data snooping: Mean reversion vs momentum
Session CO073 Room: Jessel
Regime change modeling II: Macro and policy Saturday 16.12.2017   16:45 - 18:50
Chair: Willi Semmler Organizer: Willi Semmler
  C1648:  W. Semmler, T. Faulwasser, M. Gross
  Credit cycles and inflation targeting in a regime switching model
  C1726:  I. Tahri, H.-H. Kotz, W. Semmler
  Financial fragmentation and the monetary transmission mechanism in the Euro area: A smooth transition VAR approach
  C1655:  M. Bruns, M. Piffer
  Sign restrictions in smooth transition VAR models
  C1752:  M. Gallegati, M. Fratianni, F. Giri
  Money and price developments in a historical timescale perspective: Implications for monetary analysis
  C1751:  J. Schnurbus, H. Haupt, W. Semmler
  Convergence clubs in the European Union
Session CO158 Room: Montague
Modeling and forecasting in financial econometrics Saturday 16.12.2017   16:45 - 18:50
Chair: Helena Veiga Organizer: Helena Veiga
  C0882:  C. Amado
  On testing financial contagion and modelling time-varying volatility interactions
  C0889:  J. Hambuckers
  On conditional dynamic skewness and directional forecast of currency exchange rates
  C1011:  A. Virbickaite, H. Lopes
  Dynamic mixed frequency pooled copula
  C1822:  R. Hizmeri, M. Izzeldin, R. Hizmeri, A. Murphy, M. Tsionas
  Volatility forecasting gains from jumps: On the effect of the nature of the jumps
  C1009:  H. Veiga, I. Casas, X. Mao
  Variance risk premium: Implications for financial and economic predictability
Session CO190 Room: Senate
Robustness, contagion, dependence, extremes and heavy tails Saturday 16.12.2017   16:45 - 18:50
Chair: Rustam Ibragimov Organizer: Rustam Ibragimov
  C1119:  R. Ibragimov
  Robustness, market (non-)efficiency, volatility slustering, stock return predictability and beyond
  C0527:  A. Skrobotov, R. Ibragimov
  New robust inference for predictive regressions
  C1054:  A. Ankudinov, O. Lebedev
  The determinants of heavy-tailedness of stock returns in the Russian market
  C0656:  O. Lebedev, A. Ankudinov
  Extreme returns in the Russian stock market: Unexpected tails in risk measures
  C0960:  A. Prokhorov, I. Medovikov
  A new measure of vector dependence, with applications to financial risk and contagion
Session CO738 Room: Woburn
Risks and fintech Saturday 16.12.2017   16:45 - 18:50
Chair: Dominique Guegan Organizer: Dominique Guegan
  C0771:  J. Chevallier, B. Zhu, S. Ma, Y.M. Wei
  Forecasting inflection points: Hybrid methods with machine learning algorithms
  C1252:  D. Guegan
  Bitcoins and challenges for financial regulation
  C1185:  K. Li, D. Guegan, B. Hassani
  Impact of multimodality of distributions on VaR and ES calculations
  C1539:  B. Hassani, D. Guegan
  Regulatory learning: How to supervise machine learning models with an application to credit scoring
  C1713:  S. Blemus
  Blockchain towards legal recognition in the major economic countries
Session CO104 Room: SH349
Volatility models and their applications Saturday 16.12.2017   16:45 - 18:50
Chair: Yasuhiro Omori Organizer: Yasuhiro Omori
  C0811:  N. Awaya, Y. Omori
  Particle rolling MCMC with forward and backward block sampling: Conditional sequential Monte Carlo update approach
  C0854:  T. Nakatsuma, M. Nakakita
  Bayesian analysis of intraday stochastic volatility models with leverage and skew heavy-tailed error
  C0991:  T. Watanabe, M. Ubukata, Y. Ueno
  Predictability of excess bond premium and variance risk premium for business cycles and recession risk
  C0962:  Y. Yamauchi, Y. Omori
  Factor multivariate realized stochastic volatility model
  C1762:  M. Takahashi, Y. Omori, T. Watanabe
  Realized stochastic volatility with skew-t error
Session CC707 Room: G5
Contributions in time series analysis Saturday 16.12.2017   16:45 - 18:50
Chair: Richard Luger Organizer: CFE
  C1478:  E. Whitehouse
  Explosive asset price bubble detection with unknown bubble length and initial condition
  C1640:  B. Russ, T. Aziz
  The impact of moving holidays on official statistics time series
  C1585:  J. Nyholm
  Maximum likelihood estimation for noninvertible ARMA processes with stable distribution innovation process
  C1451:  J. de Vicente Maldonado, E. Ruiz
  Resampling uncertainty of principal components factors
  C1792:  J. Davies
  An evaluation of automatic outlier detection methods
Session CG074 Room: Court
Contributions in spatial econometrics Saturday 16.12.2017   16:45 - 18:50
Chair: Arnab Bhattacharjee Organizer: CFE
  E1617:  A. Carvalho
  Spatial dependence and unobserved heterogeneity in stochastic frontier models: A Bayesian approach
  C1714:  C. Jiang, D. La Vecchia, E. Ronchetti, O. Scaillet
  Saddlepoint techniques for spatial panel data models
  C0245:  Y. Perevyshin
  Determinants of price differences in Russian regions
  C0646:  X. Ren, Z. Lu
  Semiparametric spatio-temporal energy data analysis
  C1661:  T. Sato, Y. Matsuda
  Spatio-tempral autoregressive conditional heteroskedasticity model
Session CG004 Room: G3
Contributions in credit and systemic risk Saturday 16.12.2017   16:45 - 18:50
Chair: Genevieve Gauthier Organizer: CFE
  C1350:  P. Chodnicka - Jaworska
  Nonlinear decomposition banks credit ratings
  C0775:  A.-M. Dumitru, T. Holden
  Market credit risk in Europe
  C1523:  M.R. Nieto Delfin
  Credit risk model applied to the agricultural sector
  C1691:  J.-A. Jimenez-Martin, M. Caporin, L. Garcia-Jorcano
  Forecasting systemic risk
  C1592:  A. Petreski, A. Stephan, U. Osterlund
  The impact of mandatory amortization of mortgage loans on the housing market
Session CG159 Room: G4
Contributions in return predictability Saturday 16.12.2017   16:45 - 18:50
Chair: Cees Diks Organizer: CFE
  C1584:  J. Becker, C. Leschinski
  Directional predictability of daily stock returns
  C1700:  H. Li, C. Diks, V. Panchenko
  Predicting intraday returns based on overnight returns for the US stock market
  C1638:  K. Jorgensen
  How learning from macroeconomic experiences shapes the term structure of interest rates
  C1630:  L. Kraicova, J. Barunik
  Common cycles in volatility and cross section of stock returns
  C0289:  A. Shamsi Zamenjani
  On the usefulness of financial variables to predict the conditional distribution of the market portfolio
Session CG076 Room: Gordon
Contributions in vector autoregression Saturday 16.12.2017   16:45 - 18:50
Chair: Ralf Brueggemann Organizer: CFE
  C1538:  H. Reuvers
  Residual bootstrap for VAR models estimated by least absolute deviations
  C1761:  K. Trinh, R. Strachan
  Reduced rank regression in a large VAR model
  C1431:  R. Brueggemann, C. Kascha
  Directed graphs and variable selection in large vector autoregressive models
  C1634:  S. Ankargren, Y. Yang, M. Unosson
  A mixed-frequency Bayesian vector autoregression with a steady-state prior
Parallel session G: CMStatistics2017 Sunday 17.12.2017 08:40 - 10:20

Session EI011 Room: Beveridge Hall
Time series and spatial data: Scalability and applications Sunday 17.12.2017   08:40 - 10:20
Chair: Michele Guindani Organizer: Michele Guindani
  E0161:  S. Banerjee
  High-dimensional Bayesian geostatistics on modest computing environments
  E0163:  J. Morris, L. Zhang, H. Yang, W. Lee, H. Zhu, V. Baladandayuthapani
  Bayesian regression models for big spatially or longitudinally correlated functional data
  E0162:  J. Guinness, M. Katzfuss
  A general framework for Vecchia approximations of Gaussian processes
Session EO443 Room: CLO B01
Bayesian model selection of graphical models Sunday 17.12.2017   08:40 - 10:20
Chair: Francesco Stingo Organizer: Francesco Stingo
  E0410:  R. Mohammadi, H. Massam
  Bayesian structure learning in high-dimensional graphical models with application to brain connectivity
  E1250:  M.J. Ha, F. Stingo, V. Baladandayuthapani
  Bayesian multi-layered Gaussian graphical models
  E0979:  S. Liverani, J. Smith
  Bayesian selection of graphical regulatory models
  E1800:  F. Stingo, V. Baladandayuthapani
  Bayesian graphical regression
Session EO350 Room: MAL B18
Causal inference in theory and practice I Sunday 17.12.2017   08:40 - 10:20
Chair: Joris Mooij Organizer: Marloes Maathuis
  E0846:  M. Eigenmann, M. Maathuis, P. Nandy
  Structure learning of linear Gaussian structural equation models with weak edges
  E1187:  T. Claassen
  Multi-source causal discovery from real-world experiments with extended JCI
  E1305:  B. Frot, P. Nandy, M. Maathuis
  Learning directed acyclic graphs with hidden variables via latent Gaussian graphical model selection
  E1309:  I. Shpitser, T. Richardson, R. Evans, J. Robins
  Nested Markov models
Session EO587 Room: MAL B20
Statistical methods for multiple risks Sunday 17.12.2017   08:40 - 10:20
Chair: Holger Rootzen Organizer: Holger Rootzen
  E0769:  Y. He, Y. He, L. Peng, Y. Hou, J. Sheng
  Statistical inference for a relative risk measure
  E0696:  A. Janssen
  Regularly varying time series and max-stable processes
  E0760:  S. Padoan, E. Hashorva, S. Rizzelli
  On the random number of multivariate risks
  E1349:  F. Lindskog
  The value of a liability cash flow in discrete time subject to capital requirements
Session EO619 Room: MAL B30
Advances in statistical methods in survival analysis and missing data Sunday 17.12.2017   08:40 - 10:20
Chair: Sebastien Haneuse Organizer: Lihong Qi
  E0790:  Y. Shen
  Regression analyses of survival data subject to biased sampling
  E1168:  L. Tian
  Exact inference on the restricted mean survival time
  E1339:  C. Hu, J. Taylor, C.-H. Hsu
  Survival analysis with presence of informative censoring via nonparametric multiple imputation
  E1307:  Y. Li
  Inference for high-dimensional models
Session EO138 Room: MAL B33
Recent advances in FDA, high dimensional and spatial statistics Sunday 17.12.2017   08:40 - 10:20
Chair: Graciela Boente Organizer: Graciela Boente
  E0314:  J. Raymaekers, P. Rousseeuw, M. Hubert
  A measure of directional outlyingness with applications to image data and video
  E0829:  S. Van Aelst, Y. Wang
  Screening for ultrahigh-dimensional regression with cellwise outliers
  E0763:  A.M. Bianco, G. Boente, G. Chebi
  Penalized M-estimators in logistic regression
  E0698:  P. Llop, L. Forzani, M.A. Gieco, A.F. Yao
  Prediction based on multivariate spatial data: A sufficient dimension reduction approach
Session EO178 Room: MAL B34
Advances in functional and high-dimensional data analysis Sunday 17.12.2017   08:40 - 10:20
Chair: Jeng-Min Chiou Organizer: Jeng-Min Chiou
  E0575:  H.-G. Mueller
  Dynamic modeling of conditional quantile trajectories, with application to longitudinal snippets
  E0194:  X. Qiao, S. Guo
  A functional dependence measure for large curve time series with an application to autoregressions
  E0431:  K. Chen
  Weak separability and L-separability for multi-way functional data
  E1169:  J. Park, J. Ahn, Y. Jeon
  Linear classification for functional data with direct estimation
Session EO605 Room: Bloomsbury
Recent development in genetic epidemiology Sunday 17.12.2017   08:40 - 10:20
Chair: Malka Gorfine Organizer: Malka Gorfine
  E0495:  L. Hsu
  Recommendation of when to treat: From binary to time-to-intervention decision
  E0455:  C. Kooperberg
  Quantification of multiple tumor clones using gene array data or sequencing data
  E1444:  Y. Zheng
  On the utility of a comprehensive family history of colorectal cancer improve risk prediction
  E1796:  M. Gorfine
  Illness-death and marginalized frailty models with application to incident and prevalent event data
Session EO043 Room: Chancellor's Hall
Theoretical foundations of big data Sunday 17.12.2017   08:40 - 10:20
Chair: Will Wei Sun Organizer: Guang Cheng
  E0557:  B. Nadler
  Unsupervised ensemble learning
  E0583:  P. Song, L. Luo
  Renewable maximum likelihood estimation in generalized linear models for streaming data
  E0787:  Q. Zhou, B. Aragam, A. Amini, J. Gu
  Learning large-scale Bayesian networks
  E1831:  A. Shojaie, A. Safikhani
  Consistent change-point detection and parameter estimation in high-dimensional piecewise-stationary VAR models
Session EO132 Room: Court
Dependence models and copulas for climate and environment Sunday 17.12.2017   08:40 - 10:20
Chair: Fabrizio Durante Organizer: Fabrizio Durante, Wolfgang Trutschnig
  E0178:  R. Huser, J. Wadsworth
  Modeling spatial processes with unknown extremal dependence class
  E0273:  M. Coblenz, O. Grothe, R. Dyckerhoff
  Nonparametric estimation of multivariate quantiles in small sample sizes
  E0258:  F. Pellerey, L. Raffaele, L. Bruno, L. Preziosi
  An application of copulae in the analysis of sand transport phenomena
  E0980:  E. Perrone, L. Solus, C. Uhler
  Discrete copulas for weather forecasting: Theoretical and practical aspects
Session EO332 Room: G11
Advanced computational methods for statistical modeling Sunday 17.12.2017   08:40 - 10:20
Chair: Tsung-I Lin Organizer: Tsung-I Lin
  E0184:  L. Matos, T.-I. Lin, M. Castro, V.H. Lachos Davila
  Heavy-tailed longitudinal regression models for censored data: A likelihood based perspective
  E0550:  C. Galarza, V.H. Lachos Davila, T.-I. Lin, W.-L. Wang
  On moments of truncated multivariate Student-t distribution: A recurrence approach
  E0804:  M. Castro, F. Schumacher, V.H. Lachos Davila, G. Ferreira
  Censored time series analysis for responses on the unit interval: An application to acid rain modeling
  E0780:  C.-J. Lin
  A pattern-clustering method for longitudinal data on heroin users receiving methadone
Session EO591 Room: G3
Computational statistics in distribution theory Sunday 17.12.2017   08:40 - 10:20
Chair: Filipe Marques Organizer: Filipe Marques, Andriette Bekker
  E0278:  F. Marques, C. Coelho
  The simultaneous test of equality and circularity of several covariance matrices
  E0449:  A. Bekker, B. Rowland, J. Ferreira, M. Arashi
  A more general framework for the skew normal distributions
  E1304:  J. Allison, M. Huskova, S. Meintanis
  Testing the adequacy of semiparametric transformation models
  E0852:  T. Loots, A. Bekker, F. Marques
  Development and computational implementation of approximations for the product of independent random variables
Session EO520 Room: G4
Recent advances in research synthesis methods Sunday 17.12.2017   08:40 - 10:20
Chair: Yinghui Wei Organizer: Yong Chen
  E1827:  C. Schmid
  Hierarchical models for combining N-of-1 trials
  E1828:  O. Efthimiou, D. Mavridis, A. Nikolakopoulou, G. Rucker, S. Trelle, M. Egger, G. Salanti
  A model for meta-analysis of correlated binary outcomes: The case of split-body interventions
  E1833:  I. Marshall, B. Wallace
  Towards automated biomedical evidence synthesis: RobitReviewer
  E1824:  Y. Chen
  Multivariate network meta-analysis made simple
Session EO662 Room: G5
Epigenetic Data Sunday 17.12.2017   08:40 - 10:20
Chair: Qi Zhang Organizer: Qi Zhang
  E1028:  V. Baladandayuthapani, J. Morris, F. Stingo, K.-A. Do
  Integrative Bayesian models for precision oncology
  E0193:  C. Wiuf
  Statistical inference on epi-allelic patterns and profiling of DNA methylation from WGBS data
  E1058:  Q. Zhang
  Nonparametric empirical Bayes mixture models in Hi-C peak calling and Allelic Imbalance detection from ChIP-seq
  E1535:  Y. Zheng, F. Ay, S. Keles
  Statistical methods for profiling 3-dimensional chromatin interactions from repetitive regions of genomes
Session EO715 Room: Gordon
Bioinformatics pipelines: From data collection to statistical analysis Sunday 17.12.2017   08:40 - 10:20
Chair: Ekaterina Smirnova Organizer: Ekaterina Smirnova
  E0538:  A. Alekseyenko
  Sample size guided strategies for analysis of human microbiome data
  E0644:  E. Smirnova, L. Hoyles, J. Abbott, E. Holmes, J. Nicholson, M.-E. Dumas, S. Butcher
  ScAMP: Scalable automated metagenomics pipeline
  E1214:  E. Jackson
  Assessing the ability of two recent algorithms to infer structure in longitudinal vaginal microbiome data
  E0806:  J. Chen
  A robust and powerful statistical framework for differential abundance analysis of microbiome data
Session EO342 Room: CLO 101
Regularization-/hyper-/smoothing-parameters selection methods Sunday 17.12.2017   08:40 - 10:20
Chair: Sylvain Sardy Organizer: Sylvain Sardy
  E0217:  S. Arlot, A. Celisse, M. Lerasle
  Cross-validation for estimator selection
  E1541:  P. Descloux, S. Sardy
  Lasso-zero: Model selection by thresholding the $\ell_1$-minimal solution
  E1608:  Y. El Bachir, A. Davison
  Fast automatic smoothing in multiple generalized additive models
  E1702:  A. Saumard, F. Navarro
  Model selection as a multiple hypothesis testing procedure: Improving Akaike's information criterion
Session EO402 Room: CLO 102
Semiparametric transformation models in health and social sciences Sunday 17.12.2017   08:40 - 10:20
Chair: Jan De Neve Organizer: Jan De Neve
  E0415:  F. Eriksson, T. Scheike, L. Jianing, Z. Mei-Jie
  The proportional odds cumulative incidence model for competing risks
  E0338:  O. Thas, J. De Neve, S. Vansteelandt, K. Vermeulen, G. Amorim, J. Meys
  Probabilistic index models for flexible and efficient rank based inference
  E0674:  S. Sokullu
  Semiparametric analysis of two-sided markets
  E0334:  J. De Neve
  Semiparametric regression models for indirectly observed outcomes
Session EO184 Room: Jessel
Model assessment Sunday 17.12.2017   08:40 - 10:20
Chair: Maria Dolores Jimenez-Gamero Organizer: Maria Dolores Jimenez-Gamero
  E0274:  D. Bagkavos, P. Patil
  Mean integrated squared error comparison between kernel and maximum likelihood density estimates of normal mixtures
  E0832:  V. Alba-Fernandez, M.D. Jimenez-Gamero
  Penalized minimum phi-divergence estimators in multinomial models
  E0817:  M.D. Jimenez-Gamero, S. Meintanis, S. Lee
  Goodness-of-tit tests for GARCH models
Session EO212 Room: Montague
Statistical boosting Sunday 17.12.2017   08:40 - 10:20
Chair: Andreas Mayr Organizer: Andreas Mayr
  E1008:  T. Hepp, J. Thomas, A. Mayr, B. Bischl
  Tuning model-based gradient boosting algorithms with focus on variable selection
  E0513:  D. Ruegamer, S. Greven
  Selective inference for L2-boosting
  E0599:  T. Adam, A. Mayr, T. Kneib
  Statistical boosting in Markov-switching generalized additive models for location, scale and shape
  E0601:  J.W. Messner, A. Zeileis
  Regularized censored regression with conditional heteroskedasticity
Session EO160 Room: Senate
Advances in robust data analysis Sunday 17.12.2017   08:40 - 10:20
Chair: Luis Angel Garcia-Escudero Organizer: Alfonso Gordaliza, Luis Angel Garcia-Escudero, Agustin Mayo-Iscar
  E1391:  V. Todorov, M. Gallo, M.A. Di Palma
  Visual tools for 3-way analysis in R
  E1734:  F. Dotto, A. Farcomeni
  A robust clustering procedure with unknown number of clusters
  E1355:  E. Cabana, H. Laniado Rodas, R. Lillo
  Outlier detection in multivariate data with robust Mahalanobis distance based on shrinkage estimators
  E1839:  M. Riani, A. Atkinson, A. Cerioli, A. Corbellini
  The power of monitoring: How to make the most of a contaminated multivariate sample
Session EO396 Room: Woburn
Statistical inference in networks Sunday 17.12.2017   08:40 - 10:20
Chair: Tengyao Wang Organizer: Tengyao Wang
  E0782:  D. Choi
  A semidefinite program for structured blockmodels
  E0810:  F. Gao
  Maximum likelihood estimation of preferential attachment network models
  E1269:  S. Lunagomez, E. Airoldi
  Sampling on social networks from a decision theoretic perspective
  E1240:  M. Xu, P.-L. Loh, V. Jog
  Optimal rates for community estimation in the weighted stochastic block model
Session EO549 Room: CLO 203
Statistics for data with geometric structure Sunday 17.12.2017   08:40 - 10:20
Chair: Stephan Huckemann Organizer: Stephan Huckemann
  E0484:  J. Schulz, B. Kim, S. Huckemann, S. Jung
  Small-sphere distributions for directional data with application to rotationally deformed objects
  E1262:  A. Kume, I. Dryden, P. Paine, A. Wood
  Maximum likelihood estimation for general models in size and shape space
  E1265:  N. Miolane
  Geometric statistics for template shape estimation in computational anatomy
  E0970:  B. Eltzner, S. Huckemann
  Inferential PCA and RNA structure analysis
Session EO318 Room: CLO 204
Optimal and efficient designs Sunday 17.12.2017   08:40 - 10:20
Chair: Chang-Yun Lin Organizer: Po Yang, Chang-Yun Lin
  E0726:  C.-Y. Lin
  Robust split-plot designs for model misspecification
  E1199:  R. Fontana
  Sequential integer quadratic programming for generalized minimum aberration orthogonal arrays
  E0254:  Y. Yi
  Optimal allocation for response-adaptive designs
  E1447:  S. Kuhnt
  Mixture-process designs and response surface models for predicting properties of calcium silicate units
Session EO623 Room: SH349
Recent developments in mixture models Sunday 17.12.2017   08:40 - 10:20
Chair: Salvatore Ingrassia Organizer: Paul McNicholas, Salvatore Ingrassia
  E1110:  V.H. Lachos Davila
  Finite mixture modeling of censored data using the multivariate Student-t distribution
  E1027:  M. Nai Ruscone
  Model based clustering via pair copula and applications
  E1076:  V. Vandewalle, T. Mottet
  Model-based clustering of variables
  E0578:  Y. Tang, P. McNicholas
  Clustering airbnb reviews
Parallel session G: CFE2017 Sunday 17.12.2017 08:40 - 10:20

Session CO459 Room: MAL B35
Topics in macroeconometrics Sunday 17.12.2017   08:40 - 10:20
Chair: Alessia Paccagnini Organizer: Alessia Paccagnini
  C1025:  D. Cascaldi-Garcia, A. Galvao
  News and uncertainty shocks
  C0776:  V. Colombo
  Uncertainty shocks and monetary policies
  C0570:  H. Mumtaz, T. Konstantinos
  The federal reserve's implicit inflation target and macroeconomic dynamics: A SVAR analysis
  C1095:  A. Paccagnini
  Forecasting with FAVAR: Macroeconomic versus financial factors
Session CO742 Room: MAL 402
Central bank forecasting II Sunday 17.12.2017   08:40 - 10:20
Chair: Knut Are Aastveit Organizer: Knut Are Aastveit
  C0774:  C. Foroni, M. Marcellino, D. Stevanovic
  Mixed frequency models with MA components
  C1183:  M. Modugno
  Nowcasting earnings
  C1206:  E. Tallman, S. Zaman, E. Tallman
  Combining long-run survey forecasts and nowcasts with VAR forecasts using relative entropy
  C0948:  K.A. Aastveit, K. McAlinn, J. Nakajima, M. West
  Multivariate Bayesian predictive synthesis in macroeconomic forecasting
Session CO506 Room: MAL 414
Advances in dynamic macroeconomic modeling Sunday 17.12.2017   08:40 - 10:20
Chair: Matteo Fragetta Organizer: Marco Maria Sorge
  C1270:  M. Fragetta, E. Gasteiger, M. Di Serio
  The government spending multiplier at the zero lower bound: Evidence from the United States
  C0772:  T. Holden
  Tractable estimation and smoothing of highly non-linear dynamic state-space models
  C0672:  V. Ajevskis
  Nonlocal solutions to dynamic equilibrium models: The approximate stable manifolds approach
  C0311:  F. Langot, F. Karame, S. Adjemian, F. Karame
  On nonlinearities in unemployment
Session CO124 Room: MAL 415
Advances in volatility modelling Sunday 17.12.2017   08:40 - 10:20
Chair: Genaro Sucarrat Organizer: Genaro Sucarrat
  C0291:  D. Kyriakopoulou, C. Hafner
  Exponential-type GARCH models with linear-in-variance risk premium
  C0647:  A. Dufays, M. Augustyniak, L. Bauwens
  A new approach to volatility modeling: The factorial hidden Markov volatility model
  C0408:  H. Raissi
  Testing normality for unconditionally heteroscedastic macroeconomic variables
  C0403:  G. Sucarrat
  Equation-by-equation estimation of multivariate periodic electricity price volatility
Session CO075 Room: MAL 416
Volatility modeling and derivatives pricing Sunday 17.12.2017   08:40 - 10:20
Chair: Juan-Pablo Ortega Organizer: Juan-Pablo Ortega
  C1395:  J.-P. Ortega, A. Badescu, L. Grigoryeva
  Option pricing and hedging with one-step Kalman filtered factors in non-affine stochastic volatility models
  C1362:  F.Z. R Hasinavonizaka, C. Chorro
  Two step modified-QML estimation for NIG-GARCH Processes
  C1801:  G. Bormetti, G. Livieri, F. Corsi
  GAMM style volatility modeling
  C0697:  M.M. Vich Llompart, A. Vaello Sebastia
  On the forecasting ability of option implied risk-neutral distributions
Session CO089 Room: MAL 421
Advances in time series modelling, forecasting, and forecast evaluation Sunday 17.12.2017   08:40 - 10:20
Chair: Richard Luger Organizer: Richard Luger
  C1096:  C. Saunders
  Forecast evaluation and dynamic panels
  C0695:  S. Gungor, R. Luger
  Comparing out-of-sample forecasts against a random walk: Exact tests with application to exchange rates
  C0657:  X. Liu, R. Luger
  Modelling higher moments and density forecasting: A comprehensive look
  C1098:  R. Luger
  Dynamic interaction between sovereign credit rating events and credit default swaps
Session CO110 Room: MAL 532
Topics in financial econometrics Sunday 17.12.2017   08:40 - 10:20
Chair: Joern Sass Organizer: Leopold Soegner, Joern Sass
  C0686:  L. Vana
  Dynamic modeling of measures of credit quality
  C0694:  L. Veraart, A. Gandy
  Adjustable network reconstruction with applications to CDS exposures
  C0824:  S. Voigt, N. Hautsch
  Large scale portfolios under transaction costs and model uncertainty: Mixing of high and low frequency information
Session CO502 Room: MAL 538
Nowcasting methods in macroeconometrics Sunday 17.12.2017   08:40 - 10:20
Chair: Clement Marsilli Organizer: Clement Marsilli
  C0458:  D. Leiva-Leon
  Markov-Switching three-pass regression filter
  C1041:  D. Bragoli, J. Fosten
  Nowcasting Indian GDP
  C1181:  C. Marsilli, M. Mogliani
  Forecasting with Bayesian adaptive penalized mixed-frequency regressions
  C1622:  A. Kostrov, F. Audrino, J.-P. Ortega
  Improving the classification accuracy of the logit model: The case of US bank failures
Session CO314 Room: MAL 539
Energy markets Sunday 17.12.2017   08:40 - 10:20
Chair: Marco Lorusso Organizer: Francesco Ravazzolo
  C0683:  J. Lips
  Leverage and the oil industry: Analysis on the firm and production level
  C0907:  M. Moro
  On energy labels for dwellings and retrofitting: Some evidence from the English energy performance certificate
  C0999:  B. Xu, J. Byrne, M. Lorusso
  Oil prices and informational frictions: The time-varying impact of fundamentals and expectations
  C0966:  M. Lorusso, F. Ravazzolo, R. Casarin, H. Bjornland
  Oil and fiscal policy: Panel regime-switching country analysis
Session CO242 Room: MAL 540
High frequency financial modelling Sunday 17.12.2017   08:40 - 10:20
Chair: Vitali Alexeev Organizer: Vitali Alexeev
  C1045:  R. Borghi
  High-frequency quoting and liquidity commonality
  C0357:  A. Atak, Y. Sun, Y. Zhang
  Quantile regression models with factor-augmented predictors and time-varying factor loadings
  C0447:  S. Boffelli, G. Urga
  Daily vs intraday risk assessment using asynchronous tick-by-tick data
  C0327:  V. Alexeev, G. Urga
  Warping time: Improving efficiency of tick-by-tick data in portfolio optimisation
Session CO176 Room: MAL 541
Funds performance measurement Sunday 17.12.2017   08:40 - 10:20
Chair: Spyros Vrontos Organizer: Spyros Vrontos
  C1573:  C. Argyropoulos, C. Argyropoulos, E. Panopoulou, S. Vrontos
  Unveiling the risk profile of funds of hedge funds
  C1667:  S. Vrontos
  Funds performance evaluation: A review and a comparison
  C1483:  E. Ipatova, K. Doctor
  Examination of hedge fund performance persistence over long-term period using a non-parametric approach
Session CG123 Room: MAL 151
Contributions in GARCH Sunday 17.12.2017   08:40 - 10:20
Chair: Alan Hawkes Organizer: CFE
  C0239:  A. Hawkes, J. Chen, S. Yang
  A GARCH-Hawkes jump model: Self-excitation and calibration
  C0386:  H.S. Mahamat, R. Mestre, M. Terraza
  Simultaneous estimations of the parameters regression with Realized-GARCH errors
  C1728:  A. Algaba, K. Boudt, S. Vanduffel
  Minimum variance hedging when using implied covariances
  C1791:  A. Masuhr
  Volatility transmission in multiply overlapping trading zones
Session CG008 Room: MAL 152
Contributions in nonlinear time series Sunday 17.12.2017   08:40 - 10:20
Chair: Cristina Amado Organizer: CFE
  C1513:  G. Buccheri, G. Bormetti, F. Corsi, F. Lillo
  A score-driven smoother for general state-space models
  C1582:  S. Groenneberg, B. Holcblat
  On partial-sum processes of ARMAX residuals
  C1626:  N. Kanazawa
  Time series analysis using the radial basis functions: Application to the US economy
  C0347:  I. Perera, M. Silvapulle
  New methods for model diagnostics in multiplicative error models
Session CG255 Room: MAL 153
Contributions in quantitative investing Sunday 17.12.2017   08:40 - 10:20
Chair: Romeo Tedongap Organizer: CFE
  C0209:  R. Bermejo Climent
  Quantitative investing a stock selection system for Europe
  C0873:  A. Vaello Sebastia, I. Figuerola-Ferretti, P. Serrano, T. Tang
  C1811:  A. Rutkowska, M. Bartkowiak
  Linguistic views in portfolio selection: Black-Litterman model extension
Parallel session H: CMStatistics2017 Sunday 17.12.2017 10:50 - 12:55

Session EO613 Room: CLO B01
Scalable Bayesian methods for large data problems Sunday 17.12.2017   10:50 - 12:55
Chair: Mattias Villani Organizer: Mattias Villani
  E0931:  J. Bierkens
  Exact subsampling in MCMC using piecewise deterministic Markov processes
  E1123:  R. Kohn, M. Quiroz, M. Villani, M.-N. Tran
  Exact subsampling MCMC
  E1271:  M. Pitt
  Efficient particle filter methods for diffusions
  E0937:  P. Siden, M. Villani
  Fast and scalable Bayesian spatial 3D priors for brain imaging
  E1814:  A. Wilson
  Bayesian generative adversarial networks
Session EO352 Room: MAL B18
Causal inference in theory and practice II Sunday 17.12.2017   10:50 - 12:55
Chair: Jonas Peters Organizer: Jonas Peters
  E0271:  R. Silva, M. Kusner, J. Loftus, C. Russell
  Counterfactual fairness
  E0288:  J. Runge
  Large-scale causal discovery from nonlinear time series datasets
  E0921:  N. Pfister, J. Peters, P. Buehlmann
  Inference of instantaneous causal relations in multivariate linear time series by stabilizing conditional distributions
  E1813:  J. Peters, R. Shah
  Low priced lunch in conditional independence testing
  E1704:  M. Josefsson, M. Daniels
  Binary exposure and longitudinal cognition outcomes in the presence of non-ingorable dropout and death
Session EO188 Room: MAL B20
Extreme value theory and risk modeling Sunday 17.12.2017   10:50 - 12:55
Chair: Ivette Gomes Organizer: Ivette Gomes
  E0394:  F. Caeiro, L. Henriques-Rodrigues
  Reduced bias kernel value-at-risk estimation
  E0891:  M. Brilhante, I. Gomes, D. Pestana, S. Mendonca
  Population dynamics: Risk modeling and extremes in the generalized Verhulst model
  E0749:  A. Dias, I. Ismail, A. Zhang
  Insurance portfolio risk minimization
  E0615:  S. Girard, A. Daouia, G. Stupfler
  Extreme M-quantiles as risk measures
  E1279:  I. Serra
  The effect of global warming in catastrophic risk caracterization
Session EO429 Room: MAL B30
Advances in statistical methods for survival analysis Sunday 17.12.2017   10:50 - 12:55
Chair: Marialuisa Restaino Organizer: Hongsheng Dai, Marialuisa Restaino
  E0502:  G. Hickey, P. Philipson, A. Jorgensen, R. Kolamunnage-Dona
  Dynamic survival prediction for multivariate joint models using the R package joineRML
  E0649:  F. Ambrogi, T. Scheike
  Penalised competing risks regression
  E1083:  G. Cortese
  Restricted residual mean lifetime and competing risks
  E0954:  J.E. Ruiz-Castro, M. Zenga
  General discrete non-homogeneous Markov models with multiple absorbing states: Application to breast cancer
  E0590:  Y. Wei
  Restricted mean survival time in time-to-event analysis: From individual level data to aggregate data
Session EO150 Room: MAL B33
Semi- and non- parametric methods for functional statistics Sunday 17.12.2017   10:50 - 12:55
Chair: Enea Bongiorno Organizer: Enea Bongiorno
  E0324:  K. Hron, A. Menafoglio, P. Filzmoser
  Logratio approach to modeling of densities with application to multivariate functional principal component analysis
  E0560:  A. Pini, H. Sorensen, A. Tolver, S. Vantini
  Local inference for functional-on-scalar mixed models
  E1022:  A. de Moliner, H. Cardot, C. Goga
  Estimation of mean electricity consumption curves for small areas
  E1782:  B. Bueno-Larraz, J. Berrendero, A. Cuevas
  On the functional Mahalanobis distance
  E1621:  M.-H. Descary, V. Panaretos
  Recovering covariance from functional fragments
Session EO553 Room: MAL B34
Recent developments in functional time series analysis Sunday 17.12.2017   10:50 - 12:55
Chair: Siegfried Hoermann Organizer: Alexander Aue
  E0214:  S. Tavakoli, V. Panaretos
  Detecting and localizing differences in functional time series dynamics: A case study in molecular biophysics
  E0246:  A. Canale, S. Vantini
  Constrained functional time series: Applications to the Italian gas market
  E0794:  D. Kowal, D. Matteson, D. Ruppert
  Functional autoregression for sparsely sampled data
  E0591:  A. van Delft, P. Bagchi, V. Characiejus, H. Dette
  A nonparametric test for stationarity in functional time series
Session EO449 Room: MAL B35
Risk quantification and extremes Sunday 17.12.2017   10:50 - 12:55
Chair: Sebastian Engelke Organizer: Sebastian Engelke
  E0610:  T. Mikosch, J. Heiny
  Eigenstructure of sample covariance matrices for high-dimensional heavy-tailed stochastic volatility models
  E1223:  A. Hitz, S. Engelke, R. Evans
  Graphical modelling of extremes
  E1208:  A. Krajina
  A test for Frechet domain of attraction and estimation of the extreme value index
  E1236:  H. Lam
  Robust extreme event analysis
  E1850:  M. Kratz
  A self-calibrating method for heavy-tailed data modeling: Applications in finance and insurance
Session EO220 Room: CLO 101
Advances in Bayesian methodology Sunday 17.12.2017   10:50 - 12:55
Chair: David van Dyk Organizer: David van Dyk
  E0472:  D. Rossell, F.J. Rubio
  Bayesian variable selection under misspecified errors
  E1043:  C. Hans
  Empirical Bayes model averaging with influential observations
  E1085:  L. House
  Using Bayesian visual analytics to conceptualize uncertainty and explore data
  E1111:  J. Murray, C. Carvalho
  Interpreting complex models: Efficient, valid posterior inference for meaningful quantities
  E1172:  D. Stenning, D. Bingham, K. Myers, E. Lawrence, J. Coleman, A. Mondal, J.M. Loh, D. Lee, R. Wolpert
  Computer model calibration to enable disaggregation of chemical spectra
Session EO445 Room: CLO 203
Characterizations of probability distributions Sunday 17.12.2017   10:50 - 12:55
Chair: Efoevi Angelo Koudou Organizer: Efoevi Angelo Koudou
  E0445:  J. Wesolowski
  Independencies for Kummer and gamma distributons
  E0459:  B. Kolodziejek
  A Matsumoto-Yor characterization for Kummer and Wishart random matrices
  E0522:  T. Abe, Y. Miyata, T. Shiohama
  On transformation of scale distributions on the circle
  E0586:  R. Simone, C. Ley
  Modelling earthquakes: Characterizing inter-arrival times and magnitude
  E0928:  P. Vallois
  A characterization of the Kummer distributions on symmetric matrices
Session EO634 Room: CLO 204
Recent advances in optimal experimental designs Sunday 17.12.2017   10:50 - 12:55
Chair: Alexander Donev Organizer: Alexander Donev
  E1399:  H. Grossmann
  A review of optimal and efficient designs for choice experiments with partial profiles
  E0358:  Y. Englezou, D. Woods, T. Waite
  New methods for approximating the expected utility in Bayesian design for nonlinear models
  E0361:  T. Waite, D. Woods
  Random designs for misspecified regression models
  E1175:  K. Tvermosegaard, J. Whittaker, D. Woods
  Comparison of methods for D-optimal design for nonlinear mixed effects models
  E0223:  A. Donev
  Optimum designs for generalised linear models for bivariate response
Session EO649 Room: MAL 414
Statistical evaluation of medical diagnostic tests Sunday 17.12.2017   10:50 - 12:55
Chair: Maria del Carmen Pardo Organizer: Maria del Carmen Pardo
  E0252:  M.D.C. Pardo, A. Franco-Pereira, C.T. Nakas
  The length of the ROC curve as a summary measure under the binormal model
  E0368:  L. Bantis, C.T. Nakas, B. Reiser
  Parametric and non-parametric confidence intervals for the maximum of the Youden index and its associated threshold
  E0632:  R. Kolamunnage-Dona
  Evaluating efficacy of a longitudinal biomarker for clinical endpoint: A joint modelling approach
  E0642:  C. Proust-Lima, L. Ferrer
  Individual dynamic predictions using landmarking and joint modelling: Validation of estimators and robustness assessment
  E1521:  A. Alonso Abad, W. Van der Elst, G. Molenberghs
  An information-theoretic approach for the evaluation of surrogate endpoints based on causal inference
Session EO380 Room: MAL 415
Recent advances in tree-based methods Sunday 17.12.2017   10:50 - 12:55
Chair: Ruoqing Zhu Organizer: Ruoqing Zhu
  E0183:  L. Mentch, G. Hooker
  Inference and consistent variable selection for random forests and other tree-based ensembles
  E0355:  R. Genuer, L. Capitaine, R. Thiebaut
  Random forests for high dimensional longitudinal data
  E0501:  A. Linero, Y. Yang
  Bayesian tree ensembles that adapt to smoothness and sparsity
  E1322:  C. Weng, L. Diao
  Regression Tree Credibility Model
  E1393:  R. Friedberg, J. Tibshirani, S. Athey, S. Wager
  Locally linear forests
Session EO224 Room: MAL 416
High dimensional data analysis with applications to biomedical studies Sunday 17.12.2017   10:50 - 12:55
Chair: Hongyuan Cao Organizer: Hongyuan Cao
  E1459:  P. Wang
  iJRF to study the effect of environmental exposures on miRNA-mRNA interactions in mammary transcript
  E1742:  H. Cao
  High dimensional integrative analysis
  E1674:  Y. Ning, H. Liu
  A general framework for high-dimensional inference and multiple testing
  E1297:  L. Chen
  A multivariate mixed-effects selection model for batch-processed proteomics data with non-ignorable missingness
  E1477:  H. Zhong
  Gene regulatory networks for genomewide functional screen data
Session EO033 Room: MAL 421
New advances in statistical depth Sunday 17.12.2017   10:50 - 12:55
Chair: Davy Paindaveine Organizer: Davy Paindaveine
  E1148:  J. Josse, P. Mozharovskyi, F. Husson
  Nonparametric imputation by data depth
  E0688:  A. Nieto-Reyes, H. Battey
  A functional depth example satisfying the axiomatic properties of functional depth
  E0179:  D. Paindaveine, G. Van Bever
  Halfspace depths for scatter, concentration and shape matrices
  E1710:  J. Chau, R. von Sachs, H. Ombao
  Data depth for covariance and spectral density matrices
Session EO130 Room: MAL 532
Dependence models and copulas: Theory and applications Sunday 17.12.2017   10:50 - 12:55
Chair: Fabrizio Durante Organizer: Fabrizio Durante, Wolfgang Trutschnig
  E0287:  G. Marra, R. Radice
  Copula bivariate generalized survival models
  E0306:  T. Vatter, T. Nagler
  Generalized additive models for pair-copula constructions
  E1073:  S. Fuchs, F.M.L. Di Lascio, F. Durante
  Dissimilarity functions for copula-based hierarchical clustering of continuous variables
  E1577:  P. Jaworski
  On Sklar's theorem with multivariate marginals
  E0795:  H. Sloot
  Exogenous shock models: Characterization and hierarchical construction
Session EO232 Room: MAL 538
Clustering/classification and mixtures I Sunday 17.12.2017   10:50 - 12:55
Chair: Geoffrey McLachlan Organizer: Geoffrey McLachlan
  E0300:  F. Greselin, L.A. Garcia-Escudero, A. Mayo-Iscar, G. McLachlan
  Advances in robust estimation of skew normal mixtures
  E1126:  S. Lee
  Flexible mixtures of factor models based on skew component distributions
  E0708:  L. Anderlucci, A. Montanari, C. Viroli
  The importance of being clustered: Uncluttering the trends of statistics from 1970 to 2015
  E1452:  H. Nguyen, G. McLachlan, G. McLachlan
  Mixtures of locally-mapped support vector machines
  E1121:  K. Leemaqz
  Distributed and private model-based clustering
Session EO366 Room: MAL 539
New advances for complex data Sunday 17.12.2017   10:50 - 12:55
Chair: Eric Laber Organizer: Pengsheng Ji, Eric Laber
  E1255:  R. Martin
  Posterior concentration rates using new empirical priors
  E1210:  N.N. Narisetty
  Scalable computation with skinny Gibbs sampler for high dimensional Bayesian models
  E1248:  K. Linn, R. Shinohara, S. Vandekar
  Inter-modal coupling: A class of measurements for studying local covariance patterns among multiple imaging modalities
  E0784:  C. Chen, S. Guo, X. Qiao
  Functional linear model with dependent regressors in high dimensions
  E1468:  C. Butucea, N.A. Stepanova
  Variable selection in sparse additive models
Session EO025 Room: MAL 540
Spatiotemporal data analysis and its application Sunday 17.12.2017   10:50 - 12:55
Chair: Jian Qing Shi Organizer: Catherine Chunling Liu
  E0385:  E.J. Zhang, Y. Guan
  A new clustered temporal point process model with application to social media user data
  E0580:  C.T. Ng, W. Lee, Y. Lee
  Clustering and pairwise multiple comparison of spatial-temporal data based on L1 penalty
  E1703:  F.J. Esquivel, J.M. Angulo, F.J. Alonso
  Spatio-temporal analysis of seismic data using entropy-based complexity measures in the multifractal domain
  E1583:  S. Pereira, K. Turkman, L. Correia, H. Rue
  Spatio-temporal models for georreferenced unemployment data
  E1504:  M.K.H. Khan, B.T. Wilson, A. Chakraborty, G. Petris
  A Bayesian spatio-temporal model for map reconstruction of remote sensing observations and forest inventory prediction
Session EO571 Room: MAL 541
Recent results in change point analysis of multivariate data Sunday 17.12.2017   10:50 - 12:55
Chair: Zuzana Praskova Organizer: Zuzana Praskova
  E0213:  M. Wendler
  Bootstrap in Hilbert spaces and the detection of changes in distribution
  E0285:  D. Jaruskova
  Properties of change point estimates for short time series with missing data
  E0497:  Z. Hlavka, M. Huskova, S. Meintanis
  Change point detection in VAR models based on characteristic functions
  E0226:  M. Pesta, B. Pestova
  Change point analysis in panel data without boundary issue
  E0798:  Z. Praskova
  Sequential break detection in panel data
Session EC695 Room: MAL 402
Contributions in robust statistics Sunday 17.12.2017   10:50 - 12:55
Chair: Peter Rousseeuw Organizer: CMStatistics
  E1709:  J. Rendlova, K. Facevicova, K. Hron, P. Filzmoser
  Principal component analysis of compositional tables using classical and robust methods
  E1707:  M. Schindler, J. Picek
  L-moments in linear regression model
  E1754:  N. Stefelova, A. Alfons, J. Palarea-Albaladejo, P. Filzmoser, K. Hron
  Robust regression on compositional variables including cell-wise outliers
  E1812:  R. Da-ano
  Robust estimation of multilevel models with sufficient sample sizes
  E1632:  M. Zhelonkin
  Robust estimation of treatment effects in a latent-variable framework
Session EP002 Room: Macmillan Hall and Crush Hall
Poster Session Sunday 17.12.2017   10:50 - 12:55
Chair: Marios Fyrillas Organizer: Cmstatistics Wg
  E0266:  S.J. Villejo, R. Lacaza
  Linking climate and incidence of dengue in the Philippines with a dynamic spatio-temporal model
  E0404:  J. Espasandin-Dominguez, C. Cadarso Suarez, T. Kneib, F. Gude
  Continuous glucose monitoring using distributional regression models
  E0359:  P. Oliveira, J. Espasandin-Dominguez, I. Vila, J. Cotter, P. Cunha, C. Cadarso Suarez
  Bivariate copula regression models in cardiovascular disease
  E0448:  S. Ferrigno, M.-J. Martinez, R. Azais
  Goodness-of-fit tests for regression models
  E0514:  R.M. Fernandez-Alcala, J. Navarro-Moreno, J.C. Ruiz-Molina, J.D. Jimenez-Lopez
  A semi-widely linear prediction algorithm for stationary Gaussian quaternion signals
  E1392:  M.J.K. Mueller-Platz, M. Kateri, I. Moustaki
  A simulation-study on pseudo likelihood estimation for item response models of binary data under uncertainty
  E1501:  R. Hendrych, T. Cipra
  Robust recursive estimation of GARCH models
  E1505:  M. Fyrillas
  Optimum periodic geometries that maximize the heat transfer rate from a solid slab
  E1509:  M. Chvostekova
  Multiple-use confidence regions in multivariate calibration problem
  E1555:  S. Flimmel, J. Prochazka
  A new approach for ARMA order estimation based on clipping
  E1553:  A. Shimokawa, M. Kuroda, E. Miyaoka
  Symbolic data analysis using classification tree
  E1569:  J. Jakubik
  Convex variable selection for high-dimensional linear mixed models
  E1576:  T. Kurosawa, A. Shimokawa, E. Miyaoka
  Application of transition models for higher-order crossover designs with binary responses
  E1657:  Y. Kim, J. Lim, J. Jeong, J.S. Lee
  Two stage rule to control two-dimensional false discovery rate for composite null hypothesis
  E1696:  J. Kysely
  Simulation of major heat waves in central Europe in EURO-CORDEX RCMs
  E1750:  D. Pestana, M. Brilhante, S. Mendonca
  Mendel mixtures of genuine and fake $p$-values in meta analysis
  E1687:  A. Turkman, A. Sa
  Exploring fire incidence in Portugal using generalized additive models for location, scale and shape
  E1607:  V. Witkovsky
  CharFunTool: The characteristic functions toolbox
  E1836:  A. Pamukcu, O. Asar
  Predicting survival risks in the presence of multiple longitudinal markers: A simulation study
  E1837:  A. Rossa, A. Szymanski
  Fuzzy mortality models based on Von Neumann algebras
  E1845:  F. Jimenez-Jimenez
  Between-team competition, within-team cooperation and team composition: An experimental study
  E1851:  E. Fernandez Iglesias, G. Gonzalez-Rodriguez, J. Marquinez, M. Fernandez-Garcia
  Evolution in the relation between rainfall and fluvial discharge since 1970 in Esva Basin (NW Spain)
  E1863:  A. Borowska, R. King
  Semi-complete data likelihood for efficient state space model fitting
  E1865:  C. Acal, J.E. Ruiz-Castro, A.M. Aguilera, F. Jimenez-Molinos, J.B. Roldan
  A new statistical approach for modelling reset/set voltages in resistive memories
  E1867:  M. Escabias, A.M. Aguilera, M.J. Valderrama, M.C. Aguilera-Morillo
  Statfda: Performing functional data analysis online
Parallel session H: CFE2017 Sunday 17.12.2017 10:50 - 12:55

Session CI003 Room: Beveridge Hall
Simulation-based methods in economics and finance Sunday 17.12.2017   10:50 - 12:55
Chair: David Frazier Organizer: Veronika Czellar
  C0176:  D. Frazier, D. Zhu
  Derivative-based optimization with a non-smooth simulated criterion
  C0175:  C. Gourieroux, A. Monfort
  Composite indirect inference with application to corporate risks
  C0331:  G. Martin, D. Frazier, W.O. Maneesoonthorn, B. McCabe
  Approximate Bayesian forecasting
Session CO114 Room: Bloomsbury
Recent advance in nonparametric and semiparametric econometrics Sunday 17.12.2017   10:50 - 12:55
Chair: Degui Li Organizer: Degui Li
  C0412:  B. Koo, D. Frazier
  Indirect inference for locally stationary models
  C0409:  L. Wei
  Nonparametric homogeneity pursuit in functional-coefficient models
  C0624:  F. Bravo
  Higher order properties of estimators in nonparametric moment conditions models with weakly dependent data
  C0833:  S. Kanaya, D. Kristensen, Y. Zu
  Adaptive inference in continuous-time asset pricing factor models
  C0755:  Y. Zu, D. Harvey, S. Leybourne
  Estimating spot variance in possibly explosive AR(1) model: Application to testing bubble with heteroscedastic data
Session CO419 Room: Chancellor's Hall
Inference for high-dimensional econometric time series Sunday 17.12.2017   10:50 - 12:55
Chair: Stephan Smeekes Organizer: Stephan Smeekes
  C0489:  T. Boot, D. Nibbering
  Inference in high-dimensional linear regression models
  C0711:  M. Avarucci, S. Smeekes
  Penalized quasi-maximum likelihood estimation in extended constant conditional correlation GARCH models
  C0555:  C. Schiavoni, S. Smeekes, J. van den Brakel, F. Palm
  Real-time estimation of unemployment with dynamic factor and time-varying state space models
  C1052:  P. Pedroni, L. Lieb
  A nonlinear panel structural VARs approach to state dependent fiscal multipliers
  C0465:  S. Smeekes, L. Lieb, M. Staudigl
  Structured regularization of high-dimensional panel vector autoregressions
Session CO077 Room: Court
Central bank forecasting I Sunday 17.12.2017   10:50 - 12:55
Chair: Knut Are Aastveit Organizer: Knut Are Aastveit
  C0210:  S. Eraslan, K. Hauzenberger
  Forecasting industrial production in Germany
  C0411:  A. van Vlodrop, M. Banbura
  Forecasting with VARs with time-variation in the mean
  C0611:  A. Halka, G. Szafranski
  On core inflation indicators: Evidence from the European Union countries
  C1116:  E. Knotek, S. Zaman
  Financial nowcasts and their usefulness in macroeconomic forecasting
  C0949:  A. Anundsen, K.A. Aastveit
  Residential construction activity and recession predictability
Session CO524 Room: G11
Behavioural and emotional finance: Theory and evidence Sunday 17.12.2017   10:50 - 12:55
Chair: Richard Fairchild Organizer: Richard Fairchild
  C0240:  C. Scarampi, R. Fairchild, A. Palermo, N. Hinvest
  Age differences in the effects of metacognition on financial decision-making
  C0253:  Y. Zeng
  A revisit on government ownership: Evidence from China after the secondary privatisation
  C1274:  M. Alsharman, R. Fairchild, N. Hinvest
  Analysing financial herding through network analysis
  C0964:  R. Fairchild
  Information cascades, herding and emotional investors in an IPO: Rational decision-making distorted by phantasy
  C0997:  W. Abdallah, Y. Zhao
  Culture and executive compensation
Session CO304 Room: G4
Uncertainty and central banks Sunday 17.12.2017   10:50 - 12:55
Chair: Svetlana Makarova Organizer: Svetlana Makarova, Wojciech Charemza
  C0950:  C. Diaz
  Measuring the effect of expected inflation uncertainty on the UK economy
  C0275:  K. Istrefi
  On Fed watchers' eyes: Hawks, doves and monetary Policy
  C0943:  S. Lee
  Central bank transparency and inflation uncertainty: Evidence for South Korea
  C1061:  S. Makarova, W. Charemza, C. Diaz
  Quasi ex-ante inflation forecast uncertainty
Session CO721 Room: G5
Advanced topics in macroeconometric modeling Sunday 17.12.2017   10:50 - 12:55
Chair: Florian Huber Organizer: Florian Huber
  C0366:  P. Piribauer, F. Huber
  Common versus country-specific factors in Euro Area output gap estimation
  C0840:  C. De Luigi, F. Huber
  Debt regimes and the effectiveness of monetary policy
  C1193:  A. Fichet de Clairfontaine, H. Badinger
  Dynamics of the trade balance: In search of the J-curve using a structural gravity approach
  C0831:  T. Krisztin
  Estimating global crop price elasticities: A VAR approach
  C0640:  T. Zoerner
  Equilibrium credit growth in the euro area: A non-linear model approach
Session CO398 Room: Gordon
Dynamics of risk premia Sunday 17.12.2017   10:50 - 12:55
Chair: Elise Gourier Organizer: Elise Gourier
  C0297:  H. Langlois
  Time-varying risk premia in large international equity markets
  C0517:  I. Piatti, A. Buraschi, P. Whelan
  Expected term structures
  C0941:  C. Heyerdahl-Larsen, P. Ehling, A. Graniero
  Asset prices and portfolio choice with learning from experience
  C0752:  A. Kontoghiorghes
  Pricey puts and return predictability
  C0626:  R. Tedongap, B. Feunou, R. Lopez Aliouchkin, L. Xu
  A cross-sectional analysis of the variance risk premium
Session CO376 Room: CLO 102
Small-sample asymptotics Sunday 17.12.2017   10:50 - 12:55
Chair: Benjamin Holcblat Organizer: Benjamin Holcblat
  C0270:  E. Ronchetti, D. La Vecchia
  Saddlepoint approximations for short and long memory time series: A frequency domain approach
  C0407:  F. Sowell, B. Holcblat
  The empirical saddlepoint estimator
  C0402:  R. Kan, S. Broda
  Higher order saddlepoint approximations
  C0432:  A. Ullah, T.-H. Lee, H. Wang
  The second-order bias and MSE of quantile estimators
  C0754:  A. Almudevar
  Approximation methods for the Rice formula, with applications to small sample asymptotics
Session CO494 Room: Jessel
Latest developments in risk modeling and forecasting Sunday 17.12.2017   10:50 - 12:55
Chair: Roxana Halbleib Organizer: Roxana Halbleib
  C0190:  D. Veredas, Y. Dominicy, M. Heikkila
  Flexible multivariate Hill estimators
  C0216:  T. Fissler, J.F. Ziegel, T. Gneiting
  Elicitability: The quest of comparing risk measure estimates in a meaningful way
  C0692:  T. Dimitriadis, S. Bayer
  Regression based expected shortfall backtesting
  C0736:  I. Nolte, S. Nolte, Y. Li
  Intraday variance-covariance matrix estimation: A point process approach
  C1818:  R. Halbleib, G. Calzolari
  Modelling realized covariance matrices by means of factor models
Session CO112 Room: Montague
Regime switching, filtering, and portfolio optimization Sunday 17.12.2017   10:50 - 12:55
Chair: Leopold Soegner Organizer: Leopold Soegner, Joern Sass
  C0953:  C. Erlwein-Sayer, T. Sayer, G. Mitra
  Enhancing trading strategies under regime shifts
  C0685:  K. Poetzelberger
  Local alternatives of signal detection tests
  C0680:  J. Reynolds, L. Soegner, M. Wagner, D. Wied
  Analyzing and testing the triangular arbitrage parity
  C0967:  J. Sass
  Model reduction and filtering for portfolio optimization in hidden Markov models
  C0758:  D. Westphal, J. Sass, R. Wunderlich
  Expert opinions and their approximation for multivariate stock returns with Gaussian drift
Session CO526 Room: Senate
Co-integration, trend breaks, and mixed frequency data Sunday 17.12.2017   10:50 - 12:55
Chair: Robert Taylor Organizer: Robert Taylor
  C1200:  P. Boswijk, G. Cavaliere, I. Georgiev, A. Rahbek
  Bootstrapping non-stationary stochastic volatility
  C1159:  M. Chambers
  Frequency domain estimation of cointegration vectors with mixed frequency and mixed sample data
  C0762:  L. De Angelis, R. Taylor, G. Cavaliere, P. Boswijk
  Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
  C0836:  D. Harris
  Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
  C1158:  R. Taylor, G. Cavaliere, D. Harris, S. Price
  Testing for co-integration rank in VAR models allowing for multiple breaks in trend and variance
Session CO565 Room: Woburn
Modeling and estimating business and financial cycles Sunday 17.12.2017   10:50 - 12:55
Chair: Andrea Silvestrini Organizer: Andrea Silvestrini
  C1014:  A. Silvestrini, G. Bulligan, L. Burlon, D. Delle Monache
  Real and financial cycles: Estimates using unobserved component models for the Italian economy
  C1472:  P. Welz, J.H. Lang
  Semi-structural credit gap estimation
  E0869:  T. Cesaroni, L. Monteforte
  Business confidence indicators across (similar) surveys
  C1526:  M. Scharnagl, M. Mandler
  Financial cycles in the euro area: A wavelet analysis
  C1473:  D. Maia
  Financial frictions and business cycles: A wavelet analysis
Session CO400 Room: SH349
Computational econometrics and modelling I Sunday 17.12.2017   10:50 - 12:55
Chair: Gareth Peters Organizer: Gareth Peters
  C1487:  M. Ames, G. Bagnarosa, G. Peters, P. Shevchenko, T. Matsui
  Which risk factors drive oil futures price curves: Speculation and hedging in the short and long-term
  C1386:  M. Marowka, G. Peters, N. Kantas, G. Bagnarosa
  Bayesian inference for dynamic cointegration models with application to soybean crush spread
  C1380:  G. Bagnarosa, S. Gao, G. Peters, M. Ames, T. Matsui
  Spatio-temporal modeling of yield-weather dependence
  C1647:  Y. Kanazawa, Y. Kanazawa
  Asymptotics for differentiated product demand/supply systems with many markets in the presence of national micro moments
  C1368:  G. Peters, D. Toczydlowska, P. Shevchenko
  Robust probabilistic PCA and dynamic factor models in mortality
Session CC705 Room: MAL 152
Contributions in computational econometrics Sunday 17.12.2017   10:50 - 12:55
Chair: Ana Escribano Organizer: CFE
  C1699:  A. Escribano, M. Maggi
  Intersectorial default contagion: A multivariate Poisson auto-regression analysis
  C1708:  M. Galvani, S. Figini
  Optimal model selection in binary predictive data science models
  C1764:  J. Dufek, M. Smid
  Joint estimation of parameters of mortgage portfolio and the factor process
  C1465:  E. Senra, P. Poncela, J. Bogalo
  Factor models by frequency by multivariate circulant singular spectrum Analysis - MCSSA
  C1662:  C. Charalambous, S. Martzoukos, Z. Taoushianis
  Maximizing discriminatory power of bankruptcy prediction models: Empirical evidence over short and long-term horizons
Session CC713 Room: MAL 153
Contributions in empirical finance Sunday 17.12.2017   10:50 - 12:55
Chair: Robert Jung Organizer: CFE
  C1611:  J. Barunik, C.Y.-H. Chen, W.K. Haerdle
  A tale of sentiment driven tail events: A dynamic quantile model for asset pricing with sentiment
  C1720:  K. Yamada, T. Mizuno
  Estimation of market impact cost using high frequency execution and order book data
  C0237:  D. McMillan
  The information content of stock market factors
  C1160:  S. Schraeder
  Confirming signals are hard to resist: Blessing and curse of information under confirmation bias
  C0238:  A. Liu, J. Chen, S. Yang
  Detecting market irrationality using news sentiment and information entropy
Session CG245 Room: G3
Contributions in testing and forecasting financial time series Sunday 17.12.2017   10:50 - 12:55
Chair: Laurent Pauwels Organizer: CFE
  C0818:  A. Heinemann, E. Beutner, S. Smeekes
  Justifying conditional confidence intervals using sample splitting
  C1278:  L. Pauwels, F. Chan
  Optimal combination of forecasts under mean absolute deviation
  C1567:  G. Mirone
  Inference from the futures: Ranking the noise cancelling accuracy of realized measures
  C1461:  T. Kutzker, D. Wied
  Testing the correct specification of a spatial panel model for stock returns
  C1574:  I. Kheifets
  Multivariate specification tests based on a dynamic Rosenblatt transform
Session CG082 Room: MAL 151
Contributions in financial econometrics I Sunday 17.12.2017   10:50 - 12:55
Chair: Fulvio Corsi Organizer: CFE
  C0280:  L. Symeonidis, I. Oikonomou, A. Stancu, C. Wese
  The information content of short-term options
  C1514:  F. Corsi, G. Buccheri
  Realized volatility modelling with measurement errors and nonlinear effects
  C1207:  T. Kobayashi
  Global bond market interaction using regime-switching dynamic term structure model
  C1532:  E. Pavlidis, K. Vasilopoulos
  On speculative bubbles in the Chinese stock market: Evidence from cross-listed stocks
  C1552:  G. Gauthier, J.-F. Begin, D. Amaya
  Extracting latent states from high frequency option prices
Session CP001 Room: Macmillan Hall and Crush Hall
Poster Session Sunday 17.12.2017   10:50 - 12:55
Chair: Christos Savva Organizer: CFE
  C0946:  T. Ito
  Bayesian approach to the multivariate Fay-Herriot model
  C1580:  N. Jawadi, A. Idi cheffou, F. Jawadi
  A statistical analysis of uncertainty for conventional and ethic investments
  C1778:  A. Czapkiewicz, A. Zaremba
  Effects of some indicators on existence of anomalies in frontier stock markets
  C1664:  M. Nevrla, J. Barunik
  Asset pricing in the quantile-frequency domain
  C1681:  L. Vacha, J. Barunik
  Dynamic quantile models, rational inattention, and asset prices
  C1615:  A. Dionisio, W. Mohti, I. Vieira
  Frontier markets efficiency: Mutual information and DFA analyses
  C0330:  A. Boateng, L.A. Gil-Alana
  Modelling persistence in the conditional mean of inflation using an ARFIMA process with GARCH and GJR-GARCH innovations
  C1857:  M. Kim
  Robust on-line portfolio selection via adaptive conditional volatility estimation
  C1856:  J. Kurka
  On the cross-influence of cryptocurrencies and traditional asset classes
  C1864:  M. Hronec, J. Barunik
  Portfolio diversification in the spectral domain
Parallel session I: CMStatistics2017 Sunday 17.12.2017 14:25 - 16:05

Session EO208 Room: CLO B01
Bayesian semi- and nonparametric modelling II Sunday 17.12.2017   14:25 - 16:05
Chair: Matteo Ruggiero Organizer: Matteo Ruggiero, Li Ma, Raffaele Argiento
  E1346:  F. Caron, G. Di Benedetto, Y.W. Teh
  Non-exchangeable random partition model for microclustering
  E0927:  I. Bianchini, R. Argiento, J. Griffin
  Exploiting conjugacy to build time dependent completely random measures
  E1114:  R. Ranganath, D. Blei
  Correlated random measures
  E0828:  J. Arbel, S. Favaro
  Investigating predictive probabilities of Gibbs-type priors
Session EO740 Room: MAL B18
Graphical Markov models III Sunday 17.12.2017   14:25 - 16:05
Chair: Elena Stanghellini Organizer: Elena Stanghellini
  E1288:  S. Lauritzen
  A generic algorithm for estimation in undirected graphical models
  E1063:  J. Mooij
  Markov and other properties of cyclic structural causal models
  E1195:  A. Gottard
  Graphical models based on trees
  E0442:  K. Sadeghi
  On Finite Exchangeability and Conditional Independence
Session EO210 Room: MAL B20
Multivariate extreme value Sunday 17.12.2017   14:25 - 16:05
Chair: Armelle Guillou Organizer: Armelle Guillou
  E0247:  V. Asimit, R. Gerrard, Y. Hou, L. Peng
  Tail dependence measure for examining financial extreme co-movements
  E0731:  S. Rizzelli, S. Padoan, A. Guillou
  Inference methods for dependent and asymptotically independent extremes
  E0728:  C. Zhou, S. Engelke, P. Naveau, C. Zhou
  The Kullback-Leibler divergence in testing multivariate extreme value models
  E0747:  J. Einmahl, J. Einmahl, L. de Haan
  Limits to human life span through extreme value theory
Session EO356 Room: MAL B30
Time series and extremes Sunday 17.12.2017   14:25 - 16:05
Chair: Thomas Mikosch Organizer: Thomas Mikosch
  E1241:  B. Basrak
  On records of stationary heavy tailed sequences
  E0858:  J. Heiny, T. Mikosch
  A comparison of high-dimensional sample covariance and correlation matrices of a heavy-tailed time series
  E0659:  R. Kulik
  Limit theorems for empirical cluster functionals with applications to statistical inference
  E0633:  O. Wintenberger, T. Mikosch, M. Rezapour
  Heavy tails for an alternative stochastic perpetuity model
Session EO670 Room: MAL B33
Recent developments for complex data Sunday 17.12.2017   14:25 - 16:05
Chair: Juan Romo Organizer: Juan Romo
  E0328:  C. Euan
  Spectra-based clustering methods for visualizing spatio-temporal patterns of winds and waves in the Red Sea
  E0947:  F. Ieva, J. Romo, F. Palma
  A bootstrap approach to the inference on dependence in a multivariate functional setting
  E0598:  A. Ruiz-Gazen
  The ELFE survey and its complex survey design
  E0778:  J.L. Torrecilla, J. Berrendero, A. Cuevas
  Functional variable selection based on RKHS
Session EO555 Room: MAL B34
High-dimensional functional data analysis Sunday 17.12.2017   14:25 - 16:05
Chair: Matthew Reimherr Organizer: Matthew Reimherr
  E1012:  A. Stoecker, S. Brockhaus, S. Schaffer, B. von Bronk, M. Opitz, S. Greven
  Boosting functional response models for location, scale and shape with an application to bacterial competition
  E0706:  S. Vantini, A. Pini, L. Spreafico, A. Vietti
  Non-parametric multi-aspect local null hypothesis testing for functional data: Analysis of articulatory phonetics data
  E1245:  L. Xiao
  Some theoretic results on functional data analysis with penalized splines
  E1595:  M. Cremona, F. Chiaromonte
  Probabilistic K-mean with local alignment for functional motif discovery
Session EO672 Room: MAL B35
Understanding brain functional connectivity Sunday 17.12.2017   14:25 - 16:05
Chair: Hernando Ombao Organizer: Jane-Ling Wang
  E0391:  J.-L. Wang, H.-G. Mueller, Y. Zhou, O. Carmichael
  Gradient synchronization as a measure for brain functional connectivity
  E1409:  C.M. Ting, H. Ombao
  Estimating dynamic connectivity states in fMRI
  E1736:  A. Petersen, H.-G. Mueller, S. Deoni
  Fr\'echet estimation of dynamic covariance matrices, with application to regional myelination in the developing brain
  E1644:  D. Bowman, J. Kim, B. Cheng, D. Drake
  Time varying brain functional connectivity: Change-point estimation and testing
Session EO682 Room: Bloomsbury
Advances in the analysis of microbiome data Sunday 17.12.2017   14:25 - 16:05
Chair: Michele Guindani Organizer: Michele Guindani, Snehalata Huzurbazar
  E1156:  S. Bacallado
  Training black-box models for de novo reconstruction in metagenomic data
  E1268:  J. OBrien
  Understanding microbiome meta-community structure through a hierarchical Dirichlet process
  E1091:  I. Ugrina
  On current challenges in the analysis of microbiome data from both academic and non-academic perspectives
  E0880:  J. Zhou, J. Zhai, H. Zhou
  Variance component selection with microbiome taxonomic data
Session EO668 Room: Chancellor's Hall
Time series Sunday 17.12.2017   14:25 - 16:05
Chair: Andrew Walden Organizer: Andrew Walden
  E0396:  S. Olhede
  Complex oceanic time series observations
  E0363:  A. Walden
  Time series graphical modelling via partial coherence and lessons from EEG analysis
  E0461:  R. Bhansali, D. Natsios
  A dual parameter long memory time series model
  E0788:  A. Sykulski
  Complex-valued stochastic process modelling with some physical applications
Session EO182 Room: Court
Copula modeling for partly discrete data or data with ties Sunday 17.12.2017   14:25 - 16:05
Chair: Ivan Kojadinovic Organizer: Ivan Kojadinovic
  E1610:  O. Faugeras
  Inference for copula modeling of discrete data: A cautionary tale and some facts
  E0554:  D. Kurowicka
  Vine copula regression with mixed discrete and continuous predictors
  E0186:  G. Salvadori, F. Durante, R. Pappada
  Assessing the structural risk accounting for ties
  E0588:  I. Kojadinovic
  Some copula specification tests adapted to ties
Session EO029 Room: G11
Recent advances in high dimensional statistics Sunday 17.12.2017   14:25 - 16:05
Chair: Ali Shojaie Organizer: Moulinath Banerjee
  E1261:  A. Giessing
  Predictive risk estimation in high-dimensional misspecified quantile regression
  E0909:  P. Nandy, H. Li
  Estimating and testing individual mediation effects in high-dimensional settings
  E0933:  R. Shah, P. Buehlmann, N. Meinshausen
  Double estimation friendly inference in high-dimensional statistics
  E1429:  G. Michailidis
  Intelligent sampling for change point analysis problems
Session EO045 Room: G21A
Regularisation and model choice for duration time analysis Sunday 17.12.2017   14:25 - 16:05
Chair: Thomas Kneib Organizer: Thomas Kneib, Andreas Groll
  E0643:  A. Bender
  Penalized estimation of cumulative effects
  E1072:  F. Gude, I. Guler, C. Faes, C. Cadarso Suarez
  Recent developments on joint modelling for longitudinal and survival data: Applications to biomedicine
  E0837:  E. Waldmann, A. Mayr, C. Griesbach
  Variable selection and allocation in joint models for longitudinal and time-to-event data via boosting
  E0201:  A. Groll, T. Kneib, T. Hastie, G. Tutz
  Selection of effects in Cox frailty models by regularization methods
Session EO461 Room: G3
Model selection and inference Sunday 17.12.2017   14:25 - 16:05
Chair: Ulrike Schneider Organizer: Ulrike Schneider
  E1120:  K. Johnson
  Controlling FWER in Stepwise Regression Using Multiple Comparisons
  E1868:  U. Schneider, K. Ewald
  On the distribution and model selection properties of the Lasso in low and high dimensions
  E0998:  L. Steinberger, H. Leeb
  Hypothesis testing when fitting simple models to high-dimensional data
  E0628:  D. Preinerstorfer, F. Bachoc, L. Steinberger
  Uniformly valid confidence intervals post-model-selection
Session EO636 Room: G4
Repurposing drugs using electronic health records Sunday 17.12.2017   14:25 - 16:05
Chair: Roy Welsch Organizer: Roy Welsch
  E1253:  R. Betensky
  Statistical considerations for synthetic clinical trials
  E1192:  C. Fogarty
  Studentized sensitivity analysis in paired observational studies
  E1499:  I. Tzoulaki
  Investigating anticipated and un-anticipated effects of drugs in large biobanks
  E1841:  V. Acha, A. Towse
  Repurposing evidentiary standards and evaluation in practice
Session EO164 Room: G5
Computational aspects in inference for stochastic processes Sunday 17.12.2017   14:25 - 16:05
Chair: Hiroki Masuda Organizer: Hiroki Masuda
  E1089:  K. Kamatani
  Curse of dimensionality of MCMC
  E0679:  L. Mercuri
  New classes and methods in YUIMA
  E0370:  I. Muni Toke
  Intensities ratios models with applications to the modelling of limit order books
  E0974:  N. Yoshida
  Penalized methods for stochastic processes
Session EO559 Room: Gordon
Advances in high-dimensional data analysis Sunday 17.12.2017   14:25 - 16:05
Chair: Hao Chen Organizer: Hao Chen, Lan Wang
  E0367:  Y. Xia
  A general framework for information pooling in two-sample sparse inference
  E0803:  X. Li, J. Chen
  Memory efficient low-rank approximation from incomplete entries via nonconvex optimization
  E0639:  Y. Zhu, X. Shen, W. Pan
  Maximum likelihood inference for a large precision matrix
  E0920:  W. Zhou, C. Zheng, W. Zhou, L. Zhang
  A unified nonparametric procedure on detecting spurious discoveries under sparse signals
Session EO206 Room: CLO 101
Higher moments in multivariate analysis Sunday 17.12.2017   14:25 - 16:05
Chair: Nicola Loperfido Organizer: Nicola Loperfido
  E0308:  J. Martin Arevalillo, H. Navarro-Veguillas
  Maximal skewness projections for scale mixtures of skew-normal vectors
  E0797:  F. Javed, N. Loperfido, S. Mazur
  Fourth cumulant for multivariate aggregate claim models
  E0665:  N. Loperfido
  Linear projections for kurtosis removal
  E1384:  K. Podgorski, S. Mazur, T. Kozubowski
  Gamma distributed covariance matrices and their moments
Session EO360 Room: CLO 102
Inference in semi- and nonparametric models Sunday 17.12.2017   14:25 - 16:05
Chair: Christopher Parmeter Organizer: Christopher Parmeter
  E1069:  R. Liu
  Accelerated failure time models with logconcave errors
  E1000:  C. Martins-Filho
  Unified estimation of densities on bounded and unbounded domains
  E1075:  D. Henderson, A. Sheehan
  Departures from symmetry and testing for heteroskedasticity in nonparametric regression
  E0984:  C. Parmeter, N. McCloud
  Calculating degrees of freedom in multivariate local polynomial regression
Session EO354 Room: Jessel
Provable tensor methods in machine learning Sunday 17.12.2017   14:25 - 16:05
Chair: Will Wei Sun Organizer: Will Wei Sun
  E0284:  E. Chi
  Tensor canonical correlation analysis
  E0371:  X. Zhang
  Covariate-adjusted tensor classification in high-dimensions
  E0975:  A. Benson, D. Gleich, L.-H. Lim
  Spacey random walks
  E1161:  T. Suzuki
  Estimation accuracy and computational efficiency of non-parametric kernel tensor estimators
Session EO717 Room: Montague
Model selection and classification for very large scale data Sunday 17.12.2017   14:25 - 16:05
Chair: Maria-Pia Victoria-Feser Organizer: Maria-Pia Victoria-Feser
  E1283:  F. Schroeder, P. Filzmoser
  On an exact nonparametric test for class separability for the purpose of filter-type model selection
  E0908:  M.-P. Victoria-Feser, S. Guerrier, M. Avella Medina
  A prediction divergence criterion for model selection in high dimensional settings
  E1273:  H. Wang
  A scalable frequentist model averaging method
  E1374:  R. Molinari, S. Guerrier, Y. Ma, M. Avella Medina, S. Orso, M. Nabil
  A prediction-based algorithm for variable selection with applications in genomics
Session EO258 Room: Senate
Robustness for high-dimensional and functional data Sunday 17.12.2017   14:25 - 16:05
Chair: Stefan Van Aelst Organizer: Stefan Van Aelst
  E0543:  K. Peremans, S. Van Aelst
  Fast and robust model selection criterion in generalized linear models
  E1300:  M. Avella Medina, F. Parise, M. Schaub, S. Segarra
  Centrality measures for graphons
  E1401:  P. Rousseeuw, J. Raymaekers
  Fast robust correlations with application to cellwise outliers
  E1455:  S. Chenouri
  Performance analysis and robustness for dimension reduction
Session EO174 Room: Woburn
Recent avances in network modeling Sunday 17.12.2017   14:25 - 16:05
Chair: Veronica Vinciotti Organizer: Harry Crane
  E0549:  R. Rastelli, P. Latouche, N. Friel
  Estimating the number of clusters in a stochastic block model for temporal networks
  E1153:  B. Bloem-Reddy
  Preferential attachment and arrival times
  E0734:  V. Vinciotti, E. Tosetti, F. Moscone
  Credit risk modelling via efficient network-based inference
  E1397:  V. Veitch, E. Sharma, Z. Naulet, D. Roy
  Machine learning insights from sparse exchangeable graphs
Session EO027 Room: CLO 203
Recent applications and methods in directional statistics Sunday 17.12.2017   14:25 - 16:05
Chair: Eduardo Garcia-Portugues Organizer: Eduardo Garcia-Portugues
  E0865:  L. Holmstrom, V. Vuollo, H. Aarnivala, V. Harila, T. Heikkinen, P. Pirttiniemi, A.M. Valkama
  Analyzing infant head flatness and asymmetry using directional surface normal data from a craniofacial 3D model
  E0791:  M. Golden, E. Garcia-Portugues, M. Sorensen, K. Mardia, T. Hamelryck, J. Hein
  A generative angular model of protein structure evolution
  E0847:  S. Kato, I. Leguey, C. Bielza, P. Larranaga
  A Bayesian network model for linear-circular data
  E0864:  T. Verdebout, D. Paindaveine, E. Garcia-Portugues
  On some tests for rotational symmetry
Session EO621 Room: CLO 204
Mixed linear models with applications to small area estimation Sunday 17.12.2017   14:25 - 16:05
Chair: Dietrich von Rosen Organizer: Dietrich von Rosen
  E0333:  D. Morales, I. Molina, Y. Marhuenda, J. Rao
  Poverty mapping in small areas under a two-fold nested error regression model
  E0812:  T. von Rosen
  On estimation and prediction in multivariate mixed linear models
  E1557:  T. Nummi
  Testing of multivariate spline growth model
  E1319:  D. von Rosen, M. Singull, J. Nzabanita, I. Ngaruye
  Small area estimation via a multivariate linear model for repeated measures data
Session EO096 Room: SH349
Measure transportation and statistics Sunday 17.12.2017   14:25 - 16:05
Chair: Eustasio del Barrio Organizer: Marc Hallin
  E0235:  J.-M. Loubes
  Transport based kernel for GP models
  E0619:  E. del Barrio
  Robust clustering tools based on optimal transportation
  E0627:  H. Valdes, C. Bea, E. del Barrio
  Tools for clustering based on k-barycenters in the Wasserstein space
  E1376:  T. Le Gouic, Q. Paris
  k-means and optimal transport
Parallel session I: CFE2017 Sunday 17.12.2017 14:25 - 16:05

Session CO294 Room: MAL 414
Multivariate volatility models Sunday 17.12.2017   14:25 - 16:05
Chair: Jean-Michel Zakoian Organizer: Jean-Michel Zakoian
  C0395:  C. Conrad
  On the economic determinants of optimal stock-bond portfolios: International evidence
  C1308:  C. Francq, J.-M. Zakoian
  Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
  C1059:  B. Sanhaji, T. Chuffart
  Misspecification tests in conditional covariances for large cross-sectional dimensions
  C1817:  J.-M. Zakoian, C. Gourieroux, A. Monfort
  Consistent pseudo-maximum likelihood estimators and groups of transformations
Session CO091 Room: MAL 416
Networks and causality Sunday 17.12.2017   14:25 - 16:05
Chair: Monica Billio Organizer: Monica Billio
  C0800:  M. Billio, R. Casarin, L. Rossini
  Business shock transmission: A multilayer network perspective
  C1155:  M. Costola, M. Bernardi
  Sparse causality networks through regularised regressions
  C0785:  L. Frattarolo, M. Billio, R. Casarin, M. Costola
  Complexity and disagreement in financial networks: A digraph Laplacian approach
  C0875:  R. Panzica, M. Caporin, G. Bonaccolto
  Estimation and model-based combination of causality networks
Session CO071 Room: MAL 421
Topics in non-stationary time series Sunday 17.12.2017   14:25 - 16:05
Chair: Martin Wagner Organizer: Martin Wagner
  C1298:  L. Soegner, M. Wagner
  Residual based detection of market dislocations
  C1578:  M. Wagner, O. Stypka, P. Grabarczyk, R. Kawka
  The asymptotic validity of ``standard'' FM-OLS estimation and inference in cointegrating polynomial regressions
  C1620:  J.A. Afonso-Rodriguez
  Testing for a stochastic unit root-type process using Chebyshev time polynomials approximation
  C1581:  Y. Lin, E. Beutner, S. Smeekes
  GLS estimation and confidence sets for the date of a single break in models with trends
Session CO310 Room: MAL 532
Topics in nonparametrics Sunday 17.12.2017   14:25 - 16:05
Chair: Artem Prokhorov Organizer: Artem Prokhorov
  C0566:  D. Becker, A. Kneip, V. Patilea
  Smooth minimum distance inference for semiparametric partially linear regressions with Box-Cox transformation
  C0896:  M. Burda, R. Daviet
  Inference with Hamiltonian sequential Monte Carlo
  C0805:  M. Hirukawa, I. Murtazashvili, A. Prokhorov
  Two-sample estimation as an alternative to instrumental variable estimation in the presence of omitted variables
Session CO518 Room: MAL 538
Robust portfolio analysis Sunday 17.12.2017   14:25 - 16:05
Chair: Winfried Pohlmeier Organizer: Winfried Pohlmeier
  C0224:  S. Manganelli
  Deciding with judgment
  C0219:  E. Kazak, W. Pohlmeier
  Portfolio pretest estimation with machine learning
  C0603:  A. Martin Utrera
  A portfolio perspective on the multitude of firm characteristics
  C1619:  P. Walker, M. Paolella, P. Polak
  A new non-Gaussian factor GARCH model
Session CO348 Room: MAL 539
Econometrics and its application Sunday 17.12.2017   14:25 - 16:05
Chair: Yong Song Organizer: Bin Peng, Xiaohui Zhang
  C0244:  D.-H. Kim
  Information disclosure discounts in takeover auctions
  C0255:  Y. Song, J. Maheu, Q. Yang
  Real economic growth and oil price shocks: A Bayesian approach
  C0318:  H. Zhu
  High dimensional M-estimation for large panel data models
  C1410:  Z. Li, Y. Song, Q. Yang
  On the Model Uncertainty of Infinite Hidden Markov Models with Application to Taylor Rule Characterization
Session CO254 Room: MAL 540
Quantitative investing Sunday 17.12.2017   14:25 - 16:05
Chair: Serge Darolles Organizer: Serge Darolles
  C0382:  A. Al Wakil
  The smart vega factor-based investing: Disentangling risk premia from implied volatility smirk
  C1379:  S. Darolles, G. Roussellet
  Managing hedge fund liquidity risks
  C1021:  E. Jurczenko, J. Teiletche
  Risk-based allocation for illiquid and alternative investments
  C0961:  E. Gourier, L. Phalippou, W. Goetzmann
  Styles of private equity funds
Session CO108 Room: MAL 541
Computational methods in financial econometrics Sunday 17.12.2017   14:25 - 16:05
Chair: Sandra Paterlini Organizer: Dietmar Maringer, Peter Winker, Sandra Paterlini
  C1042:  P. Stolfi, M. Bernardi, L. Petrella
  Sparse indirect inference
  C1062:  G. Torri, S. Paterlini, R. Giacometti
  Sparse precision matrices for minimum variance portfolios
  C0703:  C. Funk, J. Lips
  Modeling the U.S. oil market using heterogeneous interacting agents
  C1354:  S. Paterlini, B. Craig, D. Maringer
  Creating (parsimonious) banking networks
Session CC710 Room: MAL 151
Contributions in macroeconometrics Sunday 17.12.2017   14:25 - 16:05
Chair: Frederic Karame Organizer: CFE
  C0332:  F. Karame, S. Adjemian
  Particle filtering with Dynare
  C1370:  S. Zakipour-Saber
  Monetary policy regime shifts and inflation persistence in the UK
  C1365:  L. Onorante, S. Zakipour-Saber, L. Moretti
  Phillips curves
  C1528:  A. Afonso
  Sovereign credit rating mismatches
Session CC708 Room: MAL 152
Contributions in Bayesian methods Sunday 17.12.2017   14:25 - 16:05
Chair: Jim Griffin Organizer: CFE
  C1531:  K. Kakamu, M. Feldkircher
  On the effects of the monetary policy on the income inequality in Japan: Evidence from grouped data
  C1808:  H. Tamae, S. Sugasawa, T. Kubokawa
  Nested error regression model with non ignorable missing values
  C1671:  E. Mise, A. Garratt, E. Mise
  Exchange rate predictive densities: An application of stochastic model specification search
  C1449:  B. Gribisch, J.P. Hartkopf, R. Liesenfeld
  Factor state-space models for high-dimensional realized covariance matrices of asset returns
Session CG006 Room: MAL 402
Contributions in nowcasting and big data Sunday 17.12.2017   14:25 - 16:05
Chair: Juan-Pablo Ortega Organizer: CFE
  C1551:  A. Galli, R. Scheufele, C. Hepenstrick
  A real time investigation of short-term forecasting
  C1596:  T. Mizuno, K. Yamada
  Nowcasting firm's financial standing using global inter-firm relationships
  C1766:  L. Monteforte, G. Ardizzi, S. Emiliozzi, J. Marcucci
  News and consumer card payments
  C1433:  A. Urtasun, J.J. Perez
  Nowcasting private consumption: Traditional indicators, uncertainty measures, and the role of internet search query data
Session CG080 Room: MAL 415
Contributions in value-at-risk Sunday 17.12.2017   14:25 - 16:05
Chair: Alexandra Dias Organizer: CFE
  C1618:  K. Bien-Barkowska
  Multivariate extensions of the ACD peaks-over-threshold method for forecasting value at risk
  C1629:  F. Cech, J. Barunik
  Measurement of common risk factors: A panel quantile regression model for returns
  C1598:  M. Maggi, S. Figini, P. Uberti
  New indicators in systemic risk analytics: Theory and applications
Parallel session J: CMStatistics2017 Sunday 17.12.2017 16:35 - 18:15

Session EI690 Room: CLO B01
Current issues in causal inference for multiple mediators Sunday 17.12.2017   16:35 - 18:15
Chair: Bernard Rachet Organizer: Bernard Rachet
  E0187:  L. Valeri
  Explaining the total effect in the presence of multiple mediators and interactions
  E0171:  S. Vansteelandt
  Time-to-event mediation analysis with repeatedly measured mediators
  E0172:  R. Daniel
  Mediation analysis with high-dimensional mediators
Session EO734 Room: MAL B18
Graphical Markov models IV Sunday 17.12.2017   16:35 - 18:15
Chair: Kayvan Sadeghi Organizer: Kayvan Sadeghi
  E0848:  D. Rothenhaeusler, P. Buehlmann, J. Ernest
  Causal inference in partially linear structural equation models with Gaussian noise
  E0793:  M. Scutari
  Bayesian Dirichlet Bayesian network scores and the maximum entropy principle
  E1276:  N. Wermuth
  On the attractive properties for estimating and generating distributions of special palindromic Ising models
  E0705:  V. Didelez
  Identification with graphical models for time-dependent data
Session EO508 Room: MAL B20
Modeling and dimension reduction of extreme events in high dimensions Sunday 17.12.2017   16:35 - 18:15
Chair: Raphael Huser Organizer: Raphael Huser
  E0257:  E. Thibaud, D. Cooley
  Principal component decomposition and completely positive decomposition of dependence for multivariate extremes
  E0604:  M. de Carvalho, R. Huser, R. Rubio
  Similarity-based clustering of extreme losses from the London stock exchange
  E0765:  R. de Fondeville, A. Davison
  Peaks-over-threshold inference for spatio-temporal processes, with an application to European windstorms
  E1088:  S. Vettori, R. Huser, J. Segers, M. Genton
  Bayesian model averaging over tree-based dependence structures for multivariate extremes
Session EO154 Room: MAL B30
Survival analysis with dependent endpoints Sunday 17.12.2017   16:35 - 18:15
Chair: Takeshi Emura Organizer: Takeshi Emura
  E0364:  C. Geerdens, E. Acar, P. Janssen
  The analysis of diabetic retinopathy data: A conditional copula approach
  E0374:  J. Ning
  Measure, model and estimation on the dependence structure of bivariate recurrent event processes
  E0983:  R. Braekers, L. Prenen, L. Duchateau
  Investigation and interpretation of the correlation structure in udder infection times by nested Archimedean copulas
  E0573:  T. Emura
  Dynamic prediction for time-to-death under the joint frailty-copula model
Session EO603 Room: MAL B33
Functional data Sunday 17.12.2017   16:35 - 18:15
Chair: Philip Reiss Organizer: Phil Reiss
  E0905:  P. Reiss
  Penalized covariance smoothing and its impact on functional principal component analysis
  E1129:  A. Srivastava
  Recent advances in elastic functional data analysis
  E0709:  F. Telschow, A. Schwartzman
  Simultaneous confidence bands and testing for functional data using the GKF with Applications to DTI fibers
  E0761:  J. Wrobel, J. Goldsmith
  Registration for exponential family functional data
Session EO059 Room: MAL B34
Functional data analysis Sunday 17.12.2017   16:35 - 18:15
Chair: Jane-Ling Wang Organizer: Jane-Ling Wang
  E0225:  K. Kato, M. Imaizumi
  A simple method to construct confidence bands in functional linear regression
  E0504:  J.-M. Chiou, Y.-T. Chen
  Dynamical segmentation of a functional data sequence
  E0608:  A. Cuevas, R. Fraiman
  Detection and identification in functional settings
Session EO599 Room: MAL B35
Statistical inference for fMRI data Sunday 17.12.2017   16:35 - 18:15
Chair: Armin Schwartzman Organizer: Armin Schwartzman
  E0423:  A. Eklund
  Ironing out the wrinkles in the cluster failure
  E1371:  M. Fiecas
  A Bayesian credible subgroups approach to statistical inference in fMRI
  E1353:  J. Rosenblatt
  A hypothesis testing view of searchlight pattern analysis (MVPA)
  E1398:  A. Schwartzman, D. Cheng, F. Telschow, R. Adler
  Error control in fMRI using the (nonstationary) Gaussian kinematic formula
Session EO404 Room: Bloomsbury
Statistical modelling in insurance Sunday 17.12.2017   16:35 - 18:15
Chair: Vali Asimit Organizer: Vali Asimit
  E1102:  E. Biffis, D. Benedetti
  Security posture assessment in conflict areas: The value of spatial-temporal information
  E0630:  V. D Amato, S. Haberman
  Modelling longevity trends and longevity risk
  E1190:  M. Hiabu
  In-sample forecasting: Continuous chain ladder and extensions
  E0750:  A. Tsanakas, P. Millossovich, S. Pesenti
  Sensitivity analysis without repeated model runs
Session EO435 Room: G3
Stochastic modelling of energy markets Sunday 17.12.2017   16:35 - 18:15
Chair: Almut Veraart Organizer: Almut Veraart
  E1327:  B. Lopez Cabrera, A. Melzer, W. Haerdle
  Pricing wind power futures
  E0678:  R. Kiesel
  Empirics and analytics for intraday power markets
  E0670:  N. Lange, N. Nomikos, J. Lager
  Risk premia in cash-settled forward contracts
  E0343:  F. Ziel, R. Steinert
  Mid-term electricity price forecasting using future data
Session EO240 Room: CLO 101
Bayesian semi- and nonparametric modelling III Sunday 17.12.2017   16:35 - 18:15
Chair: Michele Guindani Organizer: Matteo Ruggiero, Li Ma, Raffaele Argiento
  E1373:  S. Deshpande, V. Rockova, E. George
  Simultaneous variable and covariance selection with the multivariate spike-and-slab lasso
  E1321:  M. De Iorio, P. Giorgio, A. Guglielmi, F. Ieva
  Joint modelling of recurrent events and survival: A Bayesian nonparametric approach
  E1260:  M. Li, L. Ma
  Multidimensional wavelets with adaptive random partitioning and its application to probabilistic image process
  E0303:  D. Durante, A. Canale, D. Dunson
  Convex mixture regression for quantitative risk assessment
Session EO358 Room: CLO 102
Semi- and nonparametric frontier estimation Sunday 17.12.2017   16:35 - 18:15
Chair: Paul Wilson Organizer: Paul Wilson
  E0422:  C. Mastromarco, L. Simar, V. Zelenyuk
  Predicting recessions in Italy: A nonparametric discrete choice model for time series
  E1044:  C. Daraio, R. Fare, S. Grosskopf, M.G. Izzo, L. Leuzzi, G. Ruocco, M. Bostian
  Inference for nonparametric productivity networks: A pseudo-likelihood approach
  E0895:  L. Simar, A. Kneip, P. Wilson
  Statistical inference in nonparametric frontier estimation: Recent developments and dynamic extensions
  E1033:  P. Wilson, D. Wheelock
  Nonparametric estimation of Lerner indices for measuring bank competition
Session EO055 Room: CLO 203
Circular models and their statistical inference Sunday 17.12.2017   16:35 - 18:15
Chair: Toshihiro Abe Organizer: Toshihiro Abe
  E0444:  Y. Miyata, T. Abe, T. Shiohama
  On estimating finite mixtures of sine-skewed wrapped Cauchy distributions
  E0440:  T. Shiohama, T. Abe, Y. Miyata
  Bayesian inference for mode preserving distributions on the circle
  E0506:  C. Ley, J. Ameijeiras-Alonso, A. Pewsey, T. Verdebout
  Optimal tests for circular reflective symmetry
  E1026:  K. Mulder, I. Klugkist, I. Visser, D. van Renswoude
  Fitting mixtures of flexible circular distributions with an application to eye tracking data
Session EO627 Room: CLO 204
Small area estimation Sunday 17.12.2017   16:35 - 18:15
Chair: Domingo Morales Organizer: Domingo Morales
  E0605:  M. Boubeta, M.J. Lombardia, M. Marey-Perez, D. Morales
  Area-level Poisson mixed models for estimating forest fire occurrences
  E0955:  T. Hobza, Y. Marhuenda, D. Morales
  An application of unit-level gamma mixed model to SLCS data
  E0645:  S. Sperlich
  Bootstrap methods for multiple comparison in small areas statistics
Session EO536 Room: MAL 402
Modelling complex data Sunday 17.12.2017   16:35 - 18:15
Chair: Garth Tarr Organizer: Garth Tarr
  E0592:  T. Fung
  Semiparametric observation-driven models for time-series of count
  E0918:  E. Tanaka
  Outlier detection in a complex linear mixed model: An application in plant breeding trial
  E0614:  C. You, F. Hui, S. Mueller, H.L. Shang
  Semiparametric regression using variational approximations
Session EO039 Room: MAL 414
New advances in analysis of complex cohort studies Sunday 17.12.2017   16:35 - 18:15
Chair: Hyokyoung Grace Hong Organizer: Hyokyoung Grace Hong
  E0433:  J.K. Yoo
  Dimension reduction through unsupervised learning on predictors
  E1131:  H.G. Hong
  Integrated powered density: Screening ultrahigh-dimensional covariates with survival outcomes
  E1124:  X. Tang, A. Qu
  Individualized multi-directional variable selection
  E1105:  L. Xue
  Semi-parametric method for non-ignorable missing in longitudinal data using refreshment samples
Session EO477 Room: MAL 416
Inference for time-varying networks Sunday 17.12.2017   16:35 - 18:15
Chair: Tom Snijders Organizer: Tom Snijders
  E0893:  V. Amati, F. Schoenenberger, T. Snijders
  Comparing estimation methods for stochastic actor-oriented models
  E0617:  I. Gollini, I. Gollini, A. Caimo, P. Campana
  Latent variable modelling of interdependent ego-networks
  E0654:  H. Shappell, E. Kolaczyk
  Accounting for uncertainty in stochastic actor-oriented models for dynamic network analysis
  E0985:  T. Snijders, J. Koskinen
  Hierarchical multilevel analysis of network dynamics: Bayesian estimation and prior sensitivity
Session EO577 Room: MAL 421
Robust ranking, voting, and comparisons Sunday 17.12.2017   16:35 - 18:15
Chair: Jochen Einbeck Organizer: Jochen Einbeck, Nick Sofroniou
  E1328:  T.B. Murphy, L. Small
  Model-selection for ranking data models
  E0751:  S. Rusa, A. Komarek, E. Lesaffre, L. Bruyneel
  Identifying influential observations in complex Bayesian mediation models with ordinal outcome
  E1086:  C. Mollica, L. Tardella
  Bayesian mixture of extended Plackett-Luce models for the analysis of preference rankings
  E0878:  J. Einbeck, N. Sofroniou
  Assessing uncertainty in posterior intercepts from random effect models
Session EO148 Room: MAL 532
Recent advances in quantile regression Sunday 17.12.2017   16:35 - 18:15
Chair: Carlos Lamarche Organizer: Carlos Lamarche
  E0491:  Y.-Y. Lee
  Nonparametric weighted average quantile derivative
  E1090:  J. Gu, S. Volgushev
  Quantile regression for longitudinal data: A convex clustering approach
  E1179:  C. Lamarche, M. Harding, H. Pesaran
  Common correlated effects estimation of heterogeneous dynamic panel quantile regression models
  E1247:  S. Volgushev, S.-K. Chao, G. Cheng
  Distributed computing for quantile regression: A statistical analysis
Session EO106 Room: MAL 538
Cluster analysis with R Sunday 17.12.2017   16:35 - 18:15
Chair: Sebastian Fuchs Organizer: F Marta L Di Lascio
  E0623:  L. Scrucca, M. Fop, T.B. Murphy, A.E. Raftery
  The mclust R package for clustering, classification and density estimation using Gaussian finite mixture models
  E0251:  P. Spurek
  Cross-entropy clustering
  E1829:  P. Tellaroli, M. Donato, M. Bazzi, A.R. Brazzale, S. Draghici
  Cross-Clustering: A partial clustering algorithm with automatic estimation of the number of clusters
  E0773:  E. Vigneau, V. Cariou, E.M. Qannari
  Clustering of variables around latent variables, with the R package ClustVarLV
Session EO037 Room: MAL 539
Doubly stochastic counting processes Sunday 17.12.2017   16:35 - 18:15
Chair: Paula Bouzas Organizer: Paula Bouzas
  E0587:  A.C. Cebrian
  Different approaches for testing the independence between point processes
  E0651:  U. Hahn
  Spatial cluster point processes with marks depending on clusters
  E0842:  N. Ruiz-Fuentes, P. Bouzas, C. Montes-Gijon
  Compound Cox processes applied to extreme meteorological events
  E1010:  P. Bouzas, N. Ruiz-Fuentes, C. Montes-Gijon
  Phase type process
Session EO579 Room: MAL 540
Advances in joint modelling Sunday 17.12.2017   16:35 - 18:15
Chair: Elisabeth Waldmann Organizer: Elisabeth Waldmann
  E1493:  A. Rappl, E. Waldmann
  A comparison of different R routines for joint modelling
  E0868:  C. Griesbach, E. Waldmann, A. Mayr
  Extending joint models in terms of boosting algorithms
  E0821:  J. Barrett, P. Diggle, R. Henderson, D. Taylor-Robinson
  Joint modelling of longitudinal and discrete time-to-event data
  E0987:  I. Guler, C. Faes, C. Cadarso Suarez, F. Gude
  Flexible two-stage model proposal for multivariate longitudinal and survival data using spline smoothing
Session EO053 Room: MAL 541
Change-point detection in time series Sunday 17.12.2017   16:35 - 18:15
Chair: Herold Dehling Organizer: Herold Dehling
  E0753:  A. Betken
  Robust change-point estimation in the presence of long-range dependence
  E0938:  M.-C. Dueker
  Limit theorems for multivariate long-range dependent processes
  E0866:  C. Gerstenberger
  Robust change-point estimation
  E0815:  A. Schnurr, H. Dehling, J. Woerner, J. Buchsteiner
  Detecting structural breaks via ordinal pattern probabilities: The short- and the long-range dependent framework
Session EC694 Room: MAL 153
Contributions in methodological statistics Sunday 17.12.2017   16:35 - 18:15
Chair: Silvia Cagnone Organizer: CMStatistics
  E1481:  Y. Hirose
  A decision-theoretic property of conditional normalized maximum likelihood distribution
  E1544:  T. Lando, L. Bertoli-Barsotti
  Parametric dominance relations for distributions obtained by composition
  E1623:  M. Schumann
  Second-order analytic bias reduction for nonlinear panel data models with fixed effects
  E1489:  M. Mandel, N. Kaplan-Damary, Y. Yekutieli, S. Wiesner, Y. Shor
  Estimation of two-dimensional rate functions using incomplete data
Session EC697 Room: MAL 415
Contributions in Bayesian methods Sunday 17.12.2017   16:35 - 18:15
Chair: Alexandros Beskos Organizer: CMStatistics
  E1482:  V. Potashnikov, O. Lugovoy, A. Polbin
  Probabilistic, Bayesian updating of input-output tables: Application to WIOD
  E1616:  C. Gutierrez Perez, M. Gonzalez Velasco, R. Martinez Quintana
  Bayesian inference in two-sex branching processes with mutations: ABC approach
  E0336:  M. Pihlak
  Applying Bayesian methods on confidence intervals for quantile estimation
  E1540:  K. Okada, D. Hojo, Y. Takahashi
  Assessing the stability of response styles by using Bayesian item response modeling
Session EG016 Room: MAL 151
Contributions in confidence regions Sunday 17.12.2017   16:35 - 18:15
Chair: Jelle Goeman Organizer: CMStatistics
  E1636:  J. Klaschka, J. Reiczigel, M. Thulin
  On avoiding inconsistencies between confidence intervals and tests for parameters of some discrete distributions
  E1660:  Z. Szkutnik, B. Cmiel, J. Wojdyla
  Asymptotic confidence bands in the Spektor-Lord-Willis problem via kernel estimation of intensity derivative
  E0738:  L. Voncken, C. Albers, M. Timmerman
  Combining confidence intervals: Uncertainty in normed test scores due to test unreliability and sampling variability
  E1495:  D. Kurisu, K. Kato
  Bootstrap confidence bands for spectral estimation of Levy densities under high-frequency observations
Session EG012 Room: MAL 152
Contributions in control charts Sunday 17.12.2017   16:35 - 18:15
Chair: Schalk Human Organizer: CMStatistics
  E1659:  S. Human, N. Chakraborty, B. Narayanaswamy
  Generally weighted moving average control charts
  E1357:  D. Marcondes Filho, L.P. Luna de Oliveira
  Multivariate statistical process control using STATIS method
  E1760:  M.R. Ramos, E. Carolino, C. Viegas, S. Viegas
  Monitoring occupational exposure data with joint control charts
  E1369:  A. Santanna
  Process monitoring for manufacturing attribute data using model-based approach
Parallel session J: CFE2017 Sunday 17.12.2017 16:35 - 18:15

Session CO723 Room: Chancellor's Hall
Cointegration analysis and state space models Sunday 17.12.2017   16:35 - 18:15
Chair: Martin Wagner Organizer: Martin Wagner
  C1724:  D. Bauer, L. Matuschek, P. de Matos Ribeiro, M. Wagner
  A parameterization of MFI(1) and I(2) processes: Structure theory with an eye to hypothesis testing
  C1737:  P. de Matos Ribeiro, D. Bauer, L. Matuschek, M. Wagner
  Pseudo maximum likelihood analysis of multiple frequency I(1) processes: Parameter estimation
  C1740:  L. Matuschek, D. Bauer, P. de Matos Ribeiro, M. Wagner
  Pseudo maximum likelihood analysis of multiple frequency I(1) processes: Inference on cointegrating ranks
  C1633:  Y. Li, D. Bauer
  Long VAR approximation in I(2) context: Asymptotic theory and simulations
Session CO069 Room: Court
Latest development of dependence modeling Sunday 17.12.2017   16:35 - 18:15
Chair: Jean-David Fermanian Organizer: Jean-David Fermanian
  C0316:  F. Spanhel, M. Kurz
  Testing the simplifying assumption in high-dimensional vine copulas
  C0534:  A. Derumigny, J.-D. Fermanian
  About the estimation of the conditional Kendall's tau and Kendall's Regression
  C0551:  J.-D. Fermanian
  Simplified estimations of conditional copulas
  C0612:  O. Lopez
  Censored copula modeling for micro-level reserving in non life insurance
Session CO081 Room: G11
Econometric models for high dimensional scoring Sunday 17.12.2017   16:35 - 18:15
Chair: Alessandra Amendola Organizer: Paolo Giudici, Alessandra Amendola
  C0428:  R. Calabrese, R. Stine
  Contagion effects in small business failures: A spatial multilevel autoregressive model
  C0369:  G. Polinesi, P. Giudici
  Scoring models for roboadvisory platforms: A network approach
  C0825:  V. Candila, A. Amendola, G. Gallo
  On the asymmetric impact of macro-variables on volatility
  C1367:  P. Cerchiello, J. Marcucci, G. Nicola, G. Bruno
  On possible causal links between Twitter sentiment and banks financial ratios
Session CO338 Room: G5
Empirical macroeconomics Sunday 17.12.2017   16:35 - 18:15
Chair: Christopher Otrok Organizer: Kirstin Hubrich
  C0512:  C. Baumeister, J. Hamilton
  Structural interpretation of vector autoregressions with incomplete identification
  C0515:  M. McCracken
  An empirical investigation of direct and iterated multistep approaches to producing conditional forecasts
  C0559:  M. Ciccarelli
  Mending the broken link: Heterogeneous bank lending and monetary policy pass-through
  C0541:  C. Otrok
  A comprehensive view of income inequality
Session CO102 Room: Gordon
Computational econometrics and modelling II Sunday 17.12.2017   16:35 - 18:15
Chair: Gareth Peters Organizer: Gareth Peters
  C0553:  K.-A. Richards
  Modelling the limit order book using marked Hawkes self-exciting point processes.
  C0722:  W. Dunsmuir
  Efficiently estimating discrete and continuous time GARCH models with irregularly spaced observations
  C1313:  M. Campi, G. Peters, N. Azzaoui, T. Matsui
  An enhance empirical mode decomposition
  C1317:  A. Zaremba, G. Peters
  Framework for detecting statistical causality in warped Gaussian processes
Session CO300 Room: Jessel
New approaches to macroeconomic analysis and forecasts Sunday 17.12.2017   16:35 - 18:15
Chair: Deborah Gefang Organizer: Deborah Gefang
  C1141:  A. Burda
  Investigating strong-form purchasing power parity for EUR/PLN within STVECM framework
  C1186:  C. Cakmakli, R. Paap
  Synchronization of cycles in a data-rich environment
  C1272:  D. Gefang
  Bayesian Lasso for large vector autoregression models
  C0691:  Y. Wang
  Optimal window selection for forecasting in the presence of recent structural breaks
Session CO543 Room: Montague
Recent developments in econometrics of asset pricing Sunday 17.12.2017   16:35 - 18:15
Chair: Guillaume Roussellet Organizer: Guillaume Roussellet
  C1422:  L. Coroneo, S. Pastorello
  European spreads at the interest rate lower bound
  C1820:  P. Pederzoli
  Crash risk in individual stocks
  C1787:  G. Schwenkler, F. Guay
  Efficient parameter estimation for multivariate jump-diffusions
  C1802:  G. Roussellet, A. Monfort, J.-P. Renne, F. Pegoraro
  Affine modelling of credit risk, pricing of credit events and contagion
Session CO417 Room: Senate
Model selection facing shifts Sunday 17.12.2017   16:35 - 18:15
Chair: David Hendry Organizer: David Hendry
  C0427:  J. Castle, D. Hendry
  Robust model selection: A review
  C0377:  A. Martinez
  On the ability to adapt to changes: An assessment of hurricane damage mitigation efforts using forecast uncertainty
  C0437:  B. Nielsen, S. Johansen
  Asymptotic theory of M-estimators for linear regression in time series
  C0380:  D. Hendry
  First-in, first-out: Modelling the UK's CO2 emissions, 1860--2016
Session CO087 Room: Woburn
Multivariate modelling of economic and financial time series Sunday 17.12.2017   16:35 - 18:15
Chair: Alain Hecq Organizer: Alain Hecq, Gianluca Cubadda
  C0248:  T. van Gemert, L. Lieb
  The empirical effects of anticipated and unanticipated government spending shocks in the United States
  C0310:  T. del Barrio Castro, G. Cubadda, D. Osborn
  On cointegration for processes integrated at different frequencies
  C1394:  A. Hecq
  A vector index-augmented heterogeneous autoregressive model for forecasting realized covariance matrices
  C1838:  J.V. Issler, W. Gaglianone, R. Giacomini, V. Skreta
  Incentive-driven inattention
Session CO346 Room: SH349
Non standard inference problems in econometrics Sunday 17.12.2017   16:35 - 18:15
Chair: Lionel Truquet Organizer: Lionel Truquet
  C0958:  V. Patilea, J. Racine
  A simple and practical approach towards testing global restrictions on general functions
  C1219:  P. Tuvaandorj, S. Auray, N. Lepage-Saucier
  Robust inference in differentiated products demand models
  C1036:  S. Martin, C. Breunig
  Response error and transformation models
  C1402:  C.-A. Liu, X. Zhang
  Inference after model averaging in linear regression models
Session CG247 Room: G4
Contributions in volatility modeling Sunday 17.12.2017   16:35 - 18:15
Chair: Francesco Audrino Organizer: CFE
  C1419:  A. Shah
  Asymmetric and symmetric volatility models for exchange rates in India
  C1669:  A. Cesa-Bianchi, H. Pesaran, A. Rebucci
  Uncertainty and economic activity: Identification through cross-country correlations
  C1698:  X. Li, J. Davidson
  Asymptotic theory of the QMLE of the EGARCH-type models
  C1675:  T. Morimoto, Y. Kawasaki
  Volatility forecasting with empirical similarity: Japanese stock market case
Parallel session L: CMStatistics2017 Monday 18.12.2017 08:40 - 10:20

Session EO498 Room: CLO B01
Recent advances of Bayesian methods for complex data analysis Monday 18.12.2017   08:40 - 10:20
Chair: Weining Shen Organizer: Weining Shen
  E0533:  B. Szabo, H. Zanten
  On distributed Bayesian computation
  E1099:  W. Li, P. Fearnhead
  Validating approximate Bayesian computation on posterior convergence
  E1177:  B. Nipoti, I. Pruenster, A. Lijoi, A. Canale
  On the Pitman-Yor process with spike and slab prior specification
  E1013:  Y. Yang, D. Pati, A. Bhattacharya
  Frequentist coverage and sup-norm convergence rate in Gaussian process regression
Session EO196 Room: MAL B18
New development in causal inference Monday 18.12.2017   08:40 - 10:20
Chair: Xavier De Luna Organizer: Xavier De Luna
  E0965:  E. Persson, X. de Luna, P. Johansson
  Tests for the unconfoundedness assumption using quasi-instruments
  E1264:  B.L. De Stavola, R. Daniel, N. Micali, G. Ploubidis
  Multiple questions for multiple mediators
  E0902:  M. Daniels, J. Roy
  Bayesian nonparametric generative models for causal inference with missing at random covariates
  E0720:  J. Zubizarreta, M. Bennett, D. Hirshberg, J.P. Vielma
  New matching methods for causal inference using integer programming
Session EO413 Room: MAL B20
Spatial extremes Monday 18.12.2017   08:40 - 10:20
Chair: Marco Oesting Organizer: Marco Oesting
  E0814:  S. Engelke, T. Opitz, J. Wadsworth
  Extremal (in)dependence structures of copulas with multiplicative constructions
  E1150:  E. Koch, C. Dombry, C.Y. Robert
  A central limit theorem for functions of stationary max-stable processes on $\mathbb{R}^d$
  E1132:  C. Dombry, O.Z.W. Ho
  Multivariate regular variations and the Husler-Reiss Pareto model
  E0710:  K. Strokorb, M. Oesting
  Efficient simulation of Brown-Resnick processes by means of locally equivalent log-Gaussian representations
Session EO657 Room: MAL B30
Functional data analysis, methods and applications Monday 18.12.2017   08:40 - 10:20
Chair: Donatello Telesca Organizer: Donatello Telesca
  E0307:  D. Senturk, A. Scheffler, D. Telesca, Q. Li, C. Sugar, C. DiStefano, S. Jeste
  Hybrid principal components analysis for region-referenced longitudinal functional EEG data
  E0648:  D. Gervini
  Multiplicative component models for replicated point processes
  E0655:  J.Q. Shi
  A robust t-process regression model with independent errors
  E0676:  V. Vitelli
  Joint sparse curves clustering and alignment
Session EO144 Room: MAL B35
Statistics in neuroscience Monday 18.12.2017   08:40 - 10:20
Chair: Jeff Goldsmith Organizer: Jeff Goldsmith
  E0313:  R. Shinohara
  Inter-modal coupling changes through development and in neuropathology
  E0849:  J. Goldsmith, D. Backenroth, M. Harran, J. Cortes, J. Krakauer, T. Kitago
  Modeling motor learning using heteroskedastic functional principal components analysis
  E1406:  H. Ombao, A. Althobaiti
  Spectral causality: Exploring lead-lag dependence structure between oscillatory activities in multivariate signals
  E1496:  T. Nichols
  Challenges and opportunities in population neuroimaging
Session EO248 Room: Woburn
Statistical methods for business and finance Monday 18.12.2017   08:40 - 10:20
Chair: Tim Verdonck Organizer: Tim Verdonck
  E1340:  K. Bastiaensen
  Monetary policy transmission under changing heterogeneous population
  E0389:  S. Hoeppner, E. Stripling, B. Baesens, S. vanden Broucke, T. Verdonck
  Profit driven decision trees for churn prediction
  E0453:  S. Serneels, T. Verdonck, S. Hoppner
  Cellwise robust M estimation based on sparse outlyingness
  E0820:  D. Cornilly, K. Boudt, T. Verdonck
  Shrinkage approaches for the estimation of higher order comoments
Session EO528 Room: MAL 402
Sufficient dimension reduction and inverse regression Monday 18.12.2017   08:40 - 10:20
Chair: Xin Zhang Organizer: Xin Zhang
  E0503:  Y. Dong
  Model-free variable selection for the regression mean
  E1334:  B. Li
  Copula Gaussian graphical models for functional data
  E1407:  E. Slate, J. Geng
  Biomarker discovery in heterogeneous populations
Session EO378 Room: MAL 414
Advanced methods in Biostatistics Monday 18.12.2017   08:40 - 10:20
Chair: Yuko Araki Organizer: Yuko Araki
  E1216:  Y. Araki
  Functional path analysis with composite basis expansions
  E0936:  C. Happ, S. Greven
  Identifiability and multicollinearity in scalar-on-functions regression
  E0661:  S. Hattori
  Time-dependent summary receiver operating characteristics for meta-analysis of prognostic studies
  E0914:  K. Hirose, Y. Terada
  Estimation of well-clustered structure via penalized maximum likelihood method in factor analysis model
Session EO629 Room: MAL 415
Recent developments in hypothesis testing for high dimensional data Monday 18.12.2017   08:40 - 10:20
Chair: Ping-Shou Zhong Organizer: Ping-Shou Zhong
  E1423:  P.-S. Zhong, H. Wang, Y. Cui
  Tests for coefficients in high dimensional heteroscedastic linear models
  E1427:  K. Liang
  Detecting adverse drug reactions from pharmacovigilance databases
  E1448:  A. Touloumis
  Dependence tests in high-dimensional settings under a Kronecker product covariance decomposition
  E1456:  A. Solari, J. Hemerik, J. Goeman
  Simultaneous confidence bounds for the false discovery proportion: A permutation approach
Session EO168 Room: MAL 416
Discrete-valued processes and dynamic networks Monday 18.12.2017   08:40 - 10:20
Chair: Carsten Jentsch Organizer: Carsten Jentsch
  E0477:  J. Krampe
  Time series modeling on dynamic networks
  E0463:  A. Kreiss, E. Mammen, W. Polonik
  Nonparametric inference for continuous-time event counting and link-based dynamic network models
  E1145:  L. Reichmann, C. Jentsch
  Generalized binary time series models
  E1001:  C. Jentsch, L. Reichmann, S.T. Hossain
  Modeling and prediction of dynamic networks using binary autoregressive time series processes
Session EO330 Room: MAL 421
Advances in robust statistical learning Monday 18.12.2017   08:40 - 10:20
Chair: Mihye Ahn Organizer: Yufeng Liu, Guan Yu
  E0325:  G. Li, I. Gaynanova
  A general framework for association analysis of heterogeneous data
  E0372:  M. Markatou
  Discrete smoothing kernels
  E0326:  D. Zeng, Y. Wang, X. Zhou
  Multicategory classification via forward-backward support vector machine
  E0741:  M. Ahn
  Spatially weighted reduced-rank framework for functional MRI data
Session EO433 Room: MAL 532
Statistical challenges for spatial epidemiological data Monday 18.12.2017   08:40 - 10:20
Chair: Veronica Berrocal Organizer: Veronica Berrocal, Andrew Lawson
  E1244:  A. Biggeri
  Uncertainty in pollutant concentration surface under preferential sampling
  E0715:  C. Calder, C. Browning
  Latent space models for ecological networks
  E1023:  E. Chacon Montalvan
  Spatio-temporal models to evaluate the effect of extreme hydro-climatic events on birth wight
  E0874:  G. Puggioni
  Spatiotemporal modeling of vector-borne disease risk
Session EO437 Room: MAL 538
Bayesian models for clustering Monday 18.12.2017   08:40 - 10:20
Chair: Maria De Iorio Organizer: Alessandra Guglielmi
  E1047:  R. Argiento
  Bayesian nonparametric covariate-driven clustering: An application to blood donors data
  E1018:  A. Cremaschi, R. Argiento
  A hierarchical nonparametric approach for robust graphical modelling
  E1080:  R. Loschi, J. Alves Ferreira, F. Ruggeri
  Bayesian robustness in product partition models
  E1157:  G. Page, F. Quintana
  Accommodating missing covariates via product partition models
Session EO306 Room: MAL 539
Latent variable models with applications Monday 18.12.2017   08:40 - 10:20
Chair: Sara Taskinen Organizer: Sara Taskinen
  E0536:  S. Taskinen, F. Hui, J. Niku, D. Warton
  Comparing estimation methods for generalized linear latent variable models
  E1137:  G. Tikhonov, O. Ovaskainen
  Making more out of ecological community data: A conceptual framework and its implementation as models and software
  E0732:  S. Cagnone, S. Bianconcini
  Generalized linear latent variable models for the analysis of cognitive functioning over time
  E0901:  M. Matteucci, S. Mignani
  Item response theory model fit assessment via posterior predictive checking: Two case studies
Session EO744 Room: MAL 540
Optimal experimental design for big data problems Monday 18.12.2017   08:40 - 10:20
Chair: HaiYing Wang Organizer: Kent Eskridge, HaiYing Wang
  E1566:  B. Parker
  Optimal design of experiments for networked data
  E1548:  C. Tommasi, L. Deldossi
  Optimal design theory: A device to select a good sample from big data
  E1556:  S. Xiong
  Orthogonalizing EM: A design-based least squares algorithm
  E1866:  W. Li
  An easy-to-implement variable selection method for models following heredity
Session EO597 Room: MAL 541
New developments in time series analysis Monday 18.12.2017   08:40 - 10:20
Chair: Stanislav Volgushev Organizer: Stanislav Volgushev
  E0399:  N. Zou, D. Politis
  Bootstrap seasonal unit root test under seasonal heterogeneity
  E1037:  T. Kley, P. Fryzlewicz
  Sequential detection of trend changes in irregularly observed panel data
  E1343:  X. Zhang, G. Cheng
  Gaussian approximation for high dimensional vector under physical dependence
  E1485:  S. Sengupta, X. Shao, S. Volgushev
  Two novel resampling strategies for dependent data
Session EC693 Room: MAL 153
Contributions in statistical modelling II Monday 18.12.2017   08:40 - 10:20
Chair: George Tzougas Organizer: CMStatistics
  E1678:  J. Ferreira, A. Bekker
  Bivariate power- and envelope distributions originating from the elliptical class
  E1554:  G. Tzougas, J.M. Lim, W.L. Hoon
  The negative binomial inverse Gaussian regression model with an application to insurance ratemaking
  E1331:  C. Unal, C. Kadilar
  A new family of estimators for the population mean using exponential functions in simple random sampling
  E0521:  A. Muhammad, S.H. Bhatti
  Exploring the possibility of non-parametric estimation in the first stage of IV2SLS estimation
Session EG010 Room: MAL 151
Contributions in copulas Monday 18.12.2017   08:40 - 10:20
Chair: Enrique de Amo Organizer: CMStatistics
  E1466:  A. Bere
  Evaluating the power and significance levels of tests of copula symmetry
  E0202:  T. Coolen-Maturi
  Predictive inference for bivariate data using nonparametric copula
  E1364:  E. de Amo, J. Fernandez Sanchez, M. Ubeda Flores
  Sklar's theorem and extension of copulas
  E1746:  P. Wiemann
  Bayesian structured additive distribution regression with non-random sample selection
Session EG718 Room: MAL 152
Contributions in clustering Monday 18.12.2017   08:40 - 10:20
Chair: Christian Hennig Organizer: CMStatistics
  E1529:  M. G M S Cardoso
  Clustering aggregated data: The use of distances on distribution laws
  E1717:  J. Strandberg, K. Abramowicz, L. Schelin, S. Sjostedt-de Luna
  Multi-resolution clustering of time dependentfunctional data with applications to climatereconstruction
  E1715:  M. Takagishi, H. Yadohisa
  Visualization of clustering on multiple data
  E1425:  N. Crato, P. Poncela, J. Caiado
  A clustering procedure for studying financial integration with big data time series
Parallel session L: CFE2017 Monday 18.12.2017 08:40 - 10:20

Session CO467 Room: Chancellor's Hall
Machine learning techniques for time series forecasting Monday 18.12.2017   08:40 - 10:20
Chair: Lyudmila Grigoryeva Organizer: Lyudmila Grigoryeva
  C1512:  S. Chretien
  Adaptive online model selection for linear and non-linear AR
  C1823:  M. Binkowski
  Neural networks for asynchronous time series
  C1594:  G. Anderson, A. Audzeyeva
  Predicting emerging market sovereign credit spreads with machine learning/data science techniques
  C1572:  B. Veliyev, A. Kock, D. Preinerstorfer
  Welfare maximizing dynamic treatment allocation and recommendation
Session CO732 Room: Court
Time series copula modelling Monday 18.12.2017   08:40 - 10:20
Chair: Michael Smith Organizer: Richard Gerlach, Michael Smith
  C1302:  R. Gerlach
  Inversion copulas for realized GARCH models
  C1301:  O. Karagedikli, S. Vahey, L. Wakerly
  Bernanke vs Taylor: US monetary policy rules with non-Gaussian marginal distributions
  C1282:  M. Smith
  Real-time macroeconomic forecasting with a heteroskedastic inversion copula
Session CO194 Room: G11
Cyclical properties of financial and economic data Monday 18.12.2017   08:40 - 10:20
Chair: Jozef Barunik Organizer: Jozef Barunik
  C0809:  G. Xyngis
  Low-frequency macroeconomic risks and asset prices: A critical appraisal of Epstein-Zin preferences
  C0424:  B. Gehrke, F. Yao
  On the importance of supply shocks for real exchange rates: A fresh view from the frequency-domain
  C0511:  M. Ellington
  On simple sum monetary statistics
  C0977:  L. Hanus, L. Vacha
  Frequency response analysis of monetary policy transmission
Session CO079 Room: G5
New developments in macro and financial econometrics Monday 18.12.2017   08:40 - 10:20
Chair: Claudio Morana Organizer: Claudio Morana
  C1816:  A. Canepa
  Time varying persistence in GARCH-in-mean models with time-dependent coefficients
  C1400:  F. Menla Ali
  Financial crises and the dynamic linkages between stock and bond returns
  C1435:  M. Karanasos, A. Paraskevopoulos
  On a number of time series econometric issues of some importance
  C0206:  C. Morana
  Semiparametric estimation of multivariate GARCH models
Session CO120 Room: Jessel
Spatial econometric modelling Monday 18.12.2017   08:40 - 10:20
Chair: Maria Kyriacou Organizer: Zudi Lu, Maria Kyriacou
  C0859:  A. Kourtellos, A. Konstantinidi, Y. Sun
  Threshold regression with social interactions
  C1143:  M. Kyriacou, Z. Lu, P.C. Phillips
  Spatial heterogenous autoregression with varying-coefficient covariate effects
  C1164:  Z. Lu, D. Alsulami, Z. Jiang, J. Zhu
  On a data-driven semiparametric nonlinear model with penalized spatio-temporal lag interactions
  C1290:  F. Martellosio
  Adjusted maximum likelihood inference for spatial panel data models
Session CO545 Room: Montague
Financial econometrics Monday 18.12.2017   08:40 - 10:20
Chair: Wei Wei Organizer: Wenying Yao
  C0972:  P. Exterkate, O. Knapik
  A regime-switching stochastic volatility model for forecasting electricity prices
  C1299:  S. Jurkatis
  A noise-robust trade classification algorithm
  C1218:  D. Osterrieder, B. Eraker, I. Shaliastovich
  Market maker inventory, bid/ask spreads, and the computation of option implied risk measures
  C0915:  W. Wei, A. Lunde
  Identifying uncertainties from multiple factors: A study on electricity price
Session CO312 Room: Senate
Recent advance for non-linear time series Monday 18.12.2017   08:40 - 10:20
Chair: Weining Wang Organizer: Weining Wang
  C0302:  J. Chen, D. Li, O. Linton, Z. Lu
  Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear DynamicTime Series
  C1149:  T. Kitagawa, E. Bacchiocchi
  SVARs with breaks: Identification and inference
  C0823:  C. Breunig
  Varying random coefficient models
  C0290:  D. Li, P. Robinson, H.L. Shang
  Long-range dependent curve time series
Session CO655 Room: SH349
Design of real-time filters for economic monitoring and financial trading Monday 18.12.2017   08:40 - 10:20
Chair: Marc Wildi Organizer: Marc Wildi
  C0490:  S. van Norden, M. Wildi
  Basel III and the prediction of financial crises
  C0799:  T. McElroy, M. Wildi
  Real-time signal extraction of vector time series via multivariate direct filter analysis
  C0567:  J. Osterrieder
  Momentum and trend-following: Combining academia and industry
  C0594:  M. Wildi
  Customized signal extraction: An application to FX-trading
Session CG088 Room: Bloomsbury
Contributions in multivariate modelling of time series Monday 18.12.2017   08:40 - 10:20
Chair: Alain Hecq Organizer: CFE
  C0401:  M.C. Pham, H. Anderson, H.N. Duong, P. Lajbcygier
  Time and the price impact of trades in Australian banking stocks around interest rate announcements
  C1755:  N. Bouamara, K. Boudt, D. Ardia
  Low volatility of alternative UCITS: Fact or fiction
  C1712:  J. Bruha, M. Andrle
  Forecasting and policy analysis with trend-cycle bayesian VARs
  C1774:  B.A. Eroglu
  Wavelet variance ratio test and wavestrapping for the determination of the cointegration rank
Session CG078 Room: G4
Contributions in uncertainty and forecastings in central bank Monday 18.12.2017   08:40 - 10:20
Chair: Svetlana Makarova Organizer: CFE
  C1418:  L.J. Alvarez, I. Sanchez
  A suite of inflation forecasting models
  C1522:  R.B. Carmona Benitez, M.R. Nieto Delfin
  Measuring the productivity and the efficiency of the Mexican Central Bank
  C1609:  L. Rompolis
  The effectiveness of unconventional monetary policiy on risk aversion and uncertainty
Session CG339 Room: Gordon
Contributions in empirical macroeconomics Monday 18.12.2017   08:40 - 10:20
Chair: Jonas Dovern Organizer: CFE
  C0215:  S. Mouabbi, J.-G. Sahuc
  Evaluating the macroeconomic effects of the ECBs unconventional monetary policies
  C1546:  A. Schloesser, J. Prueser
  The effects of economic policy uncertainty on European economies: Evidence from a TVP-FAVAR
  C1650:  H. Morita
  Empirical analysis on the effect of the fiscal policy in the zero lower bound of nominal short-term interest rate
  C0478:  F. Busetti
  Low frequency drivers of the real interest rate: A band spectrum regression approach
Parallel session M: CMStatistics2017 Monday 18.12.2017 10:50 - 12:55

Session EI009 Room: Beveridge Hall
Recent advances in the design of experiments Monday 18.12.2017   10:50 - 12:55
Chair: Steven Gilmour Organizer: Steven Gilmour
  E0173:  D. Woods
  Bayesian optimal design of experiments: Review, challenges and examples
  E0174:  L. Trinca, S. Gilmour
  Some advances in designing multi-stratum experiments
  E0192:  F.K.H. Phoa, C.-Y. Sun, S. Cheng
  Geometric orthogonal arrays: Multidimensional space filling property and construction via factor collapse
Session EO021 Room: CLO B01
Modern applications of functional data analysis Monday 18.12.2017   10:50 - 12:55
Chair: Wenceslao Gonzalez-Manteiga Organizer: Ana-Maria Staicu
  E1178:  T. Garcia, K. Marder, Y. Wang
  Time-varying proportional odds model for mega-analysis of clustered event times with functional covariates
  E0912:  D. Jones, S. Ghosh, A.-M. Staicu, A. Mahabal
  Constructing probabilistic templates for astronomical lightcurves
  E1074:  X. Zhang, R. Wong
  Operator-regularized covariance function estimation for functional data
Session EO686 Room: MAL B20
Stochastic processes and extremes Monday 18.12.2017   10:50 - 12:55
Chair: Simone Padoan Organizer: Simone Padoan
  E0260:  M. Thomas, H. Rootzen
  Predicting extreme influenza epidemics
  E1184:  A. Khorrami Chokami, M. Falk, S. Padoan
  Some results on joint record events
  E0768:  F. Laurini
  The extremal index for IGARCH(p,q) processes with skewed innovations
  E0652:  L. Mhalla, V. Chavez-Demoulin, T. Opitz
  Exceedance-based nonlinear regression of residual dependence in extremes
  E1257:  H. Rootzen, D. Zholud
  Human life is unlimited -- but short
Session EO431 Room: MAL B30
Advances in statistical analysis of complex functional data Monday 18.12.2017   10:50 - 12:55
Chair: Jian Qing Shi Organizer: Jian Qing Shi
  E1104:  S. Alghamdi, S. Ray
  Analysis of spatially correlated functional data objects
  E0707:  E. Arnone, L. Azzimonti, F. Nobile, L. Sangalli
  A time-dependent PDE regularization to model functional data defined over spatio-temporal domains
  E0839:  E. Konzen, J. Shi
  Modelling covariance structure of multi-dimensional function-valued processes using convolved Gaussian processes
  E0838:  D. Pigoli
  Functional data in forensic entomology: Estimation of temperature dependent growth processes
  E1665:  R. Talska, A. Menafoglio, K. Hron
  Effects of changing the reference measure in statistical processing of density functions
Session EO146 Room: MAL B35
Recent development in neuroimaging research Monday 18.12.2017   10:50 - 12:55
Chair: Tingting Zhang Organizer: Tingting Zhang
  E0177:  P. Zeidman, K. Friston
  Recent developments in Bayesian modelling of brain dynamics
  E0207:  T. Zhang
  Bayesian inference of the brain's effective connectivity
  E0613:  J. Aston, E. Lila
  Geometry and registration in functional neuroimaging studies
  E0618:  J. Peng
  White matter fiber estimation, smoothing and tracking
  E1256:  J. Rodu
  Calcium imaging: State-of-the-art and future challenges
Session EO140 Room: Bloomsbury
Statistical inference using electronic health records Monday 18.12.2017   10:50 - 12:55
Chair: Michael Daniels Organizer: Michael Daniels
  E0230:  M. Yu
  Statistical modeling for heterogeneous populations with application to hospital admission prediction
  E0421:  J. Haggstrom, C. Ju, R. Wyss, J.M. Franklin, S. Schneeweiss, M. van der Laan
  Collaborative-controlled LASSO for constructing propensity score-based estimators in high-dimensional data
  E0572:  S. Haneuse, S. Peskoe, D. Arterburn, M. Daniels
  Adjusting for selection bias due to missing data in EHR-based research
  E0745:  J. Roy, B. Zeldow
  Bayesian functional clustering for laboratory data from electronic medical records
  E1738:  C. Ogbonnaya, S. Preston, A. Wood, K. Bharath
  Classification of heart conditions using functional data analysis
Session EO386 Room: Chancellor's Hall
Vast time series analysis and applications Monday 18.12.2017   10:50 - 12:55
Chair: Clifford Lam Organizer: Clifford Lam
  E0470:  P. Fryzlewicz, M. Barigozzi, H. Cho
  Simultaneous multiple change-point and factor analysis for high-dimensional time series
  E0995:  M. Knight, R. Killick, G. Nason, I. Eckley
  The local partial autocorrelation function and its application to forecasting
  E0781:  H. Maeng, P. Fryzlewicz
  Regularised forecasting via smooth-rough partitioning of the regression coefficients
  E0589:  C. Qian, C. Lam
  Spatial lag model with time-lagged effects and spatial weight matrix estimation
Session EO640 Room: Court
Advances in theory and modeling of spatial and spatio-temporal data Monday 18.12.2017   10:50 - 12:55
Chair: Chae Young Lim Organizer: Chae Young Lim
  E0351:  Z. Mullen, W. Kleiber
  Score function approximation for Gaussian processes using equivalent kernels
  E0552:  J. Du
  Isotropic variogram models on all spheres
  E0917:  A. Bhattacharjee
  Variable selection with spatially autoregressive errors: A generalized moments LASSO Estimator
  E0808:  W.-Y. Wu
  Tail estimation for the cross-spectral density of a bivariate stationary Gaussian random field
Session EO057 Room: G11
Statistical analysis of complex data Monday 18.12.2017   10:50 - 12:55
Chair: Antonio Cuevas Organizer: Xinyuan Song
  E0418:  T.F. Schaffland, A. Kelava, M. Kohler, A. Krzyzak
  Nonparametric estimation of a latent variable model - a new approach
  E0542:  X. Wang, X. Feng, X. Song
  Bayesian two-level model for partially ordered repeated responses
  E0636:  S. Dai
  Consistent test on semiparametric functional coefficient models with integrated covariates
  E0779:  Q. Yang, X. Song
  Bayesian quantile scale on image regression
  E1460:  W. Liu
  Robust inference for subgroup analysis with general transformation models
Session EO409 Room: G3
Scalable methods for complex data Monday 18.12.2017   10:50 - 12:55
Chair: Po-Ling Loh Organizer: Po-Ling Loh
  E1342:  S. Negahban
  On approximation guarantees for greedy low rank optimization
  E1381:  G. Raskutti
  High-dimensional classification with positive and unlabeled data
  E1772:  J. Lederer
  A general framework for uncovering dependence networks
  E1776:  V. Rockova, S. van der pas
  Posterior concentration for Bayesian regression trees and their ensembles
  E1510:  J.-M. Poggi, R. Genuer, N. Villa-Vialaneix, C. Tuleau-Malot
  Random forests for big data
Session EO128 Room: G4
Advances in survival and reliability Monday 18.12.2017   10:50 - 12:55
Chair: Juan Eloy Ruiz-Castro Organizer: Mariangela Zenga, Juan Eloy Ruiz-Castro
  E0286:  J. Antoch
  Statistical testing of availability for mining technological systems
  E0317:  M. Dawabsha, J.E. Ruiz-Castro
  Modeling a complex multi-state warm standby system with loss of units through a D-MMAP
  E0493:  M. Restaino, H. Dai, H. Wang
  Non-parametric estimators for estimating bivariate survival function under randomly censored and truncated data
  E1405:  M. Zenga, M. Mazzoleni
  Joint models for survival and multivariate longitudinal data
  E1462:  L. Doyen, R. Drouilhet
  A generic framework for recurrent event data based on virtual age models and implemented in the R package VAM
Session EO170 Room: Gordon
Non/semi parametric methods for statistical learning Monday 18.12.2017   10:50 - 12:55
Chair: Wei Qian Organizer: Xiangrong Yin
  E1003:  S. Ding, Z. Su, G. Zhu, L. Wang
  Envelope quantile regression
  E1170:  Y. She
  An inherent clustering paradigm for supervised and unsupervised learning
  E1084:  J. Wang
  Free-knot splines for generalized linear models
  E1341:  W. Luo, B. Li
  On order determination using augmentation predictor
Session EO218 Room: Jessel
Recent development in statistical learning and modeling of complex data Monday 18.12.2017   10:50 - 12:55
Chair: Yanqing Sun Organizer: Yanqing Sun
  E1486:  Y. Sun, L. Qi, P. Gilbert
  A hybrid method for the stratified mark-specific proportional hazards models with missing data with applications
  E1653:  K.C.G. Chan, M.-C. Wang
  Semiparametric modeling and estimation of the terminal behavior of recurrent marker processes before failure events
  E1356:  Y. Sun, M.-C. Wang
  Dynamic risk prediction with rank-based survival trees
  E0563:  P. Gilbert, B. Price, M. van der Laan
  Estimation of the optimal surrogate endpoint based on a randomized trial
  E1438:  O. Oyebamiji, D. Wilkinson
  A surrogate-based approach to modelling the impact of hydrodynamic shear stress on biofilm deformation
Session EO653 Room: Montague
Analysis of incomplete data Monday 18.12.2017   10:50 - 12:55
Chair: Shaun Seaman Organizer: Shaun Seaman
  E0212:  S. Seaman, R. Hughes
  Relative efficiency of joint-model and full-conditional-specification multiple imputation when models are compatible
  E0276:  T. Morris
  Multiple imputation and multivariable model building
  E1212:  W. Jiang, J. Josse, E. Scornet
  Logistic regression with missing continuous and categorical data
  E1144:  C. Leyrat, J. Carpenter, E. Williamson
  Propensity score analysis with partially observed confounders: Multiple imputation and the missingness pattern approach
  E1108:  D. Tompsett
  The not at random fully conditional specification procedure
Session EO455 Room: Senate
Recent developments on program evaluation methods Monday 18.12.2017   10:50 - 12:55
Chair: Sebastian Calonico Organizer: Sebastian Calonico
  E1197:  M. Bertanha
  Regression discontinuity with many thresholds
  E1229:  S. Calonico, Y.-Y. Lee, W. Ao
  Multivalued treatments and decomposition analysis: An application to the WIA program
  E1117:  X. Ma, M. Cattaneo, M. Jansson
  Two-step estimation and inference with possibly many included covariates
  E1097:  Z. Pei, P. Leung
  Schooling and training for unemployed workers
Session EO035 Room: Woburn
Statistical network analysis Monday 18.12.2017   10:50 - 12:55
Chair: Chenlei Leng Organizer: Chenlei Leng
  E0857:  Y. Feng
  Community detection with covariates
  E0714:  K. Jochmans, M. Weidner
  Fixed-effect regressions on network data
  E0719:  M. Schweinberger, J. Stewart
  Consistent maximum likelihood estimation of random graph models with local dependence and growing neighborhoods
  E1785:  S. Paul, Y. Chen
  A random effects stochastic block model for community detection in multiple networks with applications to neuroimaging
  E1697:  R. Cerqueti
  Community structures in (socially) connected systems
Session EO390 Room: SH349
Advanced statistics for understanding the evolution of cancer Monday 18.12.2017   10:50 - 12:55
Chair: Andrew Roth Organizer: Wenyi Wang
  E1235:  S. Dentro, D. Wedge, P. Van Loo
  Statistical approaches to unravel the life history of cancers
  E1285:  I. Martincorena
  Reliable detection of selection in cancer
  E1147:  A. Roth, A. Bouchard
  PhyClone: A forest structured Chinese restaurant process for inferring tumour phylogenies
  E1819:  A. Deshwar
  Reconstructing cancer phylogenies with a small number of pairwise haplotypes and bulk tumour sequencing data
  E1722:  E. Duarte, C. Cadarso Suarez, B. de Sousa, G. Marra, R. Radice, V. Rodrigues
  Modelling the early menarche and late menopause in breast cancer screening through CGAMLSS models
Session EG020 Room: G21A
Contributions in variable selection Monday 18.12.2017   10:50 - 12:55
Chair: Jan Gertheiss Organizer: CMStatistics
  E1476:  R. De Bin, A.-L. Boulesteix, W. Sauerbrei
  Detection of influential points as a byproduct of resampling-based variable selection procedures
  E1840:  C. Gatu, G.-E. Pascaru, E.J. Kontoghiorghes
  Combinatorial strategies for greedy regression selection
  E0299:  M.A. Ibrahim, A. Verhasselt
  Variable selection in quantile varying coefficient models with heteroscedastic error
  E1654:  Y. Ninomiya
  Regularization parameter selection for sparse methods via AIC
  E1631:  S. Kawano, H. Fujisawa, T. Takada, T. Shiroishi
  Principal component regression for generalized linear models via L1-type regularization
Session EG014 Room: G5
Contributions in HMM and MCMC Monday 18.12.2017   10:50 - 12:55
Chair: Robert Kohn Organizer: CMStatistics
  E1652:  C. Koki, I. Vrontos, L. Meligkotsidou
  Bayesian analysis of predictive non-Homogeneous hidden Markov models using Polya-Gamma data augmentation
  E0853:  K. Martens, M. Titsias, C. Yau
  Rejection-free ensemble MCMC with applications to factorial hidden Markov models
  E1439:  R. Ragas
  Estimation of a Poisson autoregressive hidden Markov process with Poisson regression-type measurement errors
  E1748:  L. Truquet
  Markov chains models with time-varying parameters
  E1549:  M. Rizzo
  Evolutionary computation and multiple chains MCMC sampling: An overview
Parallel session M: CFE2017 Monday 18.12.2017 10:50 - 12:55

Session CO374 Room: MAL B18
New development on nonlinear time series and its applications Monday 18.12.2017   10:50 - 12:55
Chair: Jia Chen Organizer: Jia Chen, Tingting Cheng
  C0309:  J. Tosasukul
  Factor-augmented time series models with functional coefficients
  E1843:  W. Wang, W.B. Wu, L. Chen
  Dynamic semiparametric factor model with structural breaks
  C0690:  C. Weng
  Enhanced Sharpe ratio via eigen portfolios selection
  C1849:  M.R. Yeganegi, R. Chinipardaz
  State space approach to online learning and forecasting in mixture autoregressive model
Session CO611 Room: MAL 414
Quantitative and statistical methods in finance Monday 18.12.2017   10:50 - 12:55
Chair: Jan Vecer Organizer: Jan Vecer
  C1287:  N. Packham, F. Woebbeking
  A factor-model approach to correlation stress testing
  C1502:  S. Taylor
  Hierarchical clustering of equities with the Fischer information metric
  C1803:  J. Vecer
  Performance of volatility maximization strategies
  C1825:  T. Ichiba
  Detecting mean-field in a financial network model
  C1613:  J. Tyrcha, T. Bodnar, S. Mazur, K. Podgorski
  Inference for tangency portfolio weights for small sample and singular covariance matrix
Session CO539 Room: MAL 415
Consumer credit risk Monday 18.12.2017   10:50 - 12:55
Chair: Tony Bellotti Organizer: Tony Bellotti
  C0789:  T. Fitzpatrick
  Profit scoring in peer to peer lending
  C0881:  Y. Li, N. Adams, T. Bellotti
  Clustering methods for consumer credit risk modelling
  C1361:  B. Baesens
  Social networks analytics using GOTCHA: Theory and applications
  C0867:  M. Kesina, R. Calabrese
  A binary spatial autoregressive sample selection approach for modeling access to finance for UK SMEs
  C1832:  J. Crook, V. Djeundje
  Incorporating heterogeneity and macroeconomic variables into multistate delinquency models for credit cards
Session CO324 Room: MAL 416
Macroeconometrics Monday 18.12.2017   10:50 - 12:55
Chair: Toshiaki Watanabe Organizer: Toshiaki Watanabe
  C0272:  R. Strachan, J. Chan, E. Eisenstat
  Reducing dimensions in a large TVP-SVAR
  C0474:  J. Nakajima, T. Fueki, H. Higashi, N. Higashio, S. Ohyama, Y. Tamanyu
  Identifying oil price shocks and their consequences: Role of expectations and financial factors in the crude oil market
  C0899:  M. Shintani, T. Mukoyama, K. Teramoto
  Cyclical part-time employment in an estimated new Keynesian model with search frictions
  C0693:  E. Shioji
  Fiscal confidence shocks and the market for the Japanese government bonds
  C0940:  Y. Ueno, K. Suganuma
  Effects of corporate bond purchases and their transmission mechanism: The case of Japan
Session CO274 Room: MAL 539
Uncertainty in macro-economic nowcasting and forecasting Monday 18.12.2017   10:50 - 12:55
Chair: Gian Luigi Mazzi Organizer: Gian Luigi Mazzi
  C0222:  R. Golinelli, J. Easaw, S. Heravi
  Inflation forecasts, inattentiveness and uncertainty
  C0530:  B. Chen
  Improving accuracy of early quarterly estimates of GDP components in the U.S. national accounts
  C0871:  P. Hauber, C. Schumacher
  Nowcasting with large, international data sets: On sparse priors
  C0211:  K. Glass
  Predictability of Euro area revisions
Session CC711 Room: MAL 152
Contributions in risk analysis Monday 18.12.2017   10:50 - 12:55
Chair: Enrico Biffis Organizer: CFE
  C1508:  M. Pfeuffer
  Parameter estimation and bias correction in the Vasicek credit portfolio model
  C1550:  A. Ristig, O. Okhrin, J. Sheen, S. Trueck
  Quantifying effects of extreme events with applications to financial crises
  C0180:  E. Iglesias, C. Dahl
  The tail behaviour due to the risk premium in AR-GARCH-in-mean, GARCH-AR and double-autoregressive-in-mean models
  C1559:  M. Sahamkhadam, A. Stephan, R. Ostermark
  Portfolio optimization based on dynamic factor and dynamic conditional correlation GARCH models
  C0204:  M. Jahan-Parvar, S. Aramonte
  The impact of news on firm-specific risk-neutral higher moments
Session CC709 Room: MAL 402
Contributions in forecasting Monday 18.12.2017   10:50 - 12:55
Chair: Frederique Bec Organizer: CFE
  C0388:  G. Creamer, C. Lee
  Non-linear causality test based on partial distance correlation: Application to energy futures
  C1471:  A.J. Sanchez Fuentes, J.J. Perez, E. Yilmaz
  Forecasting fiscal aggregates in an emerging market economy: The role of macro variables and fiscal plans
  C1797:  R. Scheufele, A. Galli, M. Marcellino
  Modelling and forecasting Euro area GDP growth using a hierarchical factor model based 3PRF
  C1565:  J. Prueser
  Forecasting US inflation using Markov dimension switching
  C1561:  Y. Zeng
  Exploit market microstructure noise in volatility forecasting
Session CC712 Room: MAL 421
Contributions in applied econometrics Monday 18.12.2017   10:50 - 12:55
Chair: Thomas Beissinger Organizer: CFE
  C1835:  M. Marczak, T. Beissinger
  Reassessing competitiveness at the sectoral level: A new unit labor cost indicator based on value-added chains
  C1503:  B. Sy, S.J. Villejo
  An analysis of ASEANs logistics performance and its impact on regional trade: An extended gravity model approach
  C1781:  M. Ben Salem, C. Zaki
  Revisiting the impact of trade openness on informal and irregular employment in Egypt
  E1721:  J. Leite, J.C. Dias, J.P. Nunes
  Computation of three discrete mixtures of continuous distributions: Stability analysis
  C1590:  R. Lacaza, S.J. Villejo
  Dynamics of foreign direct investment in ASEAN-5: A vector autoregressive analysis
Session CC706 Room: MAL 538
Contributions in financial econometrics II Monday 18.12.2017   10:50 - 12:55
Chair: Arvid Raknerud Organizer: CFE
  C0356:  R. Mestre, M. Terraza
  Multidimensional time-frequency analysis of the CAPM
  C0582:  C.-C. Wu, C.-C. Wu
  The asymmetry in carry trade and the U.S. dollar
  C1527:  S. Borodachev
  Monthly forecasting of the dollar to the ruble exchange rate. Adaptive Kalman filter
  C1718:  A. Raknerud, B.H. Vatne, P. Mizen
  Modeling interest rate pass through with heterogeneous bank loans
  C1848:  S. Mukhoti, P. Ranjan
  On lead-lag correlations in stochastic volatility models with jump
Session CC714 Room: MAL 540
Contributions in financial applications Monday 18.12.2017   10:50 - 12:55
Chair: William Dunsmuir Organizer: CFE
  C1443:  C.D. Kim
  Evaluation and analysis of the value of German real estate following the financial crisis of 2007
  C1564:  G. Nguyen, D. Ardia, K. Boudt, S. Hartmann
  Properties of the Margrabe best-of-two strategy to tactical asset allocation
  C1747:  H. Yener
  Anatomy of the Eurozone crisis: A survival approach
  C1688:  T. Isogai
  Dynamic correlation network analysis of financial asset returns with network clustering
  C0279:  A. Monteiro, A. Santos
  Hypergeometric functionals and kernel regression in risk neutral density estimation
Session CG113 Room: MAL 151
Contributions in portfolio optimization Monday 18.12.2017   10:50 - 12:55
Chair: Nikolas Topaloglou Organizer: CFE
  C1568:  F. Severino, F. Ortu, C. Tebaldi, D. Di Virgilio
  Optimal asset allocation with heterogeneous persistence of shocks
  C0520:  S. Anyfantaki, N. Topaloglou, S. Arvanitis
  Stochastic spanning and investment opportunities
  C1716:  C. Keribin, T. Prochwicz
  Aggregating strategies for online portfolio optimization
  C1545:  A. Stephan, M. Sahamkhadam, A. Stephan, R. Ostermark
  Portfolio optimization based on forecasts from vine copula GARCH models using external regressors
  C1497:  S. Aldahmani, H. Dai, Q. Zhang
  Hybrid graphical least square estimation and its application in portfolio selection
Session CG482 Room: MAL 153
Contributions in monetary policy Monday 18.12.2017   10:50 - 12:55
Chair: Matteo Ciccarelli Organizer: CFE
  C1467:  S. Jiang
  Financial crises and optimal unconventional policies in international business cycles
  C0242:  D. Koursaros, C. Savva, N. Michail, N. Papadopoulou
  To create or redistribute: That is the question
  E1692:  H. Rohloff, H. Herwartz, S. Maxand
  Revisiting the monetary policy asset price nexus by means of a novel statistical identification approach
  C1547:  A. Schnuecker, G. von Schweinitz
  International monetary policy transmission
  C0510:  B. van Roye, A. Dieppe, P. Bonomolo
  Re-assessing monetary policy shocks in China
Session CG070 Room: MAL 532
Contributions in copulas Monday 18.12.2017   10:50 - 12:55
Chair: Richard Gerlach Organizer: CFE
  C1421:  J. Ascorbebeitia, E. Ferreira, S. Orbe
  Testing for conditional dependence between domestic indexes using nonparametric copulas
  C1758:  E. Hoeg, T. Christensen, A. Pircalabu
  Copulas for multivariate time series modelling of tail dependence in wind power markets
  C1684:  E. Rroji, F. Bellini, L. Mercuri
  Modeling the dependence structure of VIX and SP500
  C1519:  B. Tavin
  Measuring exposure to dependence risk with random Bernstein copula scenarios
  C1318:  F. Stark, D. Wied, H. Manner
  Testing for structural breaks in factor copula models
Session CG243 Room: MAL 541
Contributions in high frequency financial modelling Monday 18.12.2017   10:50 - 12:55
Chair: Eduardo Rossi Organizer: CFE
  C1670:  A. Kolokolov, D. Pirino, G. Livieri
  Statistical inference for price sluggishness
  C1743:  E. Rossi, P. Santucci de Magistris
  Models for high-frequency trading volume data
  C1599:  V. Selezneva, S. Anatolyev, S. Seleznev
  Overpersistence of oversupply: Measuring perceived persistence of oil shocks
  C1767:  M. Smid
  Estimation of zero intelligence models by L1 data
Parallel session O: CMStatistics2017 Monday 18.12.2017 15:25 - 16:40

Session EO047 Room: Bloomsbury
Modern statistical methods for biomedical and correlated data Monday 18.12.2017   15:25 - 16:40
Chair: Zhiwei Zhang Organizer: Shujie Ma
  E0669:  Z. Zhang, S. Ma, L. Nie, G. Soon
  A quantitative concordance measure for comparing and combining treatment selection markers
  E1106:  Y. Zhao, S. Ding, I. Van Keilegom, Z. Su
  Envelopes for censored quantile regression
  E1359:  Y. Tu
  Hermite polynomial estimation of index models after a nonparametric transformation
Session EO451 Room: Chancellor's Hall
Bayesian model selection in nonparametric problems Monday 18.12.2017   15:25 - 16:40
Chair: Anirban Bhattacharya Organizer: Anirban Bhattacharya
  E1024:  A. Bhattacharya
  Scalable computation with shrinkage priors
  E1035:  D. Pati, A. Bhattacharya, J. Geng
  Community detection and goodness of fit tests in random graph models: a probabilistic approach
  E1453:  J. Datta, N. Polson, A. Bhadra, B.T. Willard
  Horseshoe regularization for feature subset selection
Session EO727 Room: Court
Statistics for large, spatial datasets: Atmospheric science applications Monday 18.12.2017   15:25 - 16:40
Chair: Veronica Berrocal Organizer: Veronica Berrocal, Andrew Lawson
  E0383:  V. Berrocal
  Modeling non-stationarity via multi-resolution basis functions and mixture priors
  E0373:  M. Heaton
  Physically constrained spatiotemporal kriging of remotely sensed land surface temperature
  E1070:  D. Hammerling
  Compression and conditional emulation of climate model outputs
Session EO645 Room: G11
Computational intensive applications in biostatics and DNA evidence Monday 18.12.2017   15:25 - 16:40
Chair: Joseph Gastwirth Organizer: Joseph Gastwirth
  E1222:  T. Graversen
  Pushing the boundaries for forensic DNA interpretation
  E1347:  J. de Zoete
  A new approximate method for Y-STR haplotype probability assignment
  E1780:  N. Fenton
  The benefits and pitfalls of Bayes in forensic analysis
Session EO473 Room: G3
Large-scale data with complex structure Monday 18.12.2017   15:25 - 16:40
Chair: Yixin Fang Organizer: Junhui Wang
  E0228:  Y. Wang
  Estimation of subject-specific directed acyclic graphs with latent effects for discovering causal dependence
  E0634:  A. Artemiou, S.J. Shin, Y. Dong
  A first approach to real time sufficient dimension reduction
  E0460:  Y. Fang, J. Xu, L. Yang
  On scalable inference with stochastic gradient descent
Session EO563 Room: G4
Accelerated life testing Monday 18.12.2017   15:25 - 16:40
Chair: Maria Kateri Organizer: Maria Kateri
  E0519:  X. Xu
  Optimal designs for multiple-step-stress accelerated life testing experiments when some testing constraints are required
  E0631:  C. Kohl, M. Kateri
  Adaptive step-stress accelerated life testing models
  E0717:  C. Paroissin, F. Corset, M. Fouladirad
  A Cox model for component lifetimes with spatial interactions
Session EO172 Room: Gordon
Non-parametric estimation of statistical modeling Monday 18.12.2017   15:25 - 16:40
Chair: Shanshan Ding Organizer: Qingcong Yuan, Xiangrong Yin
  E1065:  W. Qian, Y. Yang
  Nonparametric estimation in a multi-armed bandit problem with covariates
  E1388:  N. Lin
  A Dirichlet process mixture model for nonparametric Bayesian quantile regression
  E1530:  M.R. Karim, I. Gijbels, A. Verhasselt
  A study on a general family of asymmetric distributions
Session EO063 Room: Jessel
Order restrictions Monday 18.12.2017   15:25 - 16:40
Chair: Satya PrakashSingh Organizer: CMStatistics
  E0298:  S. PrakashSingh, O. Davidov
  Some issues in the design of experiments with ordered experimental treatments
  E1600:  Y. Larriba, C. Rueda, M. Fernandez
  Order-restricted inference in chronobiology
  E1649:  V. Pastukhov, D. Anevski
  The asymptotic distribution of the isotonic regression estimator over a general countable pre-ordered set
Session EO250 Room: Montague
High-dimensional/functional data analysis with biological applications Monday 18.12.2017   15:25 - 16:40
Chair: Juhyun Park Organizer: Juhyun Park
  E1078:  F. Dondelinger
  A Bayesian model for drug response estimation and biomarker testing using Gaussian processes
  E0740:  A. Gegout-Petit, S. Li
  ABC inference for a spatio-temporal autologistic model
  E0822:  Y. Rozenholc, F. Liu, C.A. Cuenod
  Hierarchical functional clustering using equivalence test with application to perfusion imaging
Session EO725 Room: Senate
Robust methods for complex data Monday 18.12.2017   15:25 - 16:40
Chair: Ana Belen Ramos-Guajardo Organizer: Ana Belen Ramos-Guajardo
  E0462:  P. Grzegorzewski
  Two-sample dispersion tests for interval-valued data
  E0935:  A.B. Ramos-Guajardo, M.B. Ferraro
  Generalization of the Mahalanobis distance for fuzzy data: An application to robust fuzzy clustering
  E1597:  R. Azais, A. Genadot, B. Henry
  Estimation of the relative scale of trees from their Harris path
Session EO463 Room: Woburn
Quantile estimation and regression Monday 18.12.2017   15:25 - 16:40
Chair: Anneleen Verhasselt Organizer: Anneleen Verhasselt
  E0416:  A. El Ghouch, I. Van Keilegom, M. De Backer
  An adapted loss function for censored quantile regression
  E0452:  I. Gijbels
  Quantile regression estimation in varying coefficient models
  E0483:  A. Verhasselt, I. Gijbels, M.A. Ibrahim
  Testing in heteroscedastic quantile varying coefficient models
Session EO465 Room: SH349
Clustering/classification and mixtures II Monday 18.12.2017   15:25 - 16:40
Chair: Geoffrey McLachlan Organizer: Geoffrey McLachlan
  E0777:  A. Montanari, F. Fortunato, L. Anderlucci
  Random projection ensemble clustering
  E0350:  C. Hennig, W. Sauerbrei
  Exploration of the variability of variable selection based on distances between bootstrap sample results
  E0425:  K.-A. Do, V. Baladandayuthapani, M.J. Ha
  Personalized cancer-specific integrated network estimation
Session EC702 Room: G5
Contributions to extreme value theory and applications Monday 18.12.2017   15:25 - 16:40
Chair: Marie Kratz Organizer: CMStatistics
  E0283:  I. Gomes, F. Caeiro, M. Neves, H. Penalva
  Generalized means in statistical extreme value theory
  E1695:  J.L. Romero, J.M. Angulo
  Asymptotic error bound approximation of threshold exceedance probabilities for non-stationary random fields
  E1543:  A. Krutto, T. Kollo
  Consistent asymptotically normal estimators for stable distributions
Parallel session O: CFE2017 Monday 18.12.2017 15:25 - 16:40

Session CO595 Room: MAL B18
Testing semi-nonparametric hypotheses Monday 18.12.2017   15:25 - 16:40
Chair: Tatiana Komarova Organizer: Taisuke Otsu
  C0233:  L. Taylor
  Nonparametric significance testing in measurement error models
  C1246:  T. Komarova, J. Hidalgo
  A simple test for monotonicity and monotonicity-related properties
  C0922:  Y. Matsushita, T. Otsu
  Jackknife, small bandwidth and high-dimensional asymptotics
Session CO664 Room: MAL B20
Econometrics with mixed frequency and aggregated data Monday 18.12.2017   15:25 - 16:40
Chair: Michael Thornton Organizer: Michael Thornton
  C1051:  R. McCrorie
  Discretization of the Bergstrom-Nowman macroeconomic model
  C0862:  M. Thornton
  Representations of linear continuous time models with mixed frequency data
  C1412:  X. Wang, L. Jiang, J. Yu
  In-fill asymptotic theory for structural breakpoint in autoregression: A unified theory
Session CO676 Room: MAL B35
Inference in complex dynamic models Monday 18.12.2017   15:25 - 16:40
Chair: Alessandra Luati Organizer: Alessandra Luati
  C1234:  M. Freo, F. Crescenzi, A. Luati
  Testing the hypothesis of enhanced design in fast fashion industry using internet as a source of data
  C1146:  M.E. Pasetto, U. Noe, A. Luati, D. Husmeier
  Inference in the Duffing system with a sequential ABC-UKF algorithm
  C1434:  U. Noe, D. Husmeier, M. Filippone, N. Hill, W. Chen
  Fast inference in expensive computational models
Session CO214 Room: MAL 402
Management of expectations in turbulent times Monday 18.12.2017   15:25 - 16:40
Chair: Maritta Paloviita Organizer: Tomasz Lyziak, Maritta Paloviita
  C0733:  A. Locarno, F. Busetti, D. Delle Monache, G. Andrea
  De-anchoring of inflation expectations under learning and heterogeneity
  C1685:  T. Lyziak, M. Paloviita
  Formation of inflation expectations in turbulent times: On ECB expectations' management of professional forecasters
  C1793:  J. Talmi, M. Ehrmann
  Semantic similarity in central bank communication and market volatility
Session CO122 Room: MAL 414
Financial time series modelling Monday 18.12.2017   15:25 - 16:40
Chair: Zudi Lu Organizer: Zudi Lu, Yan Sun
  C0600:  L. Wang
  Robustness and vulnerability of networks with dynamical dependency groups
  C0581:  Q. Zhang
  An extended MRR Model for transaction-level analysis of high frequency trading processes
  C1470:  T. Brough
  Metallgesellschaft's hedging revisited: A bootstrap reality check
Session CO118 Room: MAL 421
Long memory Monday 18.12.2017   15:25 - 16:40
Chair: Josu Arteche Organizer: Josu Arteche
  C0264:  P. Sibbertsen, C. Leschinski
  Origins of spurious long memory
  C0362:  J. Arteche
  Multiple local Whittle estimation of long memory
  C0629:  C. Velasco, P. Robinson
  Estimation for dynamic panel data with individual effects
Session CO481 Room: MAL 532
Monetary policy and financial conditions Monday 18.12.2017   15:25 - 16:40
Chair: Luca Benzoni Organizer: Scott Brave
  C0718:  F. Ferroni
  Delphic and Odyssean monetary policy shocks: Evidence from the euro-area
  C0397:  A. Ajello
  Term premium, credit risk premium, and monetary policy
  C0269:  L. Benzoni, M. Bassetto, T. Serrao
  The interplay between financial conditions and monetary policy shocks
Session CO192 Room: MAL 538
Real-time data analysis Monday 18.12.2017   15:25 - 16:40
Chair: Simon van Norden Organizer: Simon van Norden, Jan Jacobs
  C0978:  J. Dovern, C. Zuber
  The effect of recessions on potential output estimates: Size, timing, and determinants
  C0939:  T. Boonman, J. Jacobs, G. Kuper, A. Romero
  Early warning systems for currency crises with real-time data
  C1191:  T. Drechsel, I. Petrella, J. Antolin Diaz
  Advances in nowcasting economic activity
Session CO280 Room: MAL 539
New challenges for seasonal and calendar adjustment Monday 18.12.2017   15:25 - 16:40
Chair: Gian Luigi Mazzi Organizer: Gian Luigi Mazzi
  C0844:  S. Fortier, S. Matthews, Z. Patak
  Impact of atypical weather of seasonal adjustment
  C0879:  E. Infante, G. Scepi
  Two-step reconciliation of time series
  C0926:  D. Ladiray, T. Proietti, G.L. Mazzi
  Seasonal adjustment of daily data with JDemetra+: New results
Session CO202 Room: MAL 540
Bayesian nonlinear econometrics Monday 18.12.2017   15:25 - 16:40
Chair: Roberto Casarin Organizer: Roberto Casarin
  C1225:  R. Casarin, M. Billio, M. Iacopini
  Bayesian Markov switching tensor regression for time-varying networks
  C1217:  M. Iacopini, R. Casarin, M. Billio
  Bayesian dynamic tensor regression
  C1228:  G. Livieri, R. Casarin, G. Bormetti, F. Corsi
  A discrete-time stochastic volatility framework for pricing options with realized measures
Session CO647 Room: MAL 541
Financial econometrics theory, insurance, and risk management Monday 18.12.2017   15:25 - 16:40
Chair: Debbie Dupuis Organizer: Zhengjun Zhang
  C0945:  H. Zheng
  Valuation of guaranteed unitized participating life insurance under MEGB2 distribution
  C0885:  C. Wang, H. Wang, Q. Fang
  Joint extrapolation forecasting of supply and use tables based on matrix transformation techniques
  C0250:  F. Pegoraro, C. Jardet, A. Monfort
  Scenario response distributions