KEYNOTE TALKS (GMT)
| Keynote talk 1 | Saturday 18.12.2021 | 08:15 - 09:15 | Room: K E. Safra (Multi-use 01) |
| Monitoring a developing pandemic with available data (virtual) | |||
| Speaker: J.P. Nielsen Co-authors: M.L. Gamiz, M.D. Martinez-Miranda, E. Mammen | Chair: Kalliopi Mylona | ||
| Keynote talk 2 | Sunday 19.12.2021 | 19:25 - 20:15 | Room: K E. Safra (Multi-use 01) |
| The exact distribution of the T ratio (virtual) | |||
| Speaker: B. Hansen | Chair: Degui Li | ||
| Keynote talk 3 | Monday 20.12.2021 | 11:25 - 12:15 | Room: K E. Safra (Multi-use 01) |
| Multilevel models for longitudinal dyadic family data (in-person) | |||
| Speaker: F. Steele | Chair: Francisco Javier Rubio | ||
| Keynote talk 4 | Monday 20.12.2021 | 13:45 - 14:35 | Room: K E. Safra (Multi-use 01) |
| Investigating growth at risk using a multi-country non-parametric quantile factor model (virtual) | |||
| Speaker: G. Koop Co-authors: T. Clark, F. Huber, M. Marcellino, M. Pfarrhofer | Chair: Tommaso Proietti | ||
| Keynote talk 5 | Monday 20.12.2021 | 18:45 - 19:40 | Room: K E. Safra (Multi-use 01) |
| Most powerful inference after model selection via confidence distributions (virtual) | |||
| Speaker: G. Claeskens | Chair: Cristian Gatu | ||
PARALLEL SESSIONS (GMT)
| Parallel session B: CMStatistics | Saturday 18.12.2021 | 09:25 - 10:40 |
| Session EO728 | Room: Virtual R18 |
| Recent advances in random matrix theory and high dimensional statistics | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: Zeng Li | Organizer: Zeng Li |
| Session EO547 | Room: Virtual R20 |
| Statistical learning in decision making systems | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: Matteo Borrotti | Organizer: Matteo Borrotti |
| B1357: M. Repetto, L. Crosato, C. Liberati | |
| Black-box models and Interpretability: Prediction of Italian SMEs' default | |
| B1646: K. Baker, C. Umamahesan, C. Weller, S. Dobbs, J. Dobbs, A. Charlett, S. Gilmour | |
| Statistical modelling for drivers and mediators of the characteristic rest tremor of Parkinson's disease | |
| B0634: V. Distefano, M. Mannone, C. Silvestri, I. Poli | |
| Cluster analysis of diabetic kidney disease longitudinal data |
| Session EO832 | Room: Virtual R21 |
| Joint modelling for longitudinal and survival data | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: Ipek Guler | Organizer: Ipek Guler, Marialuisa Restaino |
| B0944: M. Mazzoleni | |
| The joint models for longitudinal and survival data: Analysis and extensions | |
| B1428: I. Guler | |
| Extensions on joint models for multivariate non-linear longitudinal and survival data | |
| B1431: C. Diaz Louzao, I. Guler, F. Gude, S. Tome, C. Cadarso Suarez | |
| Novel joint modelling extensions for survival and longitudinal data applied to COVID-19 |
| Session EO583 | Room: Virtual R22 |
| Limit theorems for stochastic processes | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: Salim Bouzebda | Organizer: Salim Bouzebda |
| B1075: I. Soukarieh | |
| Renewal type bootstrap for U- process Markov chains | |
| B1102: A. Nezzal, S. Bouzebda | |
| Uniform in number of neighbors consistency for the conditional $U$-statistics involving functional data | |
| B1119: A.A. Ferfache, S. Bouzebda | |
| General M-estimator processes and their $m$ out of $n$ bootstrap with functional nuisance parameters |
| Session EO738 | Room: Virtual R23 |
| Recent advances in latent variable models | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: Roberto Di Mari | Organizer: Roberto Di Mari |
| B0310: L. Vogelsmeier, J. Vermunt, K. De Roover | |
| Latent Markov factor analysis for evaluating measurement model heterogeneity in intensive longitudinal data | |
| B0673: L. Coraggio, P. Coretto | |
| Selecting clustering algorithms and solutions via quadratic scoring | |
| B1021: T. Adam, R. Glennie, T. Michelot | |
| State-switching varying-coefficient stochastic differential equations |
| Session EO796 | Room: Virtual R24 |
| Machine learning and statistical inverse problems | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: Catia Scricciolo | Organizer: Catia Scricciolo |
| B0702: F. Sherry | |
| Equivariant neural networks for inverse problems | |
| B1284: D. Moss, J. Rousseau | |
| Efficient semiparametric estimation and cut posterior contraction in semiparametric hidden markov models | |
| B1655: C. Scricciolo, J. Rousseau | |
| Bayesian Wasserstein deconvolution |
| Session EO557 | Room: Virtual R25 |
| The role of biostatistics for epidemiologic designs and analyses | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: Paola Rebora | Organizer: Paola Rebora |
| B0515: C.S. Tan, Y. Ning, P.J. Ho, N. Stoer, K.K. Lim, H.-L. Wee, M. Hartman, M. Reilly | |
| Treating ordinal outcomes as continuous quantities: When, why and how | |
| B0853: Y. Ning | |
| Weighted analyses of survival outcomes under complex study designs: An R implementation | |
| B1190: F. Graziano, P. Rebora | |
| Design2phase library to estimate power and efficiency of a two-phase design with survival outcome |
| Session EO826 | Room: Virtual R26 |
| Extremes and causality | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: Valerie Chavez-Demoulin | Organizer: Valerie Chavez-Demoulin |
| B0251: J. Bodik | |
| Detection of causality in time series using extreme values | |
| B0872: M. Krali, C. Klueppelberg | |
| Estimating an extreme Bayesian network via scalings | |
| B1689: S. Engelke, D. Deuber, M. Maathuis, J. Li | |
| Extremal quantile treatment effects for heavy-tailed distributions |
| Session EO104 | Room: Virtual R28 |
| New methods and models for ordinal and mixed-type data | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: Cristina Mollica | Organizer: Cristina Mollica |
| B1006: R. Simone | |
| Finite mixtures of discretized beta distribution to model polarization and floatation of ordinal data | |
| B1077: P. Yu, J. Gu | |
| Modeling ranking data in a social network | |
| B1595: C. Mollica, M. Crispino, V. Astuti, L. Tardella | |
| Efficient estimation of finite mixtures of Mallows models with the Spearman distance |
| Session EO842 | Room: Virtual R36 |
| Advances in depth and quantile methods | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: Germain Van Bever | Organizer: Germain Van Bever |
| B0340: P. Laketa, S. Nagy, D. Pokorny | |
| Halfspace depth revisited | |
| B0524: P. Mozharovskyi, R. Dyckerhoff, S. Nagy | |
| Approximate computation of projection depths | |
| B1526: D. Konen, D. Paindaveine | |
| Spatial quantiles on the hypersphere |
| Session EO814 | Room: Virtual R37 |
| Multivariate time series modeling | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: Efstathia Bura | Organizer: Efstathia Bura |
| B0599: D. Pena | |
| A test for the number of factors in dynamic factor models | |
| B0644: B. Brune, W. Scherrer, E. Bura | |
| A state-space approach to time-varying reduced rank regression | |
| B1242: T. Krivobokova | |
| Factor analysis for data with heterogenous blocks |
| Session EO493 | Room: Virtual R38 |
| Methods for functional time series | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: Juhyun Park | Organizer: Juhyun Park |
| B0418: D. Kurisu | |
| On the estimation of nonstationary functional data | |
| B0626: S. Kuehnert | |
| On lagged covariance and cross-covariance operators of processes in cartesian products of abstract Hilbert Spaces | |
| B1094: J. Cugliari, N. Hernandez, J. Jacques | |
| Simultaneous predictive bands for functional time series using minimum entropy sets |
| Session EO523 | Room: K0.20 (Hybrid 05) |
| Predicting and forecasting for complex data | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: Matus Maciak | Organizer: Matus Maciak |
| B1099: M. Maciak | |
| Regularized changepoint detection in panel data models applied for predictions of implied volatility dynamics | |
| B1210: M. Pesta, M. Maciak, O. Okhrin | |
| Infinitely stochastic micro reserving | |
| B1728: E. Theising, D. Wied, D. Ziggel | |
| Reference class selection in similarity-based forecasting of sales growth |
| Session EO316 | Room: K E. Safra (Multi-use 01) |
| Design of experiments (hybrid) | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: David Woods | Organizer: David Woods |
| B0325: A. Overstall | |
| General Bayesian design of experiments for calibration of mathematical models | |
| B1162: O. Egorova, S. Gilmour | |
| Sequential multi-objective planning of factorial experiments | |
| B0480: T. Waite, D. Woods | |
| Minimax efficient random experimental design strategies with application to model-robust design for prediction |
| Session EC877 | Room: Virtual R29 |
| Contributions in copulas | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: Roel Braekers | Organizer: CFE-CMStatistics |
| B1598: A. Verhasselt, J. Baillien, I. Gijbels | |
| Inference for copulas with two-piece margins | |
| B1676: V. Piperigou | |
| Geometric-extreme stable distributions and Archimedean copulas | |
| B1107: M. Tepegjozova, C. Czado | |
| Bivariate vine based quantile regression |
| Session EG055 | Room: Virtual R27 |
| Contributions in causal inference and graphical models | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: Dorota Kurowicka | Organizer: CFE-CMStatistics |
| B1076: D. Kurowicka | |
| Regular vine copulas with strongly chordal pattern of (conditional) independence | |
| B1352: M. Ghasempour, N. Moosavi, X. de Luna | |
| Valid causal inference when using deep convolutional neural networks to control for highly structured covariates | |
| B1115: E. Giudice, J. Kuipers, G. Moffa | |
| The dual PC algorithm for structure learning of Bayesian networks |
| Session EG067 | Room: Virtual R35 |
| Contributions in methodological statistics I | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: Eugen Pircalabelu | Organizer: CFE-CMStatistics |
| B1611: S. Yuki, H. Yadohisa | |
| Estimation of treatment effects for multiple outcomes by using generalized linear models | |
| B1640: C. Castiglione, M. Bernardi | |
| Approximated variational inference based on data augmentation methods | |
| B1485: J. Liu, J.Q. Shi | |
| Wrapped Gaussian process functional regression for batch data on Riemannian manifolds |
| Parallel session B: CFE | Saturday 18.12.2021 | 09:25 - 10:40 |
| Session CO256 | Room: Virtual R31 |
| Advances in time series econometrics | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: Claudio Morana | Organizer: Claudio Morana |
| A0176: C. Morana | |
| A new macro-financial condition index for the euro area | |
| A0187: M. Hartmann, A. Glas | |
| Uncertainty measures from partially rounded probabilistic forecast surveys | |
| A0189: G. Cubadda, A. Hecq | |
| Dimension reduction for high dimensional vector autoregressive models | |
| A1455: M. Karanasos, Y. Xu, A. Paraskevopoulos, S. Yfanti | |
| Matrix inequality constraints for vector GARCH models with spillovers: A new (mixture) formulation |
| Session CO888 | Room: Virtual R33 |
| Recent developments on econometrics: Theory and Applications | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: Ke Zhu | Organizer: Ke Zhu |
| A1336: R. She | |
| Tests of unit root hypothesis with heavy-tailed heteroscedastic noises | |
| A1407: N. Zhang, K. Zhu | |
| Quantiled moments by Cornish-Fisher expansion and its applications | |
| A1464: F. Jiang, X. Shao, Z. Zhao | |
| Segmenting the time series via self-normalization |
| Session CO892 | Room: Virtual R34 |
| Additive and multiplicative time-varying GARCH models | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: Niklas Ahlgren | Organizer: Niklas Ahlgren |
| A0778: A. Back, N. Ahlgren, T. Terasvirta | |
| Additive time-varying GARCH model | |
| A0781: N. Ahlgren, A. Back, T. Terasvirta | |
| Testing of parametric additive time-varying GARCH models | |
| A0739: C. Amado | |
| Modelling non-stationarity robust variance interactions |
| Session CG029 | Room: Virtual R30 |
| Contributions in causality | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: Michael Knaus | Organizer: CFE |
| A1729: X. Deng | |
| Doubly robust estimation of conditional average treatment effect for the treated under DID framework | |
| A1690: S. Tang | |
| Inferences for partially conditional quantile treatment effect model | |
| A1675: A. Zaremba, G. Peters | |
| Statistical causality: What more can we learn about our data |
| Session CG027 | Room: Virtual R32 |
| Contributions in econometric modelling | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: Roberto Casarin | Organizer: CFE |
| A1631: G. Carallo, R. Casarin, D. Palumbo | |
| Score-driven generalized Poisson model | |
| A0532: M. Zhan, C. Zongwu, Y. Fang, M. Lin | |
| Estimating quantile treatment effects for panel data | |
| A1672: I. Paraskevopoulos | |
| The limits of measurement |
| Session CG039 | Room: K0.18 (Hybrid 03) |
| Contributions in high-dimensional econometrics | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: Guillaume Chevillon | Organizer: CFE-CMStatistics |
| A1423: G. Chevillon, L. Bauwens, S. Laurent | |
| Modelling long memory with just one lag | |
| A1085: A. Chrysikou, G. Kapetanios, I. Chronopoulos | |
| High dimensional generalised least squares | |
| A1558: B. van Os, D. van Dijk | |
| Pooling dynamic conditional correlation models |
| Session CG035 | Room: K0.19 (Hybrid 04) |
| Contributions in financial networks | Saturday 18.12.2021 09:25 - 10:40 |
| Chair: Jozef Barunik | Organizer: CFE |
| A0192: K. Abduraimova | |
| Good contagion: What do networks say about policy transmission | |
| A1582: J. Barunik, M. Ellington | |
| Transitory and persistent networks | |
| A1656: Y. Zhang, L. Veraart | |
| A macroprudential view on post-trade risk reduction services |
| Parallel session C: CMStatistics | Saturday 18.12.2021 | 11:10 - 12:50 |
| Session EO378 | Room: Virtual R18 |
| Recent advances in FDA | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Siegfried Hoermann | Organizer: Siegfried Hoermann |
| B0767: D. Kraus, S. Nagy | |
| Functional data analysis and censoring | |
| B0826: H.L. Shang | |
| Sieve bootstrap memory parameter in long-range dependent stationary functional time series | |
| B0897: A. van Delft, H. Dette | |
| Pivotal tests for relevant differences in the second order dynamics of functional time series | |
| B1018: M. Reimherr, A. Rao | |
| Non-linear function-on-function regression via neural nets |
| Session EO066 | Room: Virtual R20 |
| The Stein method and statistics | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Robert Gaunt | Organizer: Robert Gaunt |
| B0570: Y. Swan | |
| About Stein kernels | |
| B0716: , B. Ebner, B. Klar | |
| Parameter estimators for non-normalized statistical models based on Stein characterizations | |
| B0723: B. Ebner | |
| On testing randomness of binary images | |
| B0845: F. Daly | |
| Approximations for random sums with equally correlated summands |
| Session EO314 | Room: Virtual R21 |
| Random matrix theory and related fields | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Bowen Gang | Organizer: Bowen Gang |
| Session EO154 | Room: Virtual R22 |
| Modeling spatiotemporal data | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Mattias Villani | Organizer: Mattias Villani |
| B0519: H. Rodriguez-Deniz, M. Villani | |
| Robust real-time delay predictions in a network of high-frequency urban buses | |
| B1163: J. Wallin | |
| Matern fields on graphs and their edges | |
| B1238: P. Ryden | |
| Prehospital resource optimization | |
| B1536: K. Podgorski | |
| Spatial-temporal stochastic fields with embedded dynamics |
| Session EO276 | Room: Virtual R23 |
| Recent developments in YUIMA package and related topics | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Nakahiro Yoshida | Organizer: Nakahiro Yoshida |
| B0508: L. Mercuri | |
| yuima.PPR: New developments for the point process in the YUIMA package. | |
| B0766: E. Guidotti, N. Yoshida | |
| Asymptotic expansion formulas for diffusion processes based on the perturbation method | |
| B0851: H. Masuda | |
| Expanding Levy-SDE related functions in YUIMA package | |
| B1642: F. Iafrate | |
| Porting the Yuima package to Python: Difficulties and feasibility |
| Session EO298 | Room: Virtual R24 |
| Challenges and opportunities in analysing clinical data | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Eleni-Rosalina Andrinopoulou | Organizer: Eleni-Rosalina Andrinopoulou |
| B1029: R. Mitra, S. Biedermann | |
| Optimal design of clinical trials when outcome values are missing | |
| B0917: N. Erler | |
| Bayesian methods for handling missing values in complex settings | |
| B0801: D. van Klaveren | |
| Predictive modeling approaches to personalized medicine: A comparison of regression-based methods | |
| B0346: M. van de Wiel, M. van Nee | |
| Co-data weighted elastic net |
| Session EO718 | Room: Virtual R25 |
| Recent developments in causal inference | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: BaoLuo Sun | Organizer: BaoLuo Sun |
| B0499: X. Shi | |
| On proximal causal inference with synthetic controls | |
| B0638: Z. Liu | |
| MRCIP: A robust Mendelian randomization method accounting for correlated and idiosyncratic pleiotropy | |
| B0824: L. Liu | |
| The variety of no direct effect assumptions in dynamic treatment regimes | |
| B0901: W. Miao, W. Hu, E. Ogburn, X. Zhou | |
| Identifying effects of multiple treatments in the presence of unmeasured confounding |
| Session EO770 | Room: Virtual R26 |
| Causal mediation analysis | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Anita Lindmark | Organizer: Anita Lindmark |
| B0511: T. Nguyen | |
| Causal mediation analysis: From simple to more robust estimation strategies | |
| B0411: X. Zhou | |
| Semiparametric estimation for causal mediation analysis with multiple causally ordered mediators | |
| B0558: M. Moreno-Betancur, J.B. Carlin | |
| Simulating hypothetical interventions on multiple mediators: Extending methods and practical guidance | |
| B0196: W.W. Loh, B. Moerkerke, T. Loeys, S. Vansteelandt | |
| Nonlinear mediation analysis with high-dimensional mediators whose causal structure is unknown |
| Session EO094 | Room: Virtual R27 |
| Advances in multivariate functional data analysis | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Sophie Dabo | Organizer: Sophie Dabo, Michael Genin |
| B0693: C. Frevent, M.S. Ahmed, S. Dabo, M. Genin | |
| Investigating spatial scan statistics for multivariate functional data | |
| B0734: S. Golovkine, N. Klutchnikoff, V. Patilea | |
| Adaptive optimal estimation of irregular mean and covariance functions | |
| B0793: A.F. Yao, P. Llop, C. Samir, P. Mbaye | |
| Some consistent results for the kernel-based Bayes classifier for functional data with values in a submanifolds | |
| B1531: C. Preda, V. Vandewalle, Q. Grimonprez | |
| cfda R package for categorical functional data |
| Session EO152 | Room: Virtual R33 |
| Topics on high-dimensional methods | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Eugen Pircalabelu | Organizer: Eugen Pircalabelu |
| B0668: A. Alfons, D. Touw, I. Wilms | |
| Node clustering in large-scale graphical models | |
| B0777: W. Rejchel, P. Pokarowski, S. Nowakowski | |
| Sparse selection and prediction with high-dimensional categorical data | |
| B1226: A. Artemiou | |
| Robust approaches for sufficient dimension reduction | |
| B1290: E. Devijver, R. Molinier, M. Gallopin | |
| A stable network inference procedure for high dimensional data |
| Session EO890 | Room: Virtual R36 |
| Mixture modelling | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Sollie Millard | Organizer: Sollie Millard |
| B1016: S. Millard, S. Millard, M. Arashi, F. Kanfer, G. Maribe | |
| Feature selection in mixture of logistic regression models using the modified elastic-net penalty | |
| B0787: M. Naderi, A. Bekker | |
| Parsimonious mixture of multivariate mean-mixture of normal distributions | |
| B1011: S. Skhosana, F. Kanfer, S. Millard | |
| A possible solution to the label-switching problem in fitting nonparametric mixture of regressions | |
| B0965: M. de Klerk, F. Kanfer, S. Millard | |
| Contributions to mixture of distributions with application in sequenced data |
| Session EO501 | Room: Virtual R37 |
| Projection pursuit I | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Nicola Loperfido | Organizer: Nicola Loperfido |
| B0512: H. Ogasawara | |
| Some generalizations of the Henze theorem | |
| B0964: S.M. Salehi, A. Bekker, M. Arashi | |
| Clustering via a semi-parametric density estimation | |
| B1397: R. Mattera, G. Scepi | |
| A weighted k-medoids algorithm for clustering time series' projections | |
| B1413: M. Giacalone, R. Mattera, K. Gibert | |
| Entropy weighted model-based clustering of skewed and heavy tailed time series |
| Session EO603 | Room: Virtual R39 |
| Experimental design | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Heiko Grossmann | Organizer: Heiko Grossmann |
| B0652: S. Gilmour, P.-W. Tsai | |
| Optimal two-level designs under model uncertainty | |
| B0936: J. Nunez Ares, P. Goos | |
| J-characteristics for 3-level response surface designs | |
| B0427: S. Biedermann, S. Alzahrani | |
| Finding the optimal proportions in constrained mixture experiments | |
| B0928: F. Roettger, R. Schwabe, T. Kahle | |
| Optimal discrete choice designs via hypergraphs |
| Session EO178 | Room: Virtual R40 |
| Sport analytics | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Christophe Ley | Organizer: Andreas Groll, Christophe Ley |
| B1263: A. Leroy | |
| Multi-task Gaussian processes models for functional data and application to the prediction of swimming performances | |
| B1376: I. Ntzoufras, V. Palaskas, S. Drikos | |
| Bayesian models for prediction of the set-difference in volleyball | |
| B1401: H. van der Wurp, A. Groll | |
| Introducing regularisation to generalised joint regression modelling and its application to football and sports | |
| B1543: D. Karlis, M. Oetting | |
| Football strategies via the effective playing space and tracking data |
| B0518: L. Maestrini, M. Quiroz, F. Li | |
| Distributed inference for generalized linear models with variable selection | |
| B0726: M. Komodromos, S. Filippi, M. Evangelou, K. Ray | |
| Spike-and-slab variational bayes for high-dimensional survival analysis | |
| B0664: L. Schiavon, A. Canale, D. Dunson | |
| Generalized infinite factorization | |
| B1681: S. Favaro, E. Dolera, S. Peluchetti | |
| Learning-augmented count-min sketches via Bayesian nonparametrics |
| Session EO060 | Room: K0.19 (Hybrid 04) |
| Clustering of complex data structures | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Maria Brigida Ferraro | Organizer: Maria Brigida Ferraro |
| B0254: A. Lopez Oriona, J. Vilar, P. Durso | |
| Spatial weighted robust clustering of multivariate time series with an application to COVID-19 pandemic | |
| B0523: I. Cozzolino, M.B. Ferraro, P. Winker | |
| Fuzzy spectral clustering for document data sets | |
| B0655: A. Torti, M. galvani, A. Menafoglio, P. Secchi, S. Vantini | |
| A novel bi-clustering algorithm for Hilbert data | |
| B0667: A.B. Ramos-Guajardo | |
| Clustering random intervals: A new approach based on a similarity measure |
| Session EO438 | Room: K0.20 (Hybrid 05) |
| Recent developments in extreme value theory and methods (virtual) | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Gilles Stupfler | Organizer: Gilles Stupfler |
| B0186: M. Escobar-Bach, R. Maller, I. Van Keilegom, M. Zhao | |
| Estimation of the cure rate for distributions in the Gumbel maximum domain of attraction under insufficient follow-up | |
| B0753: A. Usseglio-Carleve, G. Stupfler, S. Girard | |
| Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models | |
| B1037: A. Khorrami Chokami, M. Kratz | |
| Extremal dependence between maxima of concomitants | |
| B1395: B. Nemouchi, B. NEMOUCHI, A. Daouia, G. Stupfler | |
| Extreme expectile estimation from short-tailed data |
| Session EO641 | Room: K2.31 Nash (Hybrid 07) |
| Statistical challenges in CoVID-19 epidemiology (virtual) | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Shaun Seaman | Organizer: Shaun Seaman |
| B1003: T. McKinley | |
| Calibrating a large-scale stochastic meta-population model of COVID-19 in England and Wales | |
| B1050: R. Keogh | |
| Estimating length of stay in a multi-state model conditional on the pathway, with application to patients with Covid-19 | |
| B0669: A. Presanis | |
| Estimating the severity of SARS-CoV-2 in England | |
| B0423: S. Seaman, T. Nyberg, C. Overton, D. Pascall, A. Presanis, D. De Angelis | |
| Adjusting for time of infection or positive test when estimating the risk of a post-infection outcome in an epidemic |
| Session EC855 | Room: Virtual R30 |
| Contributions in high-dimensional data analysis | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Mauro Bernardi | Organizer: CFE-CMStatistics |
| B1633: M. Bernardi, M. Cattelan, C. Busatto | |
| Fast Bayesian model selection algorithms for linear regression models | |
| B0348: J. Goedhart, M. van de Wiel | |
| Learn2Evaluate: Predictive performance estimation with learning curves | |
| B0757: M. van Nee, M. van de Wiel | |
| Co-data learning in ridge models for high-dimensional data | |
| B1251: M. Amestoy, M. van de Wiel, W. van Wieringen | |
| Simultaneous shrinkage of the linear mixed model's fixed and random effects using empirical Bayes |
| Session EC850 | Room: K0.16 (Hybrid 02) |
| Contributions in statistical modelling II | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Pavlo Mozharovskyi | Organizer: CFE-CMStatistics |
| B0387: O. Sorensen, A. Fjell, K. Walhovd | |
| Longitudinal modeling of age-dependent latent traits | |
| B1584: M. Campbell | |
| Investigating a time-varying degrees of freedom parameter in the robust modelling of longitudinal data | |
| B1638: M. Stival, M. Bernardi, P. Dellaportas | |
| Doubly online changepoint detection for monitoring health status during sport activities | |
| B1224: T. Omer, P. Sjolander, K. Mansson, B.G. Kibria | |
| An unrestricted MIDAS Poisson regression model |
| Session EG063 | Room: Virtual R29 |
| Contributions in statistical methods for applications | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Daniel Gaigall | Organizer: CFE-CMStatistics |
| B0228: M.D.C. Robustillo Carmona, C.J. Perez Sanchez, M.I. Parra Arevalo | |
| Predicting inner temperature, humidity, and weight of beehives by using VAR models and sensorization | |
| B1513: E. Afrifa-Yamoah, S.M. Taylor, U. Mueller | |
| Analysing recreational boating traffic data in a panel time series data modelling setting | |
| B0717: H. Satomura | |
| A sparse estimation method for sensory evaluation data with taking individual scaling differences into account | |
| B1597: M. Arashi, A.F. Lukman, Z.Y. Algamal | |
| Liu after random forest: Application of machine learning methods in modeling high-dimensional chemical data |
| Parallel session C: CFE | Saturday 18.12.2021 | 11:10 - 12:50 |
| A0162: Y. Koike | |
| Central limit theorems in high-dimensions: Recent developments | |
| A0163: M. Podolskij | |
| Dirft estimation for high dimensional diffusion models | |
| A0161: M. Jirak | |
| Quantitative limit theorems and bootstrap approximations for empirical projection |
| Session CO032 | Room: Virtual R28 |
| High dimensionality, regime shifts and robust inference | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Artem Prokhorov | Organizer: Artem Prokhorov |
| A1217: D.M. Drukker, D. Liu | |
| Using BIC-based forward stepwise instead of Lasso for Neyman-orthogonal estimation | |
| A1298: V. de la Pena | |
| On the expectation and bias of the Gini coefficient under grouping | |
| A1443: A. Semenov, A. Skrobotov, A. Prokhorov | |
| Change point detection in time series using mixed integer programming | |
| A1276: R. Tabri, S. Dahmann, B. Beare | |
| On the compatibility of experts' Lorenz curves with plausible assumptions on unit nonresponse in household surveys |
| Session CO882 | Room: Virtual R31 |
| Energy econometrics | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Malvina Marchese | Organizer: Ioannis Kyriakou, Malvina Marchese |
| A0283: A. Gianfreda, D. Bunn | |
| A new stochastic model for electricity prices | |
| A0682: A. Zalachoris, M. Fatouh, I. Moutzouris, N. Papapostolou, P. Pouliasis | |
| Crude oil hedging using a regime-switching model | |
| A0580: M. Risstad, M.-H. Gagnon, G. Power, S. Westgaard | |
| Modelling oil price risk using option- and forward market information | |
| A1466: F. Di Iorio, M. Marchese, I. Kyriakou, M. tamvakis | |
| A mixed-frequency combination approach to forecast crude oil and gold future returns volatility and correlation |
| Session CO388 | Room: Virtual R32 |
| Topics in modeling time series and panel data | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Markus Fritsch | Organizer: Markus Fritsch |
| A1170: J. Meier, Z. Niu, F.-X. Briol | |
| Discrepancy-based inference for intractable generative models using quasi-Monte Carlo | |
| A1353: A. Steland | |
| Change-point analysis in high-dimensional econometric dynamic factor models | |
| A1546: M. Fritsch, H. Haupt, J. Schnurbus | |
| Fixed event forecasting at multiple lead times | |
| A1571: J. Schnurbus, A.A.Y. Pua, M. Fritsch | |
| Properties of an IV-estimator based on aggregated nonlinear moment conditions |
| Session CO046 | Room: Virtual R34 |
| Empirical models for corporate finance and banking | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Leone Leonida | Organizer: Leone Leonida |
| A1411: L. Leonida | |
| Is there a underlying shape of the investment cash flow sensitivity | |
| A1417: A. Iona | |
| Political replacement effect and financial development: Evidence across countries | |
| A1426: M. Dolfin | |
| Strategic financial networks | |
| A1427: E. Muzzupappa | |
| Market driven securitization |
| Session CO667 | Room: Virtual R35 |
| Financial econometrics in a Bayesian framework | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Yong Song | Organizer: Yong Song |
| A0245: J. Liu, Q. Yang, J. Xin | |
| Does the choice of realized covariance measures empirically matter? A Bayesian density prediction approach | |
| A0381: Y. Song, J. Maheu, J. Liu | |
| Identification and forecasting of bull and bear markets using multivariate returns | |
| A0389: Q. Yang, J. Maheu, C. Li | |
| A Bayesian semiparametric stochastic volatility model with Markovian mixtures | |
| A0497: Z. Li | |
| Product partitioned dynamic factor models: An application characterising Melbourne housing price co-movements |
| Session CO108 | Room: Virtual R38 |
| Quantitative investment | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Serge Darolles | Organizer: Serge Darolles, Gaelle Le Fol |
| A0684: H. Langlois | |
| Forecasting portfolio weights | |
| A0750: H. Chan | |
| Market impact decay and capacity | |
| A0892: C. Xiouros, P. Ehling | |
| Dissecting beta | |
| A1390: G. Li, B. Han, J. Cao, R. Yang, X. Zhan | |
| Forecasting option returns with news |
| Session CO052 | Room: K0.50 (Hybrid 06) |
| Applied financial econometrics | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Emese Lazar | Organizer: Emese Lazar |
| A0358: S. Wang, L. Horvath, Z. Liu, G. Rice, Y. Zhan | |
| Testing stability in event observations with applications to IPO Performance | |
| A1636: S. Qi, E. Lazar, R. Tunaru | |
| Forward-looking market risk premium and its economic implications | |
| A1715: Y. Jiang, E. Lazar | |
| Forecasting VVIX using forecast combinations and LASSO | |
| A1696: A. Badescu, M. Augustyniak, J.-F. Begin | |
| A discrete-time hedging framework with multiple factors and fat tails: On what matters |
| Session CO470 | Room: K2.41 (Hybrid 09) |
| Deep calibration of financial models | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Christa Cuchiero | Organizer: Christa Cuchiero |
| A1103: D. Siska, P. Gierjatowicz, M. Sabate-Vidales, L. Szpruch, Z. Zuric | |
| Robust pricing and hedging via neural SDEs | |
| A1015: M. Gambara, J. Teichmann | |
| Consistent recalibration models and deep calibration | |
| A1024: S. Svaluto-Ferro, C. Cuchiero, G. Gazzani | |
| Universal signature-based models | |
| A1112: B. Horvath | |
| Data-driven market simulators and some simple applications of signature kernel methods in mathematical finance |
| Session CC875 | Room: K2.40 (Hybrid 08) |
| Contributions in portfolio analysis (virtual) | Saturday 18.12.2021 11:10 - 12:50 |
| Chair: Aleksey Kolokolov | Organizer: CFE |
| A0414: D. Nedela | |
| Impact of trading rules in portfolio process with respect to market risk capital requirement | |
| A0918: L. Coumans, A. Balter, F. de Jong | |
| Robust hedging of long-term investments under interest rate risk and inflation risk | |
| A1590: M. Hronec | |
| Quantile maximizer in action | |
| A1540: R. Schnorrenberger | |
| Bond portfolio optimization in turbulent times: A dynamic Nelson-Siegel approach with Wishart stochastic volatility |
| Parallel session D: CMStatistics | Saturday 18.12.2021 | 14:20 - 16:00 |
| Session EI016 (Special Invited Session) | Room: K E. Safra (Multi-use 01) |
| Design and analysis of experiments (hybrid) | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Kalliopi Mylona | Organizer: Kalliopi Mylona |
| B0175: H.-P. Piepho | |
| Neighbour balance and evenness of distribution of treatment replications in row-column designs | |
| B0169: J. Stufken, R. Singh | |
| Factor selection in screening experiments | |
| B0733: J. Lopez-Fidalgo, A. Cia-Mina | |
| Active learning: Intelligent subsampling |
| Session EO096 | Room: Virtual R18 |
| Recent advances in model-based clustering | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Pietro Coretto | Organizer: Monia Ranalli |
| B0704: P. Coretto, C. Hennig | |
| Nonparametric consistency for ML-based clustering with finite mixtures of elliptically symmetric distributions | |
| B0857: L. Anderlucci, A. Montanari | |
| Group number identification in random projection ensemble model-based clustering | |
| B1346: A. Casa, C. Bouveyron, E. Erosheva, G. Menardi | |
| Model-based co-clustering of multivariate time-dependent data | |
| B1761: V. Melnykov, S. Sarkar, Y. Melnykov | |
| Model-based clustering of directed weighted networks |
| Session EO304 | Room: Virtual R21 |
| Recent developments for electronic health data | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Mireille Schnitzer | Organizer: Mireille Schnitzer, Denis Talbot |
| B0675: R. Wyss | |
| Use of data-adaptive analytics for high-dimensional proxy confounder adjustment in electronic healthcare databases | |
| B1009: J. Gronsbell | |
| Semi-supervised learning with electronic health records | |
| B0956: D. Talbot, A. Diop, C. Sirois, J. Guertin, B. Candas | |
| Combining latent class growth models and marginal structural models to estimate the effect of treatment trajectories | |
| B1155: G. Yi | |
| Estimation of average treatment effects with binary outcomes subject to both missingness and misclassification |
| Session EO350 | Room: Virtual R22 |
| Counting processes | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Paula Bouzas | Organizer: Paula Bouzas |
| B0291: L. Serra | |
| Clustering analysis of wildfires: A classification according to land cover types in the Valencian Community | |
| B0452: N. Ramesh | |
| Markov modulated Poisson processes to analyse rainfall time series | |
| B1153: G. Xu, Y. Li, Y. Guan, E.J. Zhang | |
| Nonparametric bias-correction and test for mark-point dependence with replicated marked point processes | |
| B0771: N. Ruiz-Fuentes, F. Luguera, P. Bouzas | |
| Microstructure of foreign exchange market: Cox vs. Hawkes process |
| Session EO818 | Room: Virtual R23 |
| Evaluation of multiple biomarkers and related ROC characteristics | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Andriy Bandos | Organizer: Andriy Bandos |
| B0883: L. Bantis, J. Tsimikas, G. Chambers, M. Capello, S. Hanash, Z. Feng | |
| The length of the ROC curve and the two cutoff Youden through a biomarker discovery framework | |
| B0711: P. Albert, S.D. Kim | |
| A latent functional approach for modeling multi-dimensional biomarker exposures on disease risk prediction | |
| B0200: M. Liu, T. Cai | |
| Doubly robust evaluation of receiver operating characteristic under covariate shift with high dimensional features |
| Session EO450 | Room: Virtual R24 |
| Reduction methods for large and high-dimensional regression | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Katja Ickstadt | Organizer: Katja Ickstadt, Alexander Munteanu |
| B0749: E. Dobriban | |
| Sparse sketches with small inversion bias | |
| B1244: H. Wang | |
| Nonuniform negative sampling and log odds correction with rare events data | |
| B1351: C. Peters | |
| Probit regression for large data sets via coresets | |
| B1348: S. Omlor | |
| Oblivious sketching for logistic regression |
| Session EO491 | Room: Virtual R25 |
| Statistical modeling, learning, and inference | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Subir Ghosh | Organizer: Subir Ghosh |
| B0347: J. Zhou, G. Claeskens | |
| Power analysis for knockoff-calibrated high dimensional logistic regression | |
| B0365: E. Cantoni, W. Aeberhard, G. Marra, R. Radice | |
| Robust fitting for generalized additive models for location, scale and shape | |
| B1060: A. Taeb | |
| Perturbations and causality in Gaussian latent variable models | |
| B1185: M. Azadkia, P. Buehlmann, A. Taeb, S. chatterjee | |
| A simple measure conditional dependence and its application in causal inference |
| Session EO481 | Room: Virtual R26 |
| Topics in high-dimensional statistics | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Andreas Artemiou | Organizer: Andreas Artemiou |
| B0320: J. Virta | |
| Testing for subsphericity when $n$ and $p$ are of different asymptotic order | |
| B0407: E. Christou | |
| Central quantile subspace | |
| B0454: E. Pircalabelu, E. Nezakati Rezazadeh | |
| Unbalanced distributed estimation and inference for covariate-adjusted Gaussian graphical models | |
| B0489: E. Solea, H. Dette | |
| Nonparametric and high-dimensional functional graphical models |
| Session EO565 | Room: Virtual R27 |
| Spatial statistical methods for modeling epidemiological data | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Veronica Berrocal | Organizer: Veronica Berrocal |
| Session EO671 | Room: Virtual R28 |
| Statistical methods for data integration in biomedical research | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Rui Duan | Organizer: Rui Duan |
| Session EO790 | Room: Virtual R29 |
| New advancements in semiparametric and nonparametric methods | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Pengfei Li | Organizer: Pengfei Li |
| B0298: Y. Zhao, Y. Cheng | |
| Bayesian jackknife empirical likelihood | |
| B0306: B. Chen, A. Yuan, J. Qin | |
| PAVA-assisted learning with application on estimating optimal individualized treatment regimes | |
| B1118: T. Yu, P. Li, B. Chen, J. Qin | |
| Maximum profile binomial likelihood estimation for the semiparametric Box--Cox power transformation model | |
| B1120: M. Yuan, P. Li, C. Wu | |
| Semiparametric inference on Gini indices of two semicontinuous populations under density ratio models |
| Session EO774 | Room: Virtual R30 |
| Statistics for SPDEs | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Mathias Trabs | Organizer: Mathias Trabs |
| B0431: F. Hildebrandt, M. Trabs | |
| Nonparametric calibration for stochastic reaction-diffusion equations based on discrete observations | |
| B0592: I. Cialenco | |
| A power variation approach to statistical analysis of discretely sampled semilinear SPDEs | |
| B1333: C. Chong | |
| High-frequency analysis of parabolic stochastic PDEs | |
| B1400: R. Altmeyer, M. Wahl, A. Tiepner | |
| Parameter estimation for anisotropic SPDEs from multiple local measurements |
| Session EO625 | Room: Virtual R32 |
| Novel perspectives in Bayesian statistics | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Pier Giovanni Bissiri | Organizer: Pier Giovanni Bissiri |
| B0492: S. Walker, C. Holmes, E. Fong | |
| Bayesian uncertainty | |
| B0329: N. Syring | |
| Asymptotic concentration of Gibbs posterior distributions | |
| B0792: M. Fasiolo | |
| Fast learning rate selection for Bayesian non-parametric quantile regression | |
| B0653: C. Villa, S. Walker | |
| An objective prior from a scoring rule |
| Session EO422 | Room: Virtual R37 |
| Statistical methods for multi-modal imaging data | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Kristin Linn | Organizer: Kristin Linn |
| B0706: G.-M. Pomann, A.-M. Staicu, S. Ghosh | |
| Two sample testing for diffusion tensor imaging data | |
| B0257: A. Eloyan | |
| Graph-theoretic modeling of brain functional connectivity | |
| B0372: E. Sweeney | |
| Quantitative susceptibility maps in multiple sclerosis lesions | |
| B0227: R. Shinohara | |
| Multiple sclerosis diagnostics via statistical analysis of MRI |
| Session EO742 | Room: Virtual R38 |
| Recent developments on mediation and path analysis | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Marco Doretti | Organizer: Marco Doretti, Elena Stanghellini |
| B0402: M. Huber, H. Farbmacher, L. Laffers, H. Langen, M. Spindler | |
| Causal mediation analysis with double machine learning | |
| B0854: A. Roverato | |
| Path weights in concentration graph models | |
| B0916: M. Genback, M. Doretti, E. Stanghellini | |
| Mediation in case control studies when both the outcome and mediator are binary | |
| B1534: B.L. De Stavola | |
| Interventional effects with latent mediators: Applications in life course epidemiology |
| Session EO515 | Room: Virtual R39 |
| Advances in longitudinal data modelling | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Maria Francesca Marino | Organizer: Maria Francesca Marino |
| B0588: F. Pennoni, F. Bartolucci, S. Pandolfi | |
| Variable selection in hidden Markov models with missing data | |
| B0799: D. Sewell, E. Burghardt, J. Cavanaugh | |
| Divisive hierarchical bayesian clustering of longitudinal data | |
| B0984: M. Alfo, F. Martella | |
| Handling endogeneity in linear quantile regression models for longitudinal data | |
| B0255: E. Lesaffre, T.D. Tran | |
| Latent Ornstein-Uhlenbeck models for Bayesian analysis of multivariate longitudinal categorical responses |
| Session EO621 | Room: Virtual R40 |
| Statistical learning and regularized regression | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Thomas Kneib | Organizer: Thomas Kneib |
| B0503: A. Groll | |
| A hybrid machine learning approach for the modeling and prediction of the UEFA EURO2020 | |
| B0725: C. Griesbach, A. Mayr, E. Bergherr | |
| Variable selection and allocation in joint models via gradient boosting techniques | |
| B0890: P. Wiemann, H. Riebl, T. Kneib | |
| LIESEL: A software framework for prototyping Bayesian models and exploring estimation methods | |
| B1111: N. Umlauf | |
| Scalable distributional learning |
| Session EO525 | Room: K0.16 (Hybrid 02) |
| Association and dependence | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Johannes Wiesel | Organizer: Fabrizio Durante |
| B1061: B. Sen | |
| Measuring association on topological spaces using kernels and geometric graphs | |
| B1026: F. Han, Z. Lin | |
| On boosting the power of Chatterjee's rank correlation | |
| B0837: S. Fuchs, T. Mroz, W. Trutschnig | |
| How simplifying and flexible is the simplifying assumption in pair-copula constructions | |
| B0209: J. Wiesel | |
| Measuring association with Wasserstein distances |
| B0683: F. Castelletti, G. Consonni | |
| Bayesian graphical modelling for heterogeneous causal effects | |
| B1080: I. Antoniano-Villalobos, S. Padoan, B. Beranger | |
| Bayesian mixture models for the prediction of extreme observations | |
| B1523: G. Page | |
| Using random partition models for flexible change-point analysis in multivariate processes | |
| B0630: A. Tan | |
| Bayesian mixture models in regression with variable selection |
| Session EO615 | Room: K2.40 (Hybrid 08) |
| Advances in the statistical analysis of neuroimaging data (virtual) | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: John Kornak | Organizer: Timothy Johnson |
| B0342: M. Vannucci | |
| Scalable Bayesian models for inference of networks and covariate effects | |
| B0707: J. Kang | |
| Bayesian inferences on neural activity in EEG-based brain-computer interface | |
| B1007: T. Nichols, P. Kindalova, I. Kosmidis | |
| Mass univariate modelling for binary-valued neuroimaging data | |
| B1609: H. Ganjgahi, A. Menacher, C. Holmes, T. Nichols | |
| Bayesian lesion estimation with a structured spike-and-slab prior |
| Parallel session D: CFE | Saturday 18.12.2021 | 14:20 - 16:00 |
| Session CO581 | Room: Virtual R20 |
| Topics in time series and financial econometrics | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Alessandra Amendola | Organizer: Alessandra Amendola |
| A0292: A. Santos, A. Monteiro | |
| Parallel computations for nonparametric estimation of risk-neutral densities through option prices | |
| A1635: E. Lazar, R. Tunaru, N. Zhang | |
| Measuring model risk for market risk models | |
| A0729: G. Rivieccio, S. Corsaro, G. De Luca, J. Ojea Ferreiro | |
| VaR modeling: Conditional quantile dependence approaches | |
| A1361: A. Grimaldi, A. Amendola, W. Distaso | |
| The predictive content of the textual political polarity index: The case of Italian GDP |
| Session CO720 | Room: Virtual R31 |
| Advances in Bayesian econometrics | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Helga Wagner | Organizer: Nadja Klein, Helga Wagner |
| B0185: G. Zens, S. Fruehwirth-Schnatter, H. Wagner | |
| Ultimate Polya gamma samplers: Efficient MCMC for possibly imbalanced binary and categorical data | |
| B0281: G. Malsiner-Walli, S. Fruehwirth-Schnatter, B. Gruen | |
| Generalized mixtures of finite mixtures | |
| A0282: X. Yu, J. Chan | |
| Fast and accurate variational inference for large Bayesian VARs with stochastic volatility | |
| A0600: M. Villani, O. Gustafsson, P. Stockhammar | |
| Bayesian optimization of hyperparameters when the marginal likelihood is estimated by MCMC |
| Session CO268 | Room: Virtual R33 |
| Empirical macro | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Laura Jackson Young | Organizer: Laura Jackson Young |
| A0375: E. Kurt | |
| The role of corporate tax policy on monetary effectiveness: A quasi-experimental approach | |
| A0612: A. Civelli, S. Barraza | |
| Securitization and bank risk: Evidence from CLO-funded syndicated loans | |
| A1106: L. Jackson Young | |
| A time-varying threshold STAR model of unemployment and the natural rate | |
| A0772: S. Gelfer, C. Gibbs | |
| Comparing monetary policy tools in an estimated DSGE model with International financial markets |
| Session CO679 | Room: Virtual R34 |
| Forecasting under structural change | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Andrew Martinez | Organizer: Andrew Martinez |
| A1332: N. Ericsson | |
| Evaluating the federal reserves tealbook forecasts | |
| A1275: M. Zhong, P. Guerron, A. Khazanov | |
| Nonlinear dynamic factor models | |
| A1330: A. Martinez, J.L. Castle, D. Hendry | |
| Smooth robust multi-horizon forecasts | |
| A1344: D. Hendry, J.L. Castle, J. Doornik | |
| Economic forecasting in a shifting world |
| Session CO744 | Room: Virtual R35 |
| Expectations and uncertainty | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Tomasz Lyziak | Organizer: Tomasz Lyziak |
| A0280: T. Lyziak, M. Kalbarczyk, J. Mackiewicz-Lyziak | |
| Do expectations drive expectations: On the formation of consumer inflation expectations in the US | |
| A0569: M. Paloviita, E. Stanislawska | |
| Medium- vs. short-term consumer inflation expectations: Evidence from a new euro area survey | |
| A0838: X.S. Sheng, B. Meyer, N. Parker | |
| Unit cost expectations and uncertainty: Firms' perspectives on inflation | |
| A1134: P. Baranowski, H. Bennani, W. Doryn | |
| Do the ECBs introductory statements help predict monetarypolicy? Evidence from a tone analysis |
| Session CO511 | Room: Virtual R36 |
| High-dimensional portfolio selection | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Yarema Okhrin | Organizer: Taras Bodnar |
| A0566: Y. Okhrin, G. Salah Uddin | |
| Nonlinear interconnectedness of crude oil and financial markets | |
| A0448: E. Thorsen, T. Bodnar, N. Parolya | |
| Dynamic shrinkage estimation of the high-dimensional minimum-variance portfolio | |
| A0632: N. Parolya, T. Bodnar, E. Thorsen | |
| Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios? | |
| A0919: V. Niklasson, T. Bodnar, E. Thorsen | |
| Volatility sensitive Bayesian estimation of portfolio VaR and CVaR |
| Session CO284 | Room: K0.19 (Hybrid 04) |
| Econometrics for sport data modelling and forecasting (virtual) | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Luca De Angelis | Organizer: Luca De Angelis |
| A0463: C. Singleton, J. Reade | |
| Betting on a buzz, mispricing and inefficiency in online sportsbooks | |
| A0601: M. Oetting | |
| In-play betting: Are markets efficient and how do bookmakers make profit? | |
| A1252: R. Flepp, O. Merz, E. Franck | |
| Underestimating randomness: Outcome bias in betting exchange markets | |
| A0657: L. De Angelis, J. Reade | |
| Home advantage and mispricing in indoor sports' ghost games: The case of European basketball |
| Session CO394 | Room: K0.20 (Hybrid 05) |
| Advances in financial network modelling | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Cristina Amado | Organizer: Cristina Amado |
| A0420: S. Campos Martins | |
| Measuring and hedging GEOVOL | |
| A1125: M. Medeiros, M. Caner | |
| Residual-based nodewise regression in factor models with ultra-high dimensions | |
| A1262: T. Padilha, S. Campos Martins | |
| Global volatility shocks and the PPP puzzle | |
| A1347: P. Barucca, L. Silvestri, T. Mahmood | |
| Common asset holdings and systemic vulnerability across multiple types of financial institution |
| Session CO386 | Room: K0.50 (Hybrid 06) |
| Mixed frequency and asset allocation | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Ekaterina Kazak | Organizer: Ekaterina Kazak |
| A1039: A. Kolokolov, D. Pirino, G. Livieri | |
| Testing for endogeneity of irregular sampling schemes | |
| A0326: O. Kleen, A. Naghi, M. van der Wel | |
| In-sample inference for MIDAS regressions and GARCH-MIDAS | |
| A0913: S. Voigt, N. Hautsch, A. Menkveld | |
| Market response to a fear impulse | |
| A0942: M. Grebe, E. Kazak | |
| Portfolio allocation using echo state networks |
| Session CO300 | Room: K2.41 (Hybrid 09) |
| Text mining and sentiment analysis for economics and finance (virtual) | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Manuela Pedio | Organizer: Manuela Pedio |
| A0774: E. Tosetti, L. Tiozzo Pezzoli, L. Barbaglia, S. Consoli, S. Manzan | |
| Sentiment analysis of economic text: A lexicon-based approach | |
| A0528: S. Consoli, L. Barbaglia | |
| Financial forecasting with word embeddings extracted from news: A preliminary analysis | |
| A0847: M. Guidolin, M. Pedio | |
| Forecasting realized equity volatility from text sentiment revealed by company filings | |
| A1533: L. Wang | |
| Mutual fund trust: Evidence from qualitative disclosure |
| Session CG586 | Room: K2.31 Nash (Hybrid 07) |
| Contributions in applied machine learning | Saturday 18.12.2021 14:20 - 16:00 |
| Chair: Lukas Vacha | Organizer: CFE |
| A1671: L. Vacha, J. Barunik | |
| Dynamic decision making with reinforcement learning | |
| A1682: M. Hansson | |
| Evolution of topics in central bank speech communication | |
| A1773: Y. Zheng, M. Ellington, M. Stamatogiannis | |
| International cross industry return predictability: Evidence from the US, UK and China |
| Parallel session E: CMStatistics | Saturday 18.12.2021 | 16:30 - 18:35 |
| B0158: D. Rossell, J. Jewson | |
| Improper models for data analysis | |
| B0159: M. Tadesse | |
| Variable selection in mixture models: Uncovering cluster structures and relevant features | |
| B0160: V. Rockova | |
| Variable selection via Thompson sampling |
| Session EO184 | Room: Virtual R20 |
| Recent developments for modal regression | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Lin Cong | Organizer: Weixin Yao |
| B0331: T. Wang | |
| Spatial modal regression | |
| B0333: Y. Feng | |
| A statistical learning approach to modal regression | |
| B0413: X. Huang, H. Zhou | |
| Bayesian beta regression for bounded responses with unknown supports | |
| B0642: K. Kato, D. Ruppert, T. Zhang | |
| Bootstrap inference for quantile-based modal regression | |
| B0898: L. Cong, W. Yao | |
| Modal regression based on random forest |
| Session EO212 | Room: Virtual R21 |
| Recent development in high-dimensional networks | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Kuang-Yao Lee | Organizer: Kuang-Yao Lee |
| B0992: Y.S. Wang, B. Zhao, M. Kolar | |
| Functional differential graph estimation | |
| B1098: B. Li | |
| Functional directed acyclic graphs | |
| B1063: K.-Y. Lee, L. Li, B. Li, H. Zhao | |
| Nonparametric functional graphical models | |
| B1002: Y. Zhang, Q. Liu | |
| Fast variational inference for joint mixed sparse graphical models | |
| B1410: H. Klyne, R.D. Shah | |
| Conditional independence testing for categorical data |
| Session EO332 | Room: Virtual R22 |
| Robustness and data analysis | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Graciela Boente | Organizer: Ana Maria Bianco, Graciela Boente |
| B0265: I. Kalogridis, S. Van Aelst | |
| Robust optimal estimation of location from discretely sampled functional data | |
| B0841: M. Hubert, I. Vranckx, J. Raymaekers, B. de Ketelaere, P. Rousseeuw | |
| Real-time discriminant analysis in the presence of label and measurement noise | |
| B1147: M. Salibian-Barrera, X. Ju | |
| Robust boosting for regression problems | |
| B0268: J.-C. Pardo-Fernandez, G. Boente | |
| Robust testing to compare regression curves | |
| B0336: A.M. Bianco, M.F. Statti | |
| Partially linear single-index models: A robust approach |
| Session EO414 | Room: Virtual R23 |
| Modern approaches to biomedical data analysis | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Sunyoung Shin | Organizer: Sunyoung Shin |
| B0477: Y. Wu, L. Wang | |
| Model-assisted uniformly honest inference for optimal treatment regimes in high dimension | |
| B0561: N. Hyun, D. Couper, D. Zeng | |
| Semiparametric Gumbel regression model for analyzing longitudinal data with non-normal tails | |
| B0671: S. Lee, X. Zhu, Y. Liu, C. Habeck, Y. Stern | |
| Transfer learning for cognitive reserve quantification | |
| B0688: S. Shin | |
| On estimation and selection for semiparametric models in meta-analysis | |
| B1087: J. Ahn | |
| Bayesian analysis of longitudinal dyadic/multiple outcome data with informative missing data |
| Session EO230 | Room: Virtual R24 |
| Reinforcement learning with applications to precision medicine | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Hengrui Cai | Organizer: Chengchun Shi |
| B0222: H. Cai, Y. Shen, R. Song | |
| Doubly robust interval estimation for optimal policy evaluation in online learning | |
| B0244: G. Chen | |
| Learning individualized treatment rules for a target population | |
| B0368: A. Ertefaie, R. Strawderman, J. Jones | |
| Post-selection inference for individualized treatment rules | |
| B0557: Z. Qi | |
| Statistical efficient batch policy learning in average reward markov decision processes | |
| B1387: A. Luedtke | |
| Efficient learning and evaluation of individualized treatment rules under data fusion |
| Session EO537 | Room: Virtual R25 |
| Causal inference challenges in health policy decision making | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Nandita Mitra | Organizer: Nandita Mitra, Arman Oganisian |
| B0178: L. Hatfield | |
| Within- versus between-market comparison units for diff-in-diff | |
| B0908: I. Fulcher | |
| Extending synthetic control methods to evaluate the effectiveness of global maternal health programs | |
| B1082: N. Illenberger | |
| Identifying optimally cost-effective regimes with a Q-learning approach | |
| B1138: A. Mishler | |
| (Counterfactually) fair and accurate risk assessment for healthcare decision making | |
| B1723: A. Hubbard | |
| Discussant |
| Session EO683 | Room: Virtual R26 |
| Data integration methods and applications | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Hai Shu | Organizer: Hai Shu |
| Session EO772 | Room: Virtual R27 |
| Recent advances in data privacy | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Matthew Reimherr | Organizer: Matthew Reimherr |
| B1461: S. Wu | |
| Recent advances in private synthetic data generation | |
| B0554: R. Cummings | |
| Mean estimation with user-level privacy under data heterogeneity | |
| B0593: L. Zhang | |
| High-dimensional differentially-private em algorithm: Methods and near-optimal statistical guarantees | |
| B0743: C. Soto, M. Reimherr, K. Bharath | |
| Differential privacy over Riemannian manifolds | |
| B1048: J. Awan, S. Vadhan | |
| Canonical noise distributions and private hypothesis tests |
| Session EO822 | Room: Virtual R28 |
| Small area estimation and public statistics | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Maria Guadarram Sanz | Organizer: Maria Guadarram Sanz |
| B0509: N. Tzavidis | |
| Small area estimation in the presence of data masking | |
| B0933: J.P. Burgard, D. Morales, J. Krause | |
| Single source small area estimation | |
| B0622: G. Bertarelli, F. Schirripa Spagnolo, S. Marchetti, N. Salvati, M. Pratesi | |
| Inference for big data assisted by small area methods | |
| B0961: J. van den Brakel | |
| Official statistics based on the Dutch health survey during the COVID-19 pandemic | |
| B1706: M. Szymkowiak | |
| SPREE estimation of the number of disabled people in terms of economic activity |
| Session EO844 | Room: Virtual R29 |
| Adaptive methods for complex high dimensional time series analysis | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Scott Bruce | Organizer: Scott Bruce |
| B0829: W. Barreto-Souza, H. Ombao | |
| Causality in multivariate time series with mixed components | |
| B1375: Z. Li, Y. Dong | |
| A frequency-domain multivariate linear model for analyzing multiple time series and covariates | |
| B1495: D. Vimalajeewa, S. Bruce, B. Vidakovic | |
| Use of wavelet based spectra for early detection of ovarian cancer | |
| B1432: P. Bagchi, A. Vidyashankar | |
| Inference for nonhomogeneous Bellman-Harris processes with applications to transportation analytics | |
| B1575: A. Vidyashankar | |
| Random coefficient autoregression on trees |
| Session EO356 | Room: Virtual R30 |
| Statistical inference of network data | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Jyotishka Datta | Organizer: Srijan Sengupta |
| B0309: J. Zhu | |
| Fast network community detection with profile-pseudo likelihood methods | |
| B0352: D. Ghoshdastidar | |
| Hypothesis testing and learning on network-valued data | |
| B1022: S. Sengupta | |
| Anomalous clique detection via egonets | |
| B1064: J. Wilson | |
| Principal component analysis for network samples | |
| B1070: P. Dubey | |
| Exploratory data analysis for dynamic networks |
| Session EO078 | Room: Virtual R31 |
| Imaging data analysis: Recent developments and applications | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Farouk Nathoo | Organizer: Farouk Nathoo |
| B0993: F. Hamilton | |
| Pitfalls in statistical modeling of tumor-infiltrating immune cells from histological imaging | |
| B1484: F. Nathoo | |
| Dimension reduction and regression modelling for imaging genetics | |
| B1487: X. Luo, Y. Zhao, B. Caffo, B. Wang, S. Mostofsky | |
| Connectivity regression via covariate assisted principal regression | |
| B0434: H. Hwang | |
| A knowledge-based multivariate method for examining gene-brain-behavioural/cognitive relationships |
| Session EO810 | Room: Virtual R35 |
| Statistical inference for complex data | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Anderson Ye Zhang | Organizer: Anderson Ye Zhang |
| B0379: K. Zhang, Z. Zhao, W. Zhou | |
| BEAUTY powered BEAST | |
| B0433: Z. Ren, W. Zhou, P. Zhang | |
| Statistical inference of robust regression with contaminated errors | |
| B0591: S. Wang | |
| Self-supervised metric learning in multi-view data: A downstream task perspective | |
| B0555: Y. Shen, Q. Han, T. Jiang | |
| Contiguity under high-dimensional Gaussianity with applications to covariance testing |
| Session EO736 | Room: Virtual R37 |
| Advances in multivariate methods | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Mengxi Yi | Organizer: Mengxi Yi |
| B0520: E. Ollila, E. Raninen | |
| On robust estimates of sphericity in high-dimension | |
| B0521: X. Mao | |
| Matrix completion with model-free weighting | |
| B0625: T. Zhang | |
| High quantile regression for tail dependent time series | |
| B1295: Z. Zhu, J. Fan, Y. Guo | |
| Best subset selection is robust against design dependence | |
| B1680: S. Zhang | |
| Large precision matrix estimation for compositional data |
| Session EO651 | Room: Virtual R39 |
| Recent advances on stochastic modeling | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Pepa Ramirez Cobo | Organizer: Pepa Ramirez Cobo |
| B1197: R. Lillo, P. Ramirez Cobo, M. Gonzalez | |
| Modeling with the MAP counting process | |
| B1498: M.R. Sillero-Denamiel, S. Wilson, H. Cao | |
| Bayesian modelling of the selection bias problem in regression | |
| B1709: J.E. Ruiz-Castro, M. Dawabsha | |
| Modeling a repairable discrete multi-state system with a vacation policy | |
| B1714: C. Gardner, B.F. Nielsen | |
| Bivariate exponential distribution with atoms at zero | |
| B1687: S. Wilson, A. Al-Ghamdi | |
| Latent variable modelling in the number of kinds problem |
| Session EO076 | Room: Virtual R40 |
| Compositional, distributional and relative abundance data I | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Karel Hron | Organizer: Karel Hron |
| B0955: K. Hron, J. Rendlova, P. Filzmoser | |
| Classification of compositional data with selective pivot coordinates | |
| B1010: J. Sanchez-Balseca, A. Perez-Foguet | |
| The influence of the error-propagation on ilr-base selection for compositional models | |
| B0962: V. Nesrstova, K. Hron, P. Filzmoser, I. Wilms | |
| Identification of significant pairwise logratios in compositional data based on sparse PCA | |
| B0533: J. Vega Baquero, M. Santolino | |
| Too big to fail? An analysis of the Colombian banking system through compositional data | |
| B1465: J. McKinley, U. Mueller, P. Atkinson, D. Fogarty | |
| Regression analysis using compositional balances: Case study for chronic kidney disease and environmental toxins |
| B0809: C. Doss, G. Weng, L. Wang | |
| A nonparametric doubly robust test for a continuous treatment effect | |
| B0902: E. Ogburn | |
| Disentangling confounding and nonsense associations due to dependence | |
| B1056: J. Murray | |
| Bayesian tree models with targeted smoothing for causal inference | |
| B0620: S. Jensen | |
| Evaluating the impact of built environment interventions in philadelphia | |
| B1199: A. Volfovsky | |
| Online experimentation for studying political polarization |
| Session EO198 | Room: K0.19 (Hybrid 04) |
| Analysis of large data sets for improving healthcare and taxation | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Roy Welsch | Organizer: Roy Welsch |
| B0833: A. AlShehhi | |
| Machine learning methods for survival analysis to predict dementia risk in diabetic patients | |
| B0836: B. Vakulenko-Lagun | |
| Challenges and opportunities of competing risks for causal inference | |
| B0969: M. Pittavino, G. Lideikyte Huber | |
| Do tax deductions encourage charitable giving behavior in the canton of Geneva? | |
| B0976: S. Finkelstein, L. Baker, A. Arevalo, F. DeMichelle, R. Mateo-Collado, J. Maley, L. Celi | |
| Realworld characterizationof blood glucose control and insulinuse in the intensive care unit using EHR data | |
| B1122: Z. Shahn, M. Lu, L.-W. Lehman | |
| Is deep reinforcement learning ready for practical applications in healthcare? |
| Session EO685 | Room: K0.20 (Hybrid 05) |
| Scientifically motivated spatial data models | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Garritt Page | Organizer: Philip White |
| B0179: N. Walker, T. Hefley, D. Walsh, I. McGahan, D. Skinner, D. Storm | |
| Predicting the risk of novel pathogen introductions from disease surveillance data | |
| B0285: L. Warr, M. Heaton, W. Christensen, P. White, S. Rupper | |
| Distributional validation of precipitation data products with spatially varying mixture models | |
| B0549: N. Wikle, E. Hanks, C. Zigler | |
| Constructing mechanistic spatial models from Ornstein-Uhlenbeck processes | |
| B0808: H. Scharf | |
| Detecting changes in dynamic social networks based on unlabeled movement data | |
| B1066: S. Lee, M. Haran | |
| A discretized projection-based method for modeling high-dimensional zero-inflated spatial data |
| Session EO577 | Room: K0.50 (Hybrid 06) |
| Recent advances in causal inference (virtual) | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Andrew Spieker | Organizer: Andrew Spieker |
| B0795: E. Kennedy | |
| Nonparametric estimation of heterogeneous causal effects | |
| B1257: A. Spieker, J. Delaney, R. McClelland | |
| Semi-parametric estimation of biomarker age trends with endogenous medication use in longitudinal data | |
| B0685: Y. Lee, A. Zhao, D. Small, B. Karmakar | |
| Evidence factors from multiple, possibly invalid, instrumental variables | |
| B0709: G. Lefebvre, M. Caubet Fernandez, M. Samoilenko | |
| Bayesian joint modeling for causal mediation analysis with a binary outcome and a binary mediator | |
| B1088: G. Papadogeorgou, F. Li, F. Li | |
| Cluster randomized trials: Assumptions, estimands, and estimation in the presence of post-randomization selection |
| Session EO702 | Room: K2.40 (Hybrid 08) |
| Advances in empirical Bayes methodology (virtual) | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Asaf Weinstein | Organizer: Asaf Weinstein |
| B0687: J. Gu, R. Koenker | |
| Invidious comparisons: Ranking and selection as compound decisions | |
| B1705: N. Ignatiadis, S. Wager | |
| Confidence intervals for nonparametric empirical Bayes analysis | |
| B1744: W. Sun | |
| Transfer learning for empirical bayes estimation: A nonparametric integrative Tweedie approach | |
| B1759: A. Weinstein | |
| On permutation invariant problems in large-scale inference |
| Parallel session E: CFE | Saturday 18.12.2021 | 16:30 - 18:35 |
| Session CO044 | Room: Virtual R18 |
| Dynamic models with regime switching | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Willi Semmler | Organizer: Willi Semmler |
| A1167: P. Chen, C. Hsiao, W. Semmler | |
| Instability in regime switching models | |
| A1467: W. Semmler | |
| Pandemic meltdown and economic recovery: A multi-phase dynamic model, empirics, and policy | |
| A1181: I. Panovska, L. Donayre | |
| Recession-specific recoveries: L's, U's and everything in between | |
| A1192: L. Donayre | |
| Hamilton versus Hamilton: Spurious nonlinearities | |
| A1150: E. Okano, M. Eguchi | |
| The effects of money-financed fiscal stimulus in a small open economy |
| Session CO186 | Room: Virtual R32 |
| Advances in empirical macroeconomics | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Christian Matthes | Organizer: Christian Matthes |
| A0437: P. Goulet Coulombe | |
| A neural Phillips curve | |
| A0543: C. Matthes, P. Ho, T. Lubik | |
| Averaging impulse responses | |
| A0579: R. Braun, G. Kapetanios, M. Marcellino | |
| Time Varying IV-SVARs and the effects of monetary policy on financial variables | |
| A0869: J. Arias, J. Fernandez-Villaverde, J. Rubio-Ramirez, M. Shin | |
| Bayesian estimation of epidemiological models: Methods, causality, and policy trade-offs | |
| A0994: B. Born, R. Bachmann, O. Goldfayn-Frank, G. Kocharkov, R. Luetticke, M. Weber | |
| A temporary VAT cut as unconventional fiscal policy: Evidence from Germany |
| Session CO248 | Room: Virtual R33 |
| Advances in macroeconometrics | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Mikkel Plagborg-Moller | Organizer: Mikkel Plagborg-Moller |
| A0363: G. Mesters, R. Barnichon | |
| Testing macroeconomic policies with sufficient statistics | |
| A0367: M. Chang, F. Schorfheide, X. Chen | |
| Heterogeneity and aggregate fluctuations | |
| A0370: L. Farmer, E. Nakamura, J. Steinsson | |
| Learning about the long run | |
| A1053: L. Liu, R. Moon, F. Schorfheide | |
| Forecasting with a panel tobit model | |
| A0354: M. Plagborg-Moller, C. Wolf, D. Li | |
| Local projections vs. VARs: Lessons from thousands of DGPs |
| Session CO170 | Room: Virtual R34 |
| Advances in financial modelling and inference | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Richard Luger | Organizer: Sermin Gungor, Richard Luger |
| A1143: E. Jo, S. Betermier, L. Calvet | |
| A supply and demand approach to equity pricing | |
| A1092: X. Liu | |
| Unfolded skewness and kurtosis timings in out-of-sample density forecasts of financial returns | |
| A1086: L. Ergun | |
| Covariates hiding in the tails | |
| A1219: S. Gungor, R. Luger | |
| Evaluating factor strength with a large number of assets | |
| A1318: R. Luger | |
| Regularizing stock return covariance matrices via multiple testing |
| Session CO758 | Room: Virtual R36 |
| Text mining in economics | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Paul Hofmarcher | Organizer: Paul Hofmarcher |
| A0720: K. Vafa | |
| Text-based ideal points | |
| A0279: R. Zhao | |
| Adversarial learning of Poisson factorisation models for gauging brand sentiment in user reviews | |
| A0806: S. Adhikari, B. Gruen, P. Hofmarcher | |
| Time-evolving text-based ideal point model to infer partisanship in the US senate | |
| A0247: L. Gifuni | |
| Real oil price forecasting: Gains and pitfalls of text data | |
| A0827: A. Schein | |
| Assessing the effects of friend-to-friend texting on turnout in the 2020 U.S. presidential election |
| Session CO408 | Room: Virtual R38 |
| Sentometrics | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: David Ardia | Organizer: David Ardia, Kris Boudt |
| A0457: A. De Block, F. De Palmenaer, K. Boudt | |
| Weekly economic index for Belgium: Design and validation | |
| A0465: F. De Palmenaer, M. van den Heuvel, K. Boudt, K. Schoors | |
| Aggregation of bank transaction data into a weekly Index of economic activity | |
| A0646: L. Barbaglia, S. Consoli, S. Manzan | |
| Forecasting GDP in Europe with textual data | |
| A1405: O. Delmarcelle | |
| Sentopics: An R package linking topic models and sentiment analysis | |
| A1782: D. Ardia | |
| Climate change concerns and the performance of green versus brown stocks |
| Session CO824 | Room: K0.16 (Hybrid 02) |
| Machine learning for finance: Theory and application | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Haoyang Cao | Organizer: Renyuan Xu |
| A0236: L. Sanchez-Betancourt, A. Cartea | |
| Optimal execution of foreign securities: a double-execution problem with signatures and machine learning | |
| A0318: H. Yang, B. Hambly, R. Xu | |
| Policy gradient methods find the Nash equilibrium in $N$-player general-sum linear-quadratic games | |
| A0321: W. Xiong | |
| Interactions of market making algorithms: A study on perceived collusion | |
| A0323: F. Prenzel | |
| Analysis and modeling of client order flow in limit order markets | |
| A0552: H. Cao | |
| Identifiability in inverse reinforcement learning |
| Session CO328 | Room: K2.41 (Hybrid 09) |
| Predictive modelling of financial data (virtual) | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Robert Taylor | Organizer: Robert Taylor |
| A0202: R. Taylor, M. Demetrescu, P. Rodrigues, I. Georgiev | |
| Extensions to IVX methods of inference for return-predictability | |
| A0206: M. Demetrescu, M. Hosseinkouchak | |
| Testing the predictability of stock returns with smoothly varying deterministic mean | |
| A0604: J.-Y. Pitarakis, J. Gonzalo | |
| Out of sample predictability in predictive regressions with many predictor candidates | |
| A1129: P. Rodrigues, M. Demetrescu, R. Taylor | |
| Tests for time series momentum | |
| A1505: R. McCrorie, M. Lupoli | |
| The role of investor sentiment in commodity price behaviour: some evidence via time-varying causality tests |
| Session CO698 | Room: K2.31 Nash (Hybrid 07) |
| Factor models in asset pricing | Saturday 18.12.2021 16:30 - 18:35 |
| Chair: Svetlana Bryzgalova | Organizer: Svetlana Bryzgalova |
| A1456: M. Pelger, S. Bryzgalova, M. Lettau, S. Lerner | |
| Asset pricing with missing data | |
| A1459: A. Neuhierl, J. Fan, T. Ke, Y. Liao | |
| Interpretable deep learning in asset pricing | |
| A1475: P. Zaffaroni | |
| Factor models for conditional asset pricing | |
| A1550: J. Li, C. Robotti | |
| On the power of asset pricing tests | |
| A1579: S.A. Korsaye, F. Trojani, A. Quaini | |
| Smart stochastic discount factors |
| Parallel session F: CMStatistics | Saturday 18.12.2021 | 18:45 - 20:00 |
| Session EO320 | Room: Virtual R18 |
| Interpretability and trustworthiness in machine learning | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Stathis Gennatas | Organizer: Stathis Gennatas |
| Session EO140 | Room: Virtual R20 |
| Statistical inference with deep learning | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Faming Liang | Organizer: Faming Liang |
| B0559: Q. Song | |
| Variational inference for sparse deep learning | |
| B0564: F. Liang, Y. Sun, F. Liang | |
| A kernel-expanded stochastic neural network | |
| B1176: W. Deng, G. Lin, F. Liang | |
| An adaptively weighted stochastic gradient MCMC algorithm for monte carlo simulation and global optimization |
| Session EO242 | Room: Virtual R21 |
| Advances in statistical methods for mobile health | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Walter Dempsey | Organizer: Walter Dempsey |
| B1331: N. Jacobson, K. Wu | |
| Assessing timing of microrandomized trials using intensive longitudinal data and differential time-varying effect models | |
| B1586: X. Meng, Z. Jia, P. Liao, K. Zhang, S. Murphy | |
| Assessing how well RL algorithms personalize in mobile health | |
| B1587: J. Kim | |
| Using offline policy evaluation to advance methodological barriers in digital health |
| Session EO214 | Room: Virtual R22 |
| Beliefs, risk and uncertainty in artificial intelligence I | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Davide Petturiti | Organizer: Davide Petturiti, Barbara Vantaggi |
| B0769: A. Capotorti, M. Baioletti | |
| Can probability coherence correction be helpful in data lakes? | |
| B0820: L. Cella | |
| Incorporating partial prior information in an inferential model | |
| B1043: D. Petturiti, B. Vantaggi | |
| Coherence and correction of belief and necessity assessments |
| Session EO599 | Room: Virtual R23 |
| Statistical methods for environmental mixtures | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Glen McGee | Organizer: Glen McGee |
| B0461: J. Boss, J. Datta, X. Wang, S.K. Park, J. Kang, B. Mukherjee | |
| Group inverse-gamma gamma shrinkage for sparse regression with application to correlated environmental exposure data | |
| B0617: G. McGee, A. Wilson, T. Webster, B. Coull | |
| Bayesian multiple index models for environmental mixtures | |
| B0815: A. Wilson, D. Mork | |
| Estimating perinatal critical windows to environmental mixtures via structured Bayesian regression tree-pairs |
| Session EO142 | Room: Virtual R24 |
| Recent developments in change-point detection methods | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Shahina Rahman | Organizer: Shubhadeep Chakraborty |
| B0565: S. Chakraborty, X. Zhang | |
| High-dimensional change-point detection using generalized homogeneity metrics | |
| B0803: A. Shojaie | |
| Estimating detection in threshold auto-regressive models via dynamic programming | |
| B1474: J. Li | |
| Online change-point detection for high-dimensional data |
| Session EO368 | Room: Virtual R26 |
| Ordinal regression methods | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Jonathan Schildcrout | Organizer: Jonathan Schildcrout |
| B1345: T. Hothorn | |
| Transformation models: Pushing the boundaries | |
| B1521: P. Rathouz | |
| Comparative performance of a semi-parametric generalized linear model in selected analysis settings | |
| B1585: F. Harrell | |
| Longitudinal ordinal models as a general framework for medical outcomes |
| Session EO432 | Room: Virtual R27 |
| Theory and applications in dimension reduction techniques | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Eliana Christou | Organizer: Eliana Christou |
| B0852: W. Sheng | |
| Sufficient dimension folding in regression via distance covariance for matrix-valued predictors | |
| B0986: Q. Yuan, Y. Wang, Y. Xue, X. Yin | |
| Sufficient dimension folding with categorical predictors | |
| B1325: C.E. Lee, H. Hilafu | |
| Quantile martingale difference divergence for dimension reduction |
| Session EO499 | Room: Virtual R28 |
| Methods for censored data | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Anneleen Verhasselt | Organizer: Anneleen Verhasselt |
| B0773: J. Beyhum, J.-P. Florens, I. Van Keilegom | |
| A nonparametric instrumental approach to endogeneity in competing risks models | |
| B0925: W.B. Ewnetu, A. Verhasselt, I. Gijbels | |
| Semiparametric quantile regression for right censored survival data using two-piece asymmetric distributions | |
| B1083: S. Abrams, N. Hens, S. Unkel, A. Wienke | |
| Using frailty models in mathematical epidemiology to reveal how diseases are transmitted |
| Session EO591 | Room: Virtual R29 |
| Sketching and random projection methods for modern data analysis | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Edgar Dobriban | Organizer: Edgar Dobriban |
| B0239: T. Wang | |
| Two-sample testing of high-dimensional linear regression coefficients via complementary sketching | |
| B1067: M. Derezinski | |
| Sparse sketches with small inversion bias via LEverage Score Sparsified (LESS) embeddings | |
| B1267: M. Pilanci | |
| Adaptive sketching methods |
| Session EO623 | Room: Virtual R30 |
| Advances in high-dimensional network estimation | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Kshitij Khare | Organizer: Kshitij Khare |
| B0408: X. Cao, K. Lee | |
| Bayesian joint inference for multiple directed acyclic graphs | |
| B1514: S.-Y. Oh | |
| Distributionally robust formulation of the graphical lasso | |
| B1693: K. Khare | |
| Bayesian inference in high-dimensional mixed frequency regression and VAR models |
| Session EO754 | Room: Virtual R31 |
| Recent development in complex functional data | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Guanqun Cao | Organizer: Ping-Shou Zhong |
| B1731: J. Mu | |
| Estimation and inference in generalized spatial partially linear varying coefficient models | |
| B1733: K. Han, H.-G. Mueller, B.U. Park | |
| Additive functional regression for densities as responses | |
| B1734: H. Park | |
| Functional additive models for optimizing individualized treatment rules |
| Session EO794 | Room: Virtual R35 |
| Robust inference in constructing dynamic treatment regimes | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Ashkan Ertefaie | Organizer: Ashkan Ertefaie |
| B0369: M. van der Laan | |
| Higher-order targeted maximum likelihood estimation and its applications in causal inference | |
| B0173: E. Moodie | |
| Estimating individualized treatment rules from distributed data collection sites | |
| B0267: R. Strawderman | |
| Robust Q-learning |
| Session EO374 | Room: Virtual R36 |
| ARLEStat: Ageing Risks and Long-term impact on Economy \& Society | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Marie Kratz | Organizer: Marie Kratz |
| B1042: J. Park, E. Koukouli, A. Titman | |
| A latent multivariate Gaussian process model for longitudinal ageing survey data | |
| B1503: M.-A. Bind | |
| High-dimensional causal inference that capitalizes on experimental design and computing, illustrated with epigenomics | |
| B0534: A. Charpentier, E. Gallic | |
| Modeling joint lives within families |
| Session EO222 | Room: Virtual R37 |
| Statistical innovations in research on human brain and cognition | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Oystein Sorensen | Organizer: Oystein Sorensen |
| B0796: M. Lindquist | |
| High-dimensional mediation analysis with machine learning | |
| B1033: M. Jeon | |
| Modeling within-item dependencies in parallel data on test responses and brain activation | |
| B1041: L. Elliott | |
| Brain imaging genetics with ~40,000 subjects and ~3,000 phenotypes |
| Session EO635 | Room: Virtual R38 |
| Statistical methods and applications in sports | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Francesco Porro | Organizer: Francesco Porro |
| B0619: M. Delogu, J. Tena Horrillo, S. Cabras | |
| Forced to play too many matches? A deep-learning assessment of crowded schedule | |
| B0334: R. Metulini, G. Gnecco | |
| Players' importance in basketball and the generalized Shapley value | |
| B0274: T. Swartz, T. Guan, J. Cao | |
| Should you park the bus? |
| Session EO056 | Room: Virtual R39 |
| Experiments on networks | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Steven Gilmour | Organizer: Steven Gilmour |
| B0328: V. Koutra | |
| Designing experiments on networks: An agricultural field experiment | |
| B1184: J. Ugander, H. Yin | |
| Randomized graph cluster randomization | |
| B1699: C. Cai, E. Airoldi | |
| Estimating peer-influence effects under homophily: Randomized treatments and insights |
| Session EO146 | Room: Virtual R40 |
| Small area methods | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Serena Arima | Organizer: Serena Arima |
| B0225: M. Torabi, J. Jiang | |
| A robust goodness-of-fit test for small area estimation | |
| B0891: M.G. Ranalli, M.F. Marino, M. Alfo, N. Salvati | |
| Empirical best prediction for SAE of categorical variables using finite mixtures of multinomial logistic models | |
| B1193: B. Liseo, S. Arima, G. Datta | |
| Record linkage, measurement error and unit level small area estimation: A Bayesian approach |
| Session EO714 | Room: K0.16 (Hybrid 02) |
| Bayesian model selection | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Jairo Fuquene | Organizer: Jairo Fuquene |
| B0394: R. Bai | |
| Spike-and-slab group lassos for grouped regression and sparse generalized additive models | |
| B0631: A. Bhattacharya, D. Pati, Y. Yang, S. Plummer | |
| Dynamics of mean-field approximation: A case-study in singular models | |
| B1069: X. Tang, Z. Zhu | |
| Using log Cauchy priors for modeling sparsity |
| Session EO456 | Room: K0.19 (Hybrid 04) |
| Advances in causal inference (virtual) | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Luke Keele | Organizer: Luke Keele |
| B1146: M. Bonvini, E. Kennedy | |
| Global and local estimators of a dose-response curve | |
| B1140: L. Keele, T. Ye | |
| A negative correlation strategy for bracketing in difference-in-differences | |
| B1173: B. Weidmann | |
| Missing, presumed different: Quantifying the risk of attrition bias in education evaluations |
| Parallel session F: CFE | Saturday 18.12.2021 | 18:45 - 20:00 |
| Session CI010 (Special Invited Session) | Room: K E. Safra (Multi-use 01) |
| Big data and macroeconomics (virtual) | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Alessia Paccagnini | Organizer: Alessia Paccagnini |
| A0350: A. Bykhovskaya, V. Gorin | |
| Cointegration in large VARs | |
| A0629: C. Scotti | |
| Words speak as loudly as actions: The response of equity prices to macroeconomic announcements |
| Session CO354 | Room: Virtual R25 |
| Recent advances in quantile regression | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Carlos Lamarche | Organizer: Carlos Lamarche |
| A1124: Z. Cai, Y. Fang, M. Lin, M. Zhan | |
| Estimating quantile treatment effects for panel data | |
| A1337: D. Young, X. Shi, C. Lamarche | |
| A model-aware approach to quantile regression for cross-sectional data with zero-inflated counts | |
| A1377: C. Lamarche | |
| Quantile regression with an endogenous misclassified binary regressor |
| Session CO176 | Room: Virtual R32 |
| New advances in efficiency and productivity analysis | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Helena Veiga | Organizer: Helena Veiga, Michael Wiper |
| A0888: L. Orea, I. Alvarez, L. Serven | |
| The structural and productivity effects of infrastructure provision in developed and developing countries | |
| A0840: H. Veiga, M. Wiper, J.C. Orosco Gavilan | |
| Measuring efficiency of Peruvian universities: A stochastic frontier analysis |
| Session CO326 | Room: Virtual R33 |
| Nonparametric estimation for causal analysis | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Daniel Henderson | Organizer: Daniel Henderson |
| A0174: D. Henderson, S. Sperlich | |
| A general proposal for model-free difference-in-differences | |
| A0548: T. Sloczynski, D. Uysal, J. Wooldridge | |
| Abadie's Kappa and weighting estimators of the local average treatment effect |
| Session CO804 | Room: Virtual R34 |
| The econometrics of asset pricing | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Fotis Grigoris | Organizer: Fotis Grigoris |
| A1369: R. Allena | |
| Confident risk premiums and investments using machine learning uncertainties | |
| A1462: J. Striaukas, A. Babii, E. Ghysels, R. Ball | |
| Machine learning panel data regressions with heavy-tailed dependent data: Theory and application |
| Session CO786 | Room: K2.40 (Hybrid 08) |
| Latest developments in financial econometrics | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Roxana Halbleib | Organizer: Roxana Halbleib |
| A0248: N. Gillmann, O. Okhrin | |
| Economic policy uncertainty with Ada-net | |
| A0517: P. Prange | |
| P-range DCC: A score-driven extension to time-varying correlation models | |
| A0868: E. Kazak, R. Halbleib, W. Pohlmeier | |
| Bagged value-at-risk forecast combination |
| Session CO042 | Room: K2.41 (Hybrid 09) |
| Tail risk and density forecasting: New techniques or new data (virtual) | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Massimo Guidolin | Organizer: Massimo Guidolin |
| A0761: F. Ravazzolo, R. Casarin, S. Grassi, H. van Dijk | |
| A flexible predictive density combination model for large financial data in regular and crisis periods | |
| A0844: A.-F. Allard, H. Hanbali, K. Smedts | |
| Government bonds as market stabilising forces | |
| A0611: M. Pedio | |
| Option-implied network measures of tail contagion and stock return predictability |
| Session CC874 | Room: K0.18 (Hybrid 03) |
| Contributions in risk analysis (virtual) | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Leopoldo Catania | Organizer: CFE |
| A0865: M. Nicolas, M. Garcin | |
| Nonparametric estimator of tail dependence coefficients: Balancing bias and variance | |
| A1573: E. Mensali, L. Catania, A. Luati | |
| Joint-VaR: A new risk measure for financial markets | |
| A1576: J. Kurka | |
| Extreme volatility risk and FX returns |
| Session CC860 | Room: K0.20 (Hybrid 05) |
| Contributions in time series econometrics | Saturday 18.12.2021 18:45 - 20:00 |
| Chair: Tommaso Proietti | Organizer: CFE |
| A1615: J. Bruha | |
| A sparse Kalman filter: A non-recursive approach | |
| A1679: T. Proietti | |
| The most predictable aspects of time series |
| Parallel session G: CMStatistics | Sunday 19.12.2021 | 08:15 - 09:55 |
| Session EO382 | Room: Virtual R20 |
| Recent advances in Bayesian computation for intractable scenarios | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Matias Quiroz | Organizer: Matias Quiroz |
| B0922: M. Quiroz, M. Villani, R. Kohn, R. Salomone | |
| Spectral subsampling MCMC for stationary multivariate time series | |
| B0485: K.-D. Dang, M. Quiroz, R. Kohn | |
| Efficient marginal likelihood estimation by subsampling thermodynamic integration | |
| B0929: Y. Yang, R. Kohn, S. Sisson, M. Quiroz | |
| Bayesian inference for doubly-intractable likelihoods using the block-Poisson estimator | |
| B1078: T. Goodwin, M. Quiroz, C. Evenhuis | |
| Gibbs sampling for finite mixtures with intractable likelihoods |
| Session EO495 | Room: Virtual R21 |
| Statistical modeling for stochastic differential equations | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Masayuki Uchida | Organizer: Masayuki Uchida |
| B1483: N. Yoshida | |
| Asymptotic expansion in volatility parametric estimation revisited | |
| B0627: T. Ogihara | |
| Parameter estimation for misspecified diffusion processes with noisy, nonsynchronous observations | |
| B1322: M. Trabs, F. Hildebrandt | |
| Statistics for SPDEs based on discrete observations | |
| B0660: A. De Gregorio | |
| Regularized bridge-type estimation for SDEs |
| Session EO200 | Room: Virtual R22 |
| Model assessment I | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Maria Dolores Jimenez-Gamero | Organizer: Maria Dolores Jimenez-Gamero |
| B0718: D. Gaigall, J. Gerstenberg | |
| On the fitting of the distribution of the excess over a confidence level and the adaption for threshold detection | |
| B0996: B. Milosevic, D. Bucalo Jelic | |
| On testing independence of count data | |
| B1537: J. Huang, W. Zhao, X. Zhu, L. Zhu | |
| Profiled deviation subspaces with the application to change structure detection of high-dimensional data | |
| B0252: F. Chen, M.D. Jimenez-Gamero, S. Meintanis, L. Zhu | |
| A general Monte Carlo method for goodness-of-fit testing of random vectors |
| Session EO264 | Room: Virtual R23 |
| Advances in functional and multivariate data analysis | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Yuko Araki | Organizer: Yuko Araki |
| B0770: K. Takahashi, H. Shimadzu | |
| A detection test for adjacent hotspot clusters | |
| B0974: T. Misumi | |
| Functional dynamic prediction modeling for hourly ambulance demand data | |
| B1072: J.-M. Chiou | |
| A greedy approach to detecting change points for functional data | |
| B1425: M. Imaizumi, A. Okuno | |
| Minimax Analysis for Inverse Risk in Nonparametric Planer Invertible Regression |
| Session EO760 | Room: Virtual R24 |
| Design of experiments: Construction and analysis | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Stelios Georgiou | Organizer: Stelios Georgiou, Stella Stylianou |
| B0957: S. Georgiou | |
| Alternatives of second-order response surface designs | |
| B0960: S. Stylianou | |
| Missing observations on response surface designs | |
| B0905: A.S.S. Alamri | |
| Discrete choice experiments: An overview on constructing D-optimal and near-optimal choice sets | |
| B0981: H. Evangelaras, V. Trapouzanlis | |
| Enumeration and evaluation of orthogonal three-level designs with small number of runs for definitive screening |
| Session EO120 | Room: Virtual R25 |
| Statistics for high-frequency price and volatility models | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Markus Bibinger | Organizer: Markus Bibinger |
| B0941: F. Mies, M. Podolskij | |
| Identifying mixed fractional stable processes from high-frequency data | |
| B1561: I. Archakov, P. Hansen | |
| A canonical representation of block matrices with applications to covariance and correlation matrices | |
| B1404: L. Winkelmann, W. Yao | |
| Joint tests for jumps in asset prices and their spread | |
| B0635: Y. Potiron | |
| Existence in the inverse Shiryaev problem |
| Session EO286 | Room: Virtual R26 |
| Spatial extremes | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Raphael Huser | Organizer: Raphael Huser |
| B0339: P. Krupskiy, R. Huser | |
| Max-convolution processes with random shape indicator kernels | |
| B0876: C. Rohrbeck, D. Cooley | |
| Simulation of spatial hazard events using extremal principal components | |
| B0896: B. Beranger, M. Stewart, S. Sisson | |
| Analysis of extremal behaviour using block sums and averages | |
| B1004: M. Oesting, R. Huser | |
| Patterns in spatio-temporal extremes with an application to red sea surface temperature data |
| Session EO352 | Room: Virtual R27 |
| Recent advances in Bayesian causal mediation analysis | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Xinyuan Song | Organizer: Xinyuan Song |
| B1174: J. Pan, L. Zhang | |
| Latent multiple mediation analysis with the Bayesian lasso | |
| B1168: X. Song | |
| Bayesian causal mediation analysis with latent mediators and survival outcome | |
| B1207: X. Zhou | |
| Mediation analysis for mixture Cox proportional hazards cure models | |
| B1166: R. Sun, X. Song | |
| Bayesian causal forest with AFT model: Estimating heterogeneous treatment effects on a survival outcome |
| Session EO444 | Room: Virtual R31 |
| Non-regular statistical modeling with complete and incomplete data | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Tsung-I Lin | Organizer: Tsung-I Lin |
| B0337: T.-C. Lin | |
| Mixtures of multivariate $t$ linear mixed models with missing information | |
| B0338: W.-L. Wang, T.-I. Lin | |
| Multivariate-t linear mixed models for longitudinal data with censored and intermittent missing responses | |
| B1632: J. Lee, T. Choi | |
| Bayesian hierarchical functional mixed effects model with shape constrained Gaussian processes | |
| B0359: Y.-C. Yang, T.-I. Lin, L.M. Castro, W.-L. Wang | |
| Extending finite mixtures of t linear mixed-effects models with concomitant covariates |
| Session EO366 | Room: Virtual R38 |
| Functional data analysis and applications | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Marco Stefanucci | Organizer: Jian Qing Shi, Marco Stefanucci |
| B1237: X. Chen | |
| Stroke rehabilitation assessment by using wrist-worn sensors | |
| B1342: C. Cao | |
| Curve classification based on feature weighted models with application to medical data | |
| B0951: A. Elias, A. Elias, S. Pineda, J.M. Morales | |
| Evolution outliers in high dimensional functional time series | |
| B0989: C. Capezza, F. Centofanti, A. Lepore, A. Menafoglio, B. Palumbo, S. Vantini | |
| funcharts: An R package for the real-time monitoring of multivariate functional data |
| Session EO454 | Room: Virtual R39 |
| Multivariate analysis of complex data | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Thomas Verdebout | Organizer: Thomas Verdebout |
| B0296: S. Dabo, C.J. Agonkoui, F. Bouhadjera | |
| Generalized functional linear models under non-random sampling | |
| B0397: J. Trufin, M. Denuit, J. Trufin, T. Verdebout | |
| Testing for more positive expectation dependence with application to model comparison | |
| B0643: D. Paindaveine, A. Duerre | |
| Affine-equivariant inference for multivariate location under $L_p$ loss functions | |
| B1084: T. Verdebout, E. Garcia-Portugues, D. Paindaveine | |
| On the power of Sobolev tests for isotropy under local rotationally symmetric alternatives |
| Session EO836 | Room: K0.16 (Hybrid 02) |
| Innovations in exact and approximate time series analysis | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Maryclare Griffin | Organizer: Maryclare Griffin |
| B1323: J. Yang, S. Das, S. Subbarao | |
| Spectral methods for small sample time series: A complete periodogram approach | |
| B1449: M. Duker | |
| Graphical and thresholding local Whittle estimation | |
| B1627: A. Sykulski, S. Olhede | |
| The elliptical Ornstein-Uhlenbeck process | |
| B1686: I. Gannaz | |
| Graph inference from multivariate time series with long-range dependence |
| Session EO054 | Room: K0.18 (Hybrid 03) |
| Probabilistic time series forecasting (virtual) | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: James Taylor | Organizer: James Taylor |
| B1367: J. Taylor | |
| Angular combining of forecasts of probability distributions | |
| B1371: S. Arora, J. Taylor | |
| Forecasting emergency department length of stay and hospital admissions during the pandemic | |
| B1476: S. Ben Taieb | |
| Learning quantile functions for temporal point processes with recurrent neural splines | |
| B1596: X. Meng, J. Taylor | |
| Using L2 and kernel scores to optimise combinations of density forecasts |
| Session EO595 | Room: K0.19 (Hybrid 04) |
| Advanced statistical modelling | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Andreas Mayr | Organizer: Andreas Mayr |
| B1372: B. de Sousa, C. Pires, D. Gomes, P. Filipe, A. Costa-Veiga, C. Nunes | |
| STAR Modeling in the battle against pulmonary tuberculosis: Risk areas and associated risk factors | |
| B0542: T. Kneib | |
| Multivariate conditional transformation models | |
| B1307: O. Lado-Baleato, C. Cadarso Suarez, F. Gude, T. Kneib | |
| Multivariate conditional transformation models in practice: Conditional reference region estimation | |
| B0921: H. Wagner | |
| Shrinkage of time-varying effects in panel data models |
| Session EO404 | Room: K0.20 (Hybrid 05) |
| Recent advances in flexible directional statistics | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Jose Ameijeiras-Alonso | Organizer: Jose Ameijeiras-Alonso |
| B0802: Y. Larriba, C. Rueda | |
| Taking advance of the circular manifold for the analysis of circadian gene expression data | |
| B0934: A. Meilan-Vila, R. Crujeiras, M. Francisco-Fernandez | |
| Nonparametric regression estimation with a circular response and a functional covariable | |
| B0988: J. Ameijeiras-Alonso, I. Gijbels, A. Verhasselt | |
| Exploring the utility of a circular mode-based model | |
| B0997: M. Alonso-Pena, I. Gijbels, R. Crujeiras | |
| A general approach for nonparametric regression with circular predictors |
| Session EC869 | Room: Virtual R40 |
| Contributions in spatial and spatio-temporal statistics | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Fabio Sigrist | Organizer: CFE-CMStatistics |
| B0735: F. Spoto, A. Caponera, P. Brutti | |
| Spherical autoregressive change-point detection with applications | |
| B1566: F. Sigrist | |
| Latent Gaussian model boosting | |
| B1711: A. Sottosanti, D. Risso | |
| Clustering spatially resolved genes at a spot level in spatial trascriptomics with SpaRTaCo | |
| B1520: A. Gosnell, E. Evangelou | |
| A conditional Gaussian process model for ordinal data and its application in predicting herbicidal performance |
| Parallel session G: CFE | Sunday 19.12.2021 | 08:15 - 09:55 |
| Session CI026 (Special Invited Session) | Room: K E. Safra (Multi-use 01) |
| Variational inference for big models (virtual) | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Michael Smith | Organizer: Michael Smith |
| A0155: M. Smith, R. Loaiza-Maya, D. Nott, P. Danaher | |
| Fast and accurate variational inference for models with many latent variables | |
| A0156: D. Nott, X. Yu, M.S. Smith | |
| Variational inference for cutting feedback in misspecified models | |
| A0157: M.P. Wand | |
| Streamlined variational inference for random effects models |
| Session CO503 | Room: Virtual R18 |
| Causal machine learning | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Martin Huber | Organizer: Martin Huber |
| A0205: M. Knaus | |
| Decomposing causal effect heterogeneity under multiple treatment versions | |
| A0220: J. Meier, M. Huber, H. Wallimann | |
| Business analytics meets artificial intelligence: Assessing the demand effects of discounts on Swiss train tickets | |
| A0546: N. Apfel, M. Huber, H. Langen, H. Farbmacher | |
| Retrieving grouped local average treatment effects via cLasso | |
| A0789: H. Langen | |
| The impact of MeToo on language at court: A text-based causal inference approach |
| Session CO507 | Room: Virtual R29 |
| Panel data with cross-section dependence | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Yiannis Karavias | Organizer: Anindya Banerjee, Yiannis Karavias |
| A0308: J. Ditzen, F. Ravazzolo | |
| Identifying dominant units using graphical models in panel time series data | |
| A0361: Y. Karavias, P.K. Narayan, J. Westerlund | |
| Structural breaks in interactive effects panels and the stock market reaction to COVID-19 | |
| A0366: J. Westerlund, L. Su, B. Peng, Y. Yang | |
| Interactive effects panel data models with general factors and regressors | |
| A0501: A. Banerjee, J.L. Carrion-i-Silvestre | |
| Panel cointegration bounds testing with common factors |
| Session CO732 | Room: Virtual R30 |
| New methods for structural vector autoregressions | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Tomasz Wozniak | Organizer: Tomasz Wozniak |
| A1157: A. Camehl, M. Rieth | |
| Disentangling Covid-19, economic mobility, and containment policy shocks | |
| A1213: E. Eisenstat, R. Strachan | |
| Singular vector autoregressions | |
| A1230: L. Jacobi, D. Zhu | |
| Prior input sensitivities of posterior MCMC inference via infinitesimal perturbation analysis with application to VARs | |
| A1273: P. Nguyen | |
| Moment condition verification for structural VARs in the Bayesian empirical likelihood framework |
| Session CO110 | Room: Virtual R32 |
| Advances in financial econometrics | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Toshiaki Watanabe | Organizer: Toshiaki Watanabe |
| A0376: Y. Omori, Y. Yamauchi | |
| Dynamic factor, leverage and realized covariances in multivariate stochastic volatility | |
| A0648: M. Takahashi, Y. Omori, T. Watanabe, Y. Yamauchi | |
| Realized stochastic volatility models with skew $t$ distributions | |
| A0476: J. Nakajima, T. Watanabe | |
| Stochastic volatility model with time-varying leverage effect | |
| A0484: M. So | |
| Bayesian network analysis for financial risk management |
| Session CO114 | Room: Virtual R33 |
| Climate and energy econometrics | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Robinson Kruse-Becher | Organizer: Robinson Kruse-Becher |
| A0335: M. Gronwald | |
| Global, hemispheric, and zonal temperature anomalies: How different are they, and what does this mean | |
| A0404: M. Friedrich, S. Fries, M. Pahle, O. Edenhofer | |
| Rules vs. discretion in cap-and-trade programs: Evidence from the EU emission trading system | |
| A0954: S. Maxand | |
| A panel SVAR for European climate policy | |
| A1439: M. Bennedsen, E. Hillebrand, S.J. Koopman | |
| A statistical model of the global carbon budget |
| Session CO130 | Room: Virtual R34 |
| Unconventional macro policies and expectations | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Etsuro Shioji | Organizer: Etsuro Shioji |
| A0513: T. Sunakawa, M. Katagiri | |
| Forward guidance as a monetary policy rule | |
| A0831: T. Sekine, F. Packer, S. Yoneyama | |
| Individual trend inflation | |
| A0641: H. Morita, L. Melosi, F. Zanetti | |
| The signalling effects of fiscal announcements: Results from supplementary fiscal stimuli | |
| A0498: E. Shioji | |
| The pandemic and government bonds: Evidence from volatility smiles in Japan |
| Session CO028 | Room: Virtual R35 |
| Topics in time series econometrics | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Martin Wagner | Organizer: Martin Wagner |
| A1454: L. Soegner, M. Wagner | |
| Eigenvalue based monitoring of structural breaks in error correction models | |
| A1712: S. Veldhuis, M. Wagner | |
| A fixed-b cointegration test for cointegrating polynomial regressions | |
| A1713: F. Knorre, M. Wagner | |
| Nonparametric cointegration analysis of the environmental Kuznets curve | |
| A1710: M. Wagner, M. Vetter, R. Kawka | |
| Localized fully modified OLS estimation |
| Session CO485 | Room: Virtual R36 |
| Advances in duration analysis | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Ralf Wilke | Organizer: Ralf Wilke |
| A0263: I. Van Keilegom, C. Czado | |
| Dependent censoring based on copulas | |
| A0855: S. Ota, M. Kimura | |
| Dependence evaluation for reliability monitoring data by using the multivariate Farlie-Gumbel-Morgenstern copula | |
| A1071: M.S.S. Lo, R. Wilke | |
| A single risk approach to the semiparametric copula competing risks model | |
| A1580: N.W. Deresa, I. Van Keilegom | |
| Copula based Cox proportional hazards models for dependent censoring |
| Session CO643 | Room: Virtual R37 |
| Network and regularization techniques for finance | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Gabriele Torri | Organizer: Gabriele Torri |
| A0395: R. Giacometti, G. Torri, S. Paterlini | |
| Portfolio replication via penalisation with asymmetric deviation measures | |
| A0937: D. Radi, G. Torri, H. Dvorackova | |
| Catastrophic and systemic risk in the non-life insurance sector: A micro-structural contagion approach | |
| A0973: G. Torri, S. Paterlini, E. Taufer, R. Giacometti | |
| Dependency in non-Gaussian settings: The generalized precision matrix and its financial applications | |
| A1762: T. Lando | |
| Stochastic dominance with uncertain preferences |
| Session CO324 | Room: K0.50 (Hybrid 06) |
| Asset pricing and the options market (in-person) | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Yifan Li | Organizer: Yifan Li |
| A0686: C.-Y. Tsou | |
| The asset durability premium | |
| A0946: J. Jin, K. Aretz, Y. Li | |
| Is skewness priced in empirical markets? | |
| A0705: L. Mu | |
| The Ross recovery theorem and the term structure of interest rates | |
| A0740: Y. Gong, A. Gozluklu, A. Ferreira | |
| Option prices and risk-corrected probabilities of a binary event |
| Session CO830 | Room: K2.40 (Hybrid 08) |
| Econometric methods and applications in time series (virtual) | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Shixuan Wang | Organizer: Shixuan Wang |
| A0364: Y. Zhao, L. Horvath, G. Rice | |
| Detecting change points in linear models with homoscedastic or heteroscedastic errors | |
| A0875: S. Lu, L. Horvath, Z. Liu | |
| A good basis for projections in functional data analysis: Markowitz portfolio optimization | |
| A0429: Z. Liu, S. Wang, Y. Zhang | |
| Sharpe Ratio, Volatility Asymmetry and Mutual Fund Performance | |
| A0731: Y. Zhan | |
| Detect the stock price trend in high-frequency data: A stochastic disorder approach |
| Session CO166 | Room: K2.41 (Hybrid 09) |
| Advances in factor models and time series econometrics | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Indeewara Perera | Organizer: Indeewara Perera |
| A0208: Y. Feng | |
| Causal inference in possibly nonlinear factor models | |
| A0314: Y. Zhang | |
| Tackling large outliers in macroeconomic data with vector artificial neural network autoregression | |
| A0715: M. Silvapulle, I. Perera | |
| Bootstrap specification tests for dynamic conditional distribution models | |
| A1025: K. Nadarajah, G. Martin, I. Perera, D. Poskitt | |
| Mean correction and forecasting in mis-specified fractionally integrated models |
| Session CG037 | Room: Virtual R28 |
| Contributions in financial risk | Sunday 19.12.2021 08:15 - 09:55 |
| Chair: Sandra Paterlini | Organizer: CFE-CMStatistics |
| A1151: R. Yamamoto | |
| High-frequency technical analysis and systemic risk indicators | |
| A0293: P. Chodnicka - Jaworska | |
| ESG measures: How they can influence the credit ratings | |
| A0581: L. Garcia-Jorcano, L. Sanchis-Marco | |
| Forecasting the climate change risk by sea-level rises using time-varying extreme value analysis | |
| A1113: O. Sahin, K. Bax, S. Paterlini, C. Czado | |
| ESGM: ESG scores and the missing pillar |
| Parallel session H: CMStatistics | Sunday 19.12.2021 | 10:25 - 12:30 |
| Session EO460 | Room: Virtual R20 |
| Statistical inference for circular data | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Toshihiro Abe | Organizer: Toshihiro Abe |
| B0444: T. Abe | |
| Normal-wrapped Cauchy type cylindrical distribution | |
| B0445: Y. Miyata | |
| An extension of sine-skewed circular distributions | |
| B0621: T. Imoto | |
| Simple constructions of joint distributions with circular marginal | |
| B0858: F. Akashi | |
| GEL approach for robust regression on spheres | |
| B1746: H. Ogata | |
| Pair circulas modelling for circular multivariate time series |
| Session EO475 | Room: Virtual R21 |
| Statistics for Hilbert spaces | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Gil Gonzalez-Rodriguez | Organizer: Gil Gonzalez-Rodriguez |
| B0912: A.M. Di Brisco, E. Bongiorno, A. Goia, S. Migliorati | |
| Flexible beta regression with functional covariates: A Bayesian approach | |
| B0966: F. Gnettner, C. Kirch, A. Nieto-Reyes | |
| Depth-based two-sample testing | |
| B0998: S. Greven, M. Eckardt, J. Mateu | |
| Generalized functional additive mixed models with compositional covariates for Spanish Covid-19 incidence data | |
| B1196: J. Gertheiss, L. Selk | |
| Nonparametric regression and classification with functional, categorical, and mixed covariates | |
| B1645: D. Liebl, M. Reimherr | |
| Simultaneous inference for function-valued parameters |
| Session EO509 | Room: Virtual R22 |
| Model specification tests | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Bojana Milosevic | Organizer: Bojana Milosevic |
| B0556: D. Bagkavos | |
| Goodness-of-fit testing for normal mixtures | |
| B0665: J. de Una-Alvarez | |
| Specification tests for selection bias models under random truncation | |
| B0695: M.D. Jimenez-Gamero | |
| Testing normality of a large number of populations | |
| B0947: J. Visagie, B. Ebner, S. Liebenberg | |
| On a new omnibus test of fit based on a characterisation of the uniform distribution | |
| B0949: J. Allison, B. Ebner, M. Smuts | |
| Logistic or not logistic? |
| Session EO639 | Room: Virtual R23 |
| Independence tests, variable selection, and robust classification | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Yuexiao Dong | Organizer: Yuexiao Dong |
| B0214: C. Shen | |
| Fast distance correlation chi-square test | |
| B1142: Y. Dong | |
| Testing the linear mean and constant variance conditions in sufficient dimension reduction | |
| B1274: W. Wu | |
| On sufficient variable screening using log odds ratio filter | |
| B1392: J. Song | |
| Multivariate functional group sparse regression: Functional predictor selection | |
| B1381: A.-N. Soale | |
| Robust envelope discriminant analysis |
| Session EO687 | Room: Virtual R24 |
| Advances in variational approximations | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Luca Maestrini | Organizer: Luca Maestrini |
| B0839: E. Degani, L. Maestrini, D. Toczydlowska, M.P. Wand | |
| Sparse linear mixed model selection via streamlined variational Bayes | |
| B0776: T. Nolan, J. Goldsmith, D. Ruppert | |
| Bayesian functional principal components analysis via variational message passing | |
| B0362: S.L.L. Tan | |
| Use of model reparametrization to improve variational Bayes | |
| B0751: S. Wei | |
| A new variational family for Bayesian deep learning | |
| B0577: W. Yu, S. Wade, H. Bondell, L. Azizi | |
| Non-stationary Gaussian process discriminant analysis with variable selection for high-dimensional functional data |
| Session EO820 | Room: Virtual R25 |
| High-dimensional regression models | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Zhaoyuan Li | Organizer: Zhaoyuan Li |
| B0234: Z. Li, J. Yao | |
| Extension of the Lagrange multiplier test for error cross-section independence to large panels with non-normal errors | |
| B0487: J. Hu, Z. Bai, K.P. Choi, Y. Fujikoshi | |
| KOO: A scalable model selection rules in high-dimensional regression | |
| B0574: K.W. Tsang | |
| Selective confidence intervals for martingale regression model | |
| B0900: K. Yano, A. Okuno | |
| On estimating generalization gaps via the functional variance in overparameterized models | |
| B0460: Y. Zheng, F. Huang, G. Li, K. Lu | |
| A novel computationally scalable high-dimensional vector autoregressive moving average model |
| Session EO260 | Room: Virtual R26 |
| Inference for non-regular stochastic processes | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Kengo Kamatani | Organizer: Kengo Kamatani |
| B0479: S. Eguchi, H. Masuda | |
| Gaussian quasi-information criterion for ergodic SDEs | |
| B0864: Y. Uehara, T. Ogihara | |
| Local asymptotic normality for ergodic jump diffusion processes | |
| B0971: T. Takabatake | |
| Local asymptotic normality property for fractional Brownian motion with measurement errors | |
| B1109: K. Chiba | |
| An M-estimatior for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter | |
| B0443: M. Uchida | |
| Adaptive maximum likelihood type estimators for discretely observed small diffusion processes |
| Session EO716 | Room: Virtual R27 |
| Extremes and applications | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Boris Beranger | Organizer: Boris Beranger |
| B0658: T. Opitz, E. Simpson, J. Wadsworth | |
| High-dimensional modeling of spatial and spatio-temporal conditional extremes using INLA and the SPDE approach | |
| B0746: A. Ferreira | |
| Road safety of passing maneuvers: A bivariate extreme value theory approach under non-stationary conditions | |
| B0874: S. Rizzelli, S. Padoan | |
| Empirical Bayes analysis of maxima | |
| B1763: K. Saunders | |
| Narrowing the gap between theory and practice for modelling rainfall extremes | |
| B0383: R. Huser, A. Hazra | |
| A sparse Gaussian scale mixture process for short-range tail dependence and long-range independence |
| Session EO440 | Room: Virtual R30 |
| Recent developments in multivariate data analysis | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Anne Ruiz-Gazen | Organizer: Klaus Nordhausen, Anne Ruiz-Gazen |
| B1246: S. De Iaco | |
| Complex-valued covariance models for spatio-temporal vector data | |
| B1045: S. Perez-Fernandez | |
| Impact of linear constraints on a multivariate binary classification problem | |
| B1255: K. Nordhausen, C. Muehlmann, F. Bachoc | |
| Blind source separation for non-stationary random fields | |
| B1366: A. Archimbaud, Z. Drmac, K. Nordhausen, U. Radojicic, A. Ruiz-Gazen | |
| New algorithms for implementing invariant component selection |
| Session EO190 | Room: Virtual R36 |
| Directional statistics in multidisciplinary domains | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Andriette Bekker | Organizer: Andriette Bekker |
| B0183: C. Ley | |
| Directional statistics and protein bioinformatics: Recent developments | |
| B0345: A. Pewsey | |
| Inference for toroidal models with circula densities generated by Fourier series | |
| B0672: S. Kato, K. Nagasaki, W. Nakanishi | |
| Mixtures of Kato-Jones distributions on the circle with an application to traffic count data | |
| B0926: J. Ferreira, M. Arashi, A. Bekker, N. Nakhaeirad, D. van Wyk | |
| A unifying generator for cardioid modelling in circular statistics | |
| B1005: N. Nakhaeirad, A. Bekker, M. Arashi | |
| Establishing a Bayesian nonparametric density estimation for biased circular data |
| Session EO848 | Room: Virtual R37 |
| Colored graphical models - in memory of Helene Massam | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Piotr Graczyk | Organizer: Piotr Graczyk |
| B1626: S. Lauritzen | |
| Coloured graphical models | |
| B0703: X. Gao, H. Massam | |
| Bayesian model selection for colored Gaussian graphic models | |
| B0351: S. Ranciati, A. Roverato, A. Luati | |
| Fused graphical lasso for brain networks with symmetries | |
| B0879: B. Kolodziejek | |
| Bayesian model selection in the space of Gaussian models invariant by permutation symmetry | |
| B1472: H. Ishi | |
| On normalizing constants of chordal graphical Gaussian models with group symmetry |
| Session EO563 | Room: Virtual R39 |
| Analytical aspects within dependence modeling | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Sebastian Fuchs | Organizer: Sebastian Fuchs, Wolfgang Trutschnig |
| B1364: F. Durante | |
| Small and large subclasses of copulas | |
| B1114: T. Kasper, S. Fuchs, W. Trutschnig | |
| On weak conditional convergence of bivariate Archimedean and extreme value copulas | |
| B0694: C. Strothmann, K.F. Siburg | |
| Dynamical properties of stochastically monotone copulas | |
| B0422: J. Ansari, L. Ruschendorf | |
| Copulas products in completely specfied factor models | |
| B1101: W. Trutschnig, F. Griessenberger | |
| A measure of multivariate conditional dependence and its estimation |
| Session EO138 | Room: Virtual R40 |
| Compositional, distributional and relative abundance data II | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Karel Hron | Organizer: Karel Hron |
| B1161: K. Facevicova, P. Kynclova, K. Macku | |
| Geographically weighted regression analysis with two-factorial compositional covariates | |
| B1032: A. Srakar | |
| Instrumental variable estimation in compositional regression | |
| B1081: J. Martinez-Minaya, D.-J. Lee, L. Zumeta-Olaskoaga | |
| Mapping soil texture in the basque country using compositional data analysis: A Bayesian geo-additive approach | |
| B1234: I. Pavlu, K. Hron, A. Menafoglio, P. Filzmoser, E. Bongiorno | |
| Classification techniques for probability density functions in the Bayes space framework | |
| B1414: P. Jaskova, K. Hron | |
| Isotemporal substitution in time-use behavioural data with compositional scalar-on-function regression |
| Session EO144 | Room: K0.50 (Hybrid 06) |
| Recent advances in complex data analysis (virtual) | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Juan Romo | Organizer: Juan Romo |
| B1321: P. Morala, R. Lillo, J.A. Cifuentes, I. Ucar | |
| Neural networks interpretability through Taylor series and polynomial regression coefficients | |
| B1777: R. Jimenez, A. Elias, V. Cereijo, J. Romo | |
| Similarity graphs for functional data mining | |
| B1779: A. Mendez Civieta, M.C. Aguilera-Morillo, R. Lillo | |
| Dimension reduction techniques based on quantiles | |
| B1780: P. Nag, Y. Sun, B. Reich | |
| Bivariate deep kriging for large-scale spatial interpolation of wind field |
| Session EC856 | Room: K0.19 (Hybrid 04) |
| Contributions in Bayesian statistics III (virtual) | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: David Rossell | Organizer: CFE-CMStatistics |
| B1441: A. Stein, D. Leslie, A. Frigessi | |
| Sequential inference for the bayesian mallows model | |
| B1518: A. Revers, M. Hof, K. Zwinderman | |
| A Bayesian hierarchical model for MedDRA coded adverse events in RCTs | |
| B1658: M. Manca, F. Bertolino, S. Columbu, M. Musio | |
| A Bayesian test for the equality of two coefficients of variation | |
| B1339: S. Horii | |
| Heterogeneous treatment effect estimation based on a partially linear model with a Gaussian process prior |
| Session EG057 | Room: Virtual R28 |
| Contributions in statistical modelling I | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Jean-Francois Dupuy | Organizer: CFE-CMStatistics |
| B1668: U. Aguirre, C. Borges | |
| Bounded missing data imputation using statistical and machine learning approaches | |
| B0201: J.-F. Dupuy | |
| Gamma regression with censored outcomes and missing data | |
| B1764: G. Goessler, V. Hofer, W. Goessler | |
| A proper statistical framework for range-based comparisons of quality attributes | |
| B1765: V. Hofer, G. Goessler, W. Goessler | |
| Statistical tests for range-based comparisons: Increase flexibility for producers without increasing risk for consumers? | |
| B1496: A. Hanebeck, C. Czado | |
| Copula state-space models with several latent variables |
| Session EG023 | Room: Virtual R29 |
| Contributions in spatial statistics | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Anastassia Baxevani | Organizer: CFE-CMStatistics |
| B0258: X. Yin, G. Napier, C. Anderson, D. Lee | |
| Spatio-temporal cluster detection and disease risk estimation using clustering-based adjacency modelling | |
| B1229: T. Hirano | |
| A multi-resolution approximation via linear projection for large spatial datasets | |
| B1630: F.D. Miranda Huaynalaya, M.D. Ruiz-Medina | |
| COVID-19 incidence analysis from a spatial functional spectral nonparametric approach | |
| B0589: G. Chen, H. Fricke, O. Okhrin, J. Rosenow | |
| Interpolation of weather conditions in a flight corridor | |
| B1179: M.M. Pizarro, M.I. Parra Arevalo, J.A. Garcia Garcia, F.J. Acero Diaz | |
| A Bayesian hierarchical spatial copula model |
| Session EG025 | Room: Virtual R33 |
| Contributions in regression and regularization | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Benjamin Poignard | Organizer: CFE-CMStatistics |
| B0344: B. Poignard, Y. Terada | |
| Sparse factor models: Asymptotic properties | |
| B0522: C.G. Soh, Y. Zhu | |
| Incorporating sparsity, smoothness and group structure in regularized models for spectroscopic data | |
| B1612: S. Urakami, H. Yadohisa | |
| Clusterwise joint lasso with penalty term for discriminating each cluster | |
| B0301: G. Cattani, S. Sperlich, M. Scholz | |
| Local machine learning for data giants | |
| B1757: J.-M. Poggi, J. Cugliari, Y. Goude, M. Bourel | |
| Boosting diversity in regression ensembles |
| Session EP002 | Room: Poster session room I |
| Poster Session (only virtual) | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Elena Fernandez Iglesias | Organizer: CFE, CFE-CMStatistics |
| B1306: G. Wang de Faria Barros, J. Haggstrom | |
| Estimation of marginal hazard ratios from observational data under noninformative censoring | |
| B1319: M. Fayaz, N. Shakeri, A. Abadi, S. Khodakarim | |
| Random splitting random forest for survival analysis with non-functional \& functional covariates in the EEG-fNIRS trial | |
| B1389: K. Takahashi, K. Yamamoto | |
| A one-sided testing procedure for comparing predictive values of two diagnostic tests simultaneously | |
| B1486: A. Shimokawa, E. Miyaoka | |
| On survival trees with competing risks | |
| B1493: S. Ferrigno | |
| Semiparametric reference curves for EDEN cohort |
| Parallel session H: CFE | Sunday 19.12.2021 | 10:25 - 12:30 |
| Session CO218 | Room: Virtual R35 |
| Optimization modelling in structural econometrics | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Stefano Nasini | Organizer: Stefano Nasini |
| A0496: N. Rabia, F. Benita, S. Nasini | |
| Nash bargaining partitioning in decentralized portfolio management | |
| A0386: R.T. Tchouya, S. Nasini, S. Dabo | |
| An inferential approach for the influential-imitator diffusion | |
| A0527: A. de Palma, S. Anderson | |
| Economic distributions, primitive distributions, and demand recovery in monopolistic competition | |
| A0526: N. Picard, A. de Palma, S. Nasini | |
| Large-scale smart evaluation of risk attitude: A structural econometric framework | |
| A0385: S. Nasini, N. Rabia | |
| Endogenous learning in input-output economies |
| Session CO034 | Room: Virtual R38 |
| Topics in financial econometrics | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Leopold Soegner | Organizer: Leopold Soegner |
| A1186: B. Koval, S. Fruehwirth-Schnatter, L. Soegner | |
| Bayesian reconciliation of the return predictability | |
| A1191: A. Steshkova | |
| Conditional skewness in currency markets | |
| A1329: M. Scholz | |
| Forecast combinations for benchmarks of long-term stock returns using machine learning methods | |
| A1661: P. Gersing, M. Deistler | |
| REMIS (Retrieval from Mixed Sampling Frequency) for VAR(MA)s | |
| A1637: C. Rust, P. Gersing, M. Deistler, L. Soegner | |
| REMIS (Retrieval from Mixed Sampling Frequency) for generalised dynamic factor models |
| Session CO551 | Room: K0.16 (Hybrid 02) |
| Contributions in commodity markets and asset pricing | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Francesco Poli | Organizer: CFE |
| A1774: N. Zhao, A.-M. Fuertes | |
| Investor attention spillover between equity market and commodity market | |
| A1169: F. Cech | |
| Marine fuel hedging under the sulphur cap regulations | |
| A1781: O. Sanya, R. Versteeg, E. Sciubba | |
| Contagion in commodities markets | |
| A1402: J. Sila, L. Kristoufek | |
| Pricing risk in cryptocurrency market: A (mis)calculated gamble? | |
| A1639: M. Nevrla, J. Barunik | |
| Idiosyncratic quantile risk and asset prices |
| Session CO808 | Room: K0.18 (Hybrid 03) |
| Advances in volatility modeling (virtual) | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Christian Francq | Organizer: Christian Francq, Jean-Michel Zakoian |
| A0172: J. Polivka, M. Fengler | |
| Identifying structural shocks to volatility through a proxy-MGARCH model | |
| A0584: C. Francq, J.-M. Zakoian | |
| Testing the existence of moments and estimating the tail index of augmented GARCH processes | |
| A0607: J.-M. Zakoian, C. Francq | |
| Testing hypotheses on the innovations distribution in GARCH-type models | |
| A0700: J. Royer, J.-M. Zakoian, C. Francq | |
| A multivariate ARCH($\infty$) model with exogenous variables and dynamic conditional betas | |
| A0754: C. Conrad, R. Engle | |
| Modelling volatility cycles |
| Session CO633 | Room: K0.20 (Hybrid 05) |
| Financial econometrics: Modelling and forecasting (virtual) | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Vincenzo Candila | Organizer: Vincenzo Candila |
| A0727: L. Merlo, L. Petrella, V. Raponi | |
| Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation | |
| A0860: G. Angelini | |
| Time-varying Poisson autoregression | |
| A1036: G. Maccarrone, G. Morelli, S. Spadaccini | |
| How do autoregressive processes help forecasting the GDP | |
| A1236: M. Boccia, A. Amendola, G. Mele, L. Sensini | |
| Do fiscal policies affect the firms growth and performance? Evidence from a regional study in the Dominican republic | |
| A1254: S. Spadaccini, G. Maccarrone, G. Morelli | |
| Forecasting the production of renewable energy |
| Session CO210 | Room: K2.40 (Hybrid 08) |
| Topics in partial identification and time series econometrics | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Kanchana Nadarajah | Organizer: Kanchana Nadarajah |
| A0191: L. Zhang, D. Tommasi | |
| Bounding program benefits when participation is misreported | |
| A0456: E. Whitehouse, D. Harvey, S. Leybourne | |
| Real-time monitoring of bubbles and crashes | |
| A0721: X. Chen | |
| Bounds on causal direct and indirect average treatment effects in the presence of noncompliance | |
| A1057: I. Perera | |
| Specification tests for GARCH processes with nuisance parameters on the boundary | |
| A1158: W. Zhou | |
| Non-parametric variance function estimation in linear regression models with many regressors |
| Session CO174 | Room: K2.41 (Hybrid 09) |
| New development in factor models and their applications (virtual) | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Degui Li | Organizer: Jia Chen |
| A1317: J. Sun, Y. Hong, O. Linton, S. Wang | |
| Confidence interval construction: A new self-normalization approach based on adjusted range | |
| A0719: S. Ge, O. Linton, S. Li | |
| News-implied linkages and local dependency in the equity market | |
| A0436: C. Zheng | |
| Estimation of dynamic quantile panel data model with interactive effects | |
| A0490: Y. Li | |
| Estimation of common factors for microstructure noise and efficient price in a high-frequency dual-factor model | |
| A1581: D. Li | |
| Functional-coefficient quantile regression for panel data with latent group structure |
| Session CO038 | Room: K2.31 Nash (Hybrid 07) |
| Structural shocks and their propagation | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Rustam Ibragimov | Organizer: Rustam Ibragimov |
| A0780: M. Karamysheva, B. Craig, D. Salakhova | |
| Do market-based network reflect true exposures between banks? | |
| A0832: A. Pestova, M. Mamonov | |
| Credit supply shocks and household defaults | |
| A1116: A. Skrobotov | |
| On robust testing for trend | |
| A1716: R. Ibragimov, W. Distaso, A. Semenov, A. Skrobotov | |
| COVID-19: Tail risk and predictive regressions | |
| A1398: P. Kattuman, A. Harvey | |
| Time series models for tracking and forecasting epidemics |
| Session CO266 | Room: K E. Safra (Multi-use 01) |
| Nonlinear and financial time series (Virtual) | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Ruijun Bu | Organizer: Ruijun Bu |
| A0316: X. Yao, Z. Li, M. Izzeldin | |
| On the right jump tail inferred from the VIX markets | |
| A0399: X. Xue | |
| Sequential monitoring for change points of M-estimators in risk models | |
| A0482: X. Ren, P. Wei, K. Yuan | |
| Time-varying spillover networks of green bond and related financial markets | |
| A1040: S. Meng | |
| An econometric analysis of regression models with sorted variables | |
| A1293: Y. Li, R. Bu, J. Cheng | |
| Modelling endogenous regime-switching: A copula-based latent factor approach |
| Session CC862 | Room: Virtual R18 |
| Contributions in realized volatility | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Hiroyuki Kawakatsu | Organizer: CFE |
| A1198: H. Kawakatsu | |
| Instrumental realized volatility | |
| A1506: Y. Luo, M. Izzeldin, M. Tsionas | |
| Forecasting realized volatility: A hybrid model integrating BiLSTM with HAR-type models | |
| A1491: H. Shigemoto, T. Morimoto | |
| Volatility spillover among Japanese sectors in response to COVID-19 | |
| A1123: Y. Liu | |
| Predictive power of the variance premium | |
| A1473: A. Zarraga, A. Ciarreta, E.L. Chanatasig | |
| A volatility spillover analysis with realized semi(co)variances in Australian electricity markets |
| Session CC861 | Room: Virtual R31 |
| Contributions in Bayesian econometrics | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Lukasz Kwiatkowski | Organizer: CFE |
| A1557: T. Wozniak | |
| Bayesian assessment of identifying restrictions for heteroskedastic structural VARs | |
| A1663: S. Seleznev, R. Khabibullin | |
| Estimating Bayesian models using simulated data meta-learning | |
| A1743: A. Peruzzi | |
| Media bias and polarization using a Markov-switching latent space network model | |
| A1316: L. Kwiatkowski, A. Pajor, J. Osiewalski, J. Wroblewska | |
| Comparison of Bayesian models in the context of recursive density predictions on the example of VEC-SV-GARCH models |
| Session CC863 | Room: Virtual R32 |
| Contributions in macro and finance I | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Alessia Paccagnini | Organizer: CFE |
| A1355: V.-E. Dimakopoulou, A. Apostolis Philippopoulos, G. Economides | |
| The ECB's policy, the recovery fund and the importance of trust: The case of Greece | |
| A0264: A. Kharazi | |
| Macroeconomic effects of collateral requirements and financial shocks | |
| A1208: K. Tango, Y. Nakazono | |
| Time to see a doctor: Expenditure at retirement in Japan | |
| A1171: B. Blagov | |
| A flexible approach towards time-varying parameter VAR models | |
| A1356: L. Neri | |
| Structural estimation combining micro and macro data |
| Session CC876 | Room: Virtual R34 |
| Contributions in financial econometrics III | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: Shan Lu | Organizer: CFE |
| A0357: S. Lu, E. Phimister | |
| VIX derivatives valuation: The effects of jump contagion | |
| A0324: R. Moura, B. Candelon | |
| A multicountry model of the term structures of interest rates with a GVAR | |
| A0595: T. Kobayashi | |
| Global and regional factors and the term structure of interest rates: Some evidence from Asian countries | |
| A0911: J.W. Hansen, D. Borup, B.J. Christensen | |
| Immunization with term structure dynamics | |
| A0583: M. Kerkemeier, C. Wegener, R. Kruse-Becher | |
| New stylized facts of financial exuberance |
| Session CP001 | Room: Poster session room II |
| Poster Session (only virtual) | Sunday 19.12.2021 10:25 - 12:30 |
| Chair: TBA | Organizer: CFE, CFE-CMStatistics |
| B1591: T. Kawasaki, T. Seo | |
| $T^2$ type test statistic and simultaneous confidence intervals for sub-mean vectors in two-sample problem | |
| B1568: I. Mala | |
| Modelling deprivation indices in Europe using mixture models | |
| A1555: S.H.I. Leung, C.Y. Yau | |
| Forecasting under breaks in non-parametric regression | |
| A1593: L. Nechvatalova, J. Barunik | |
| Deep reinforcement learning in portfolio selection | |
| B1775: E. Fernandez Iglesias, G. Gonzalez-Rodriguez, V. Moro Garcia | |
| Extreme flood frequency trends inferential analysis in Nalon River (Asturias, NW Spain) | |
| A1778: C. Eleftheriou, P. Andreou, D. Koursaros | |
| Credit creation and risk in opaque intermediaries |
| Parallel session I: CMStatistics | Sunday 19.12.2021 | 14:00 - 15:40 |
| Session EO234 | Room: Virtual R18 |
| Experimental design ideas for machine learning | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: HaiYing Wang | Organizer: HaiYing Wang |
| B1216: J. Yu | |
| Subdata selection algorithm for linear model selection | |
| B1264: S. Mak | |
| Supervised compression of big data | |
| B1451: L. Wang | |
| Orthogonal subsampling for big data linear regression |
| Session EO734 | Room: Virtual R20 |
| Recent advances in graphical models and dimension reduction | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Eftychia Solea | Organizer: Eftychia Solea |
| B0312: K. Kim | |
| On sufficient graphical models | |
| B0810: T. Sheng, B. Li, E. Solea | |
| On skewed Gaussian graphical models | |
| B0811: Q. Zhang, B. Li, L. Xue | |
| Dimension reduction and data visualization for Frechet regression | |
| B0388: F. Rios, G. Moffa, J. Kuipers | |
| Benchpress: A scalable, platform-independent workflow to benchmark structure learning algorithms for graphical models |
| Session EO392 | Room: Virtual R21 |
| Recent advances in Bayesian modeling and computation | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Marco Ferreira | Organizer: Marco Ferreira |
| B0538: R. Paulo, P. Barbillon, A. Forte | |
| PIPS: Screening the discrepancy function | |
| B0609: T.C.O. Fonseca, V. Sartorio | |
| Dynamic clustering of time series data with dynamically changing memberships | |
| B1027: C. Franck, C. Wilson | |
| Predicting competitions by combining conditional logistic regression and subjective Bayes: An Academy Awards case study | |
| B1046: M. Ferreira, E. Porter, C. Franck | |
| Objective Bayesian model selection for spatial hierarchical models with intrinsic conditional autoregressive priors |
| Session EO058 | Room: Virtual R22 |
| Recent developments in spatial statistics | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Soutir Bandyopadhyay | Organizer: Soutir Bandyopadhyay |
| B0213: W. Kleiber, M. Krock, D. Hammerling, S. Becker | |
| Modeling massive multivariate spatial data with the basis graphical lasso | |
| B0215: B. Li, D. Sass, B. Reich | |
| Flexible and fast spatial return level estimation via a spatially-fused penalty | |
| B0216: L. Blake, H. Huang, M. Katzfuss, D. Hammerling | |
| Computational developments and applications of the multi-resolution approximation for massive spatial data | |
| B0217: S. Bandyopadhyay, M. Bailey, D. Nychka | |
| Adapting conditional simulation using circulant embedding for irregularly spaced data |
| Session EO458 | Room: Virtual R23 |
| Random matrix theory and its applications | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Monika Bhattacharjee | Organizer: Monika Bhattacharjee |
| B0505: P. Sen | |
| Random matrices with independent entries: Beyond non-crossing partitions | |
| B0823: M. Bhattacharjee | |
| Asymptotics of large autocovariance matrices | |
| B0920: N. Chakraborty | |
| High dimensional multiplier bootstrap tests with applications to MANOVA | |
| B0950: S.N. Maurya | |
| Fluctuations of linear eigenvalue statistics of time dependent random circulant matrices |
| Session EO549 | Room: Virtual R24 |
| Functional data analysis and high-dimensional statistics | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Michelle Carey | Organizer: Michelle Carey |
| B1516: E. Austin, I. Eckley, L. Bardwell | |
| Sequential detection of emergent phenomena within functional data | |
| B1552: S. Katina | |
| Functional data analysis of three-dimensional surface data: Examples on human face | |
| B1429: M. Fontana, S. Vantini, J. Diquigiovanni | |
| Finite-sample exact prediction bands for functional data based on conformal prediction | |
| B1747: E. Lila | |
| Interpretable discriminant analysis for functional data supported on general random domains |
| Session EO661 | Room: Virtual R25 |
| Recent developments in robust methodology | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Peter Rousseeuw | Organizer: Peter Rousseeuw |
| B0330: I. Wilms, L. Bottmer, C. Croux | |
| A cellwise robust lasso estimator | |
| B0807: L.A. Garcia-Escudero, D. Rivera-Garcia, A. Mayo-Iscar, J. Ortega | |
| Robust clustering with cellwise trimming | |
| B1256: M. Riani, A. Atkinson, A. Corbellini, F. Torti | |
| Robust correspondence analysis | |
| B1343: J. Raymaekers, P. Rousseeuw | |
| Transforming variables to central normality |
| Session EO700 | Room: Virtual R26 |
| Bayesian nonparametric models | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Luis Gutierrez | Organizer: Luis Gutierrez |
| B0603: A. Riva-Palacio | |
| Generalized additive neutral to the right regression for survival analysis | |
| B0689: I. Gutierrez, D. Alvares, L. Gutierrez | |
| A new flexible Bayesian hypothesis test for multivariate data | |
| B0885: K.V. Palacios Ramirez | |
| Bayesian analysis of jointly heavy-tailed data | |
| B0880: R. Mena | |
| Clustering point patterns on linear networks |
| Session EO106 | Room: Virtual R27 |
| Modern statistical methods in data science | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Yichuan Zhao | Organizer: Yichuan Zhao |
| B0299: G. Cao | |
| Optimal classification for functional data | |
| B0714: C. Liu | |
| Robust prediction of survival outcomes through unified Bayesian analysis of nonparametric transformation models | |
| B0870: P. Liu | |
| Learning privately over distributed features: An ADMM sharing approach | |
| B1583: H. Lorenzo, O. Cloarec, J. Saracco | |
| How to deal with missing values in the high dimensional supervised context |
| Session EO216 | Room: Virtual R28 |
| Stochastic models for dependence | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Sebastian Fuchs | Organizer: Elisa Perrone |
| B1172: M. Tschimpke, W. Trutschnig, J. Fernandez Sanchez | |
| Markov product invariance in classes of bivariate copulas characterized by univariate functions | |
| B1097: Z. Wei, D. Kim, L. Wang | |
| Asymmetric dependence modeling for contingency table with an ordinal dependent variable | |
| B1187: E. Perrone, Z. Zhan, E. van den Heuvel | |
| Kendall's tau estimator for zero-inflated discrete distributions | |
| B1233: R. Fontana, P. Semeraro | |
| High dimensional simulation of exchangeable Bernoulli distributions |
| Session EO631 | Room: Virtual R29 |
| Applied Bayesian models | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Emanuele Aliverti | Organizer: Emanuele Aliverti |
| B1079: N. Bianco, M. Bernardi | |
| Variational approximation for stochastic volatility via continuous random walk processes | |
| B1415: A. Fasano, G. Rebaudo, D. Durante, S. Petrone | |
| A closed-form filter for binary time series | |
| B1225: M. Russo | |
| A generalized partial credit model for network dependent latent traits with an application on modeling students' ability | |
| B1221: R. Casarin, F. Bassetti, M. Del Negro | |
| A Bayesian approach for inference on probabilistic surveys |
| Session EO800 | Room: Virtual R30 |
| Mathematical and statistical foundations for deep learning | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Lizhen Lin | Organizer: Lizhen Lin |
| B1194: W. Liao | |
| Regression and doubly robust off-policy learning on low-dimensional manifolds by neural networks | |
| B1228: M. Chae, L. Lin, Y. Kim, D. Kim | |
| Deep generative models for nonparametric estimation of a singular distribution | |
| B1373: I. Ohn, L. Lin | |
| Adaptive variational deep learning | |
| B1755: T. Suzuki, A. Nitanda, S. Okumoto | |
| Adaptivity of deep learning to intrinsic dimensionality via mixed and anisotropic smoothness for high dimensional input |
| Session EO136 | Room: Virtual R34 |
| Markov switching models | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Maddalena Cavicchioli | Organizer: Maddalena Cavicchioli |
| B1248: A. Aknouche, C. Francq | |
| Markov switching positive conditional mean models: Structure and examples | |
| B0311: N. Li, S. Kwok | |
| Jointly determining the state dimension and lag order for Markov-switching vector autoregressive models | |
| B0939: J. Cheng | |
| On spectral analysis and forecasting performance of regime switching GARCH-MIDAS models | |
| B1074: M. Cavicchioli | |
| The Beveridge-Nelson decomposition of Markov switching (co)integrated time series |
| Session EO521 | Room: Virtual R36 |
| Network statistics | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Tracy Ke | Organizer: Tracy Ke, Chenlei Leng |
| B1433: S. Chandna | |
| Nonparametric regression for multiple heterogeneous networks | |
| B1653: W. Wu, S. Olhede, P. Wolfe | |
| Tractably modelling dependence in networks beyond exchangeability | |
| B1737: J. Jin | |
| The citation behavior of statisticians | |
| B1783: M. Noroozi, M. Pensky | |
| The hierarchy of block models |
| Session EO118 | Room: Virtual R37 |
| Statistical methods for HIV research | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Erica Moodie | Organizer: Erica Moodie |
| B0585: R. Thiebaut, M. Alexandre, M. Prague | |
| Viral dynamics as an outcome in HIV therapeutic vaccine trials: From AUC to dynamical modelling | |
| B0978: M. Hudgens | |
| Counting viruses: Estimating the size of the latent HIV reservoir | |
| B0983: T. Reddy, G. Molenberghs, M. Aerts | |
| Prediction of the time to treatment success from longitudinal left-censored viral load measurements | |
| B0164: D. De Angelis | |
| Value of information for HIV evidence synthesis |
| Session EO579 | Room: Virtual R39 |
| Recent advances in extreme risk measures estimation | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Antoine Usseglio-Carleve | Organizer: Antoine Usseglio-Carleve |
| B0199: E. Di Bernardino | |
| Semi-parametric estimation of multivariate extreme expectiles | |
| B0226: J. El Methni, S. Girard | |
| A bias-reduced version of the Weissman estimator for extreme value-at-risk | |
| B0914: T. Laurent, A. Daouia, G. Stupfler | |
| Heavy-tailed extremile regression in risky seismic areas |
| Session EO750 | Room: K0.16 (Hybrid 02) |
| BFF: Topics in foundations of inference | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Jan Hannig | Organizer: Jan Hannig |
| B0435: G. Taraldsen | |
| Confidence in Bayesian and fiducial inference | |
| B0464: S. Neupert, C. Growney, X. Zhu, J. Sorensen, E. Smith, J. Hannig | |
| BFF: Bayesian, fiducial, and frequentist analysis of cognitive engagement among cognitively impaired older adults | |
| B1135: R. Gong | |
| A Gibbs sampler for a class of random convex polytopes | |
| B0432: J. Hannig, H. Iyer | |
| Calibration of likelihood ratios systems in forensic science |
| Session EO306 | Room: K0.18 (Hybrid 03) |
| Variable selection in causal inference | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Richard Guo | Organizer: Linbo Wang |
| B1231: Y. Wang, R.D. Shah | |
| Debiased IPW for estimation of average treatment effects with high-dimensional confounders | |
| B1297: D. Tang, D. Kong, W. Pan, L. Wang | |
| Causal ball screening: Outcome model-free variable selection for causal inference | |
| B1396: X. de Luna, N. Moosavi, T. Gorbach, J. Haggstrom | |
| Post-machine learning causal inference: Uniformly valid inference and sensitivity analysis | |
| B1422: R. Guo, E. Perkovic, A. Rotnitzky | |
| Variable elimination and graph reduction: Towards an efficient g-formula |
| Session EO208 | Room: K0.19 (Hybrid 04) |
| Recent advances in high-dimensional data analysis | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Zijian Guo | Organizer: Zijian Guo |
| B0679: J. Hou, Z. Guo, T. Cai | |
| Surrogate assisted semi-supervised inference for high dimensional risk prediction | |
| B0541: Y. Ning | |
| Optimal and safe estimation for high-dimensional semi-supervised learning | |
| B1412: R.D. Shah, I. Kim, A.R. Lundborg, R. Samworth | |
| The projected covariance measure for model-free variable significance testing | |
| B1721: C. Rush | |
| Variational inference and robustness |
| Session EO074 | Room: K0.20 (Hybrid 05) |
| Statistical methods for high dimensional neuroimaging data I (Virtual) | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: John Kornak | Organizer: John Kornak |
| B0779: T. Johnson | |
| A time-varying AR, bivariate DLM of functional near-infrared spectroscopy data | |
| B0817: D. Spencer, A. Mejia, D. Bolin, M.B. Nebel | |
| Efficient Bayesian estimation of brain activation with cortical surface and subcortical data using EM | |
| B0849: J. Harezlak | |
| Adaptive regularization with applications to brain imaging | |
| B0224: S. Weinstein, A. Alexander-Bloch, S. Vandekar, E. Baller, R. Gur, R. Gur, A. Raznahan, A. Adebimpe, T. Satterthwaite, R. Shinohara | |
| Permutation testing of network enrichment in neuroimaging |
| Session EO619 | Room: K2.40 (Hybrid 08) |
| Interface between Bayesian statistics and machine learning | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Sara Wade | Organizer: Sara Wade |
| B0651: S. Filippi | |
| Bayesian nonparametric methods for conditional independence testing | |
| B0791: G. Moran, D. Sridhar, Y. Wang, D. Blei | |
| Identifiable variational autoencoders via sparse decoding | |
| B0935: T. Sell, S. Singh | |
| Dimension-robust neural network priors for Bayesian reinforcement learning | |
| B0945: K. Ray, B. Szabo | |
| Variational Bayes for high-dimensional linear regression with sparse priors |
| Session EO669 | Room: K2.41 (Hybrid 09) |
| Shrinkage priors for structured variables (virtual) | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Mahlet Tadesse | Organizer: Mahlet Tadesse |
| B0999: J. Faulkner | |
| Nonparametric smoothing with Markov random fields and shrinkage priors | |
| B0698: M. Denis, M. Tadesse | |
| Graph-structured variable selection with Gaussian Markov random field horseshoe prior | |
| B0972: P. Knaus | |
| The dynamic triple gamma prior | |
| B1175: M. Griffin, P. Hoff | |
| Structured shrinkage priors |
| Session EO752 | Room: K2.31 Nash (Hybrid 07) |
| Statistical methods for Mendelian randomization | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Apostolos Gkatzionis | Organizer: Apostolos Gkatzionis |
| B0805: N. Mounier, Z. Kutalik | |
| Two-sample MR: Correction for winner's curse and weak instruments bias for unknown degree of sample overlap | |
| B0525: H. Guo | |
| A Bayesian approach to overlapping-sample Mendelian randomization | |
| B0980: C. Coscia, D. Gill, T. Perez, N. Malats, S. Burgess | |
| Avoiding bias in Mendelian randomization when stratifying on a collider | |
| B1340: V. Karageorgiou, D. Gill, J. Bowden, V. Zuber | |
| Sparse dimensionality reduction approaches in Mendelian randomization for highly correlated exposures | |
| B0903: D. Iong, Q. Zhao, Y. Chen | |
| A latent mixture model for heterogeneous causal mechanisms in mendelian randomization |
| Session EC857 | Room: K0.50 (Hybrid 06) |
| Contributions in time series | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Enea Bongiorno | Organizer: CFE-CMStatistics |
| B0266: S. Gavioli-Akilagun, P. Fryzlewicz | |
| Robust inference for change points in piecewise polynomials of general degrees | |
| B1592: L. Valeri, X. Cai | |
| Missing data imputation via state space model for non-stationary multi-variate time series in mHealth |
| Parallel session I: CFE | Sunday 19.12.2021 | 14:00 - 15:40 |
| Session CI008 (Special Invited Session) | Room: K E. Safra (Multi-use 01) |
| New developments in high-dimensional econometrics (virtual) | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Degui Li | Organizer: Degui Li |
| A0168: M. Vogt, J. Lederer | |
| Estimating the lasso's effective noise | |
| A0167: H. Cho, M. Barigozzi, D. Owens | |
| Factor-adjusted network analysis for high-dimensional time series | |
| A1606: R. Bu, D. Li, O. Linton, H. Wang | |
| Nonparametric estimation of large spot volatility matrices for high frequency data |
| Session CO412 | Room: Virtual R31 |
| Signal extraction | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Anindya Roy | Organizer: Tucker McElroy |
| A0797: A. Roy, T. McElroy | |
| A Bayesian framework for handling outliers in seasonal adjustment | |
| A0821: M. Wildi | |
| Zero-crossings of time series: Sign-prediction, mean-square error and a holding-time constraint | |
| A0967: S. Pollock | |
| Enhanced methods of seasonal adjustment | |
| A1164: D. Dobrev, D. Hansen, P. Szerszen | |
| A randomized missing data approach to robust filtering and forecasting |
| Session CO280 | Room: Virtual R32 |
| Volatility component models | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Christian Conrad | Organizer: Christian Conrad |
| A0249: N. Virk | |
| A reality check on the GARCH-MIDAS volatility models | |
| A0284: V. Candila, L. Petrella, A. Arcagni | |
| Hypotheses testing in mixed-frequency volatility models: A bootstrap approach | |
| A0724: G. Sucarrat, C. Francq | |
| Volatility estimation when the zero-process of financial return is nonstationary | |
| A1104: B.M. Kandji, C. Francq, J.-M. Zakoian | |
| Inference on multiplicative component GARCH without any small-order moment |
| Session CO150 | Room: Virtual R33 |
| Advances in macroeconometrics | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Saeed Zaman | Organizer: Aubrey Poon |
| A0197: I. Chronopoulos, A. Raftapostolos, G. Kapetanios | |
| Deep quantile regression | |
| A0277: T. Szendrei, D. Kohns | |
| Decoupling shrinkage and selection for the Bayesian quantile regression | |
| A0450: C. Hou | |
| Macroeconomic forecasting with large stochastic volatility in mean VARs | |
| A0322: S. Zaman | |
| A unified framework to estimate macroeconomic stars |
| Session CO726 | Room: Virtual R35 |
| Recent advances in financial econometrics | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Seok Young Hong | Organizer: Seok Young Hong |
| A0373: J. Dalderop | |
| Efficient estimation of pricing kernels and market-implied densities | |
| A0377: S. Li, O. Linton, S. Ge, W. Liu | |
| Augment large covariance matrix estimation with auxiliary network information | |
| A0439: E. Smetanina | |
| Estimation of nonstationary nonparametric regression model with multiplicative structure | |
| A0843: D. Massacci, L. Trapani | |
| Threshold regression for large datasets with common stochastic trends |
| Session CO569 | Room: Virtual R38 |
| Causal and noncausal time series models | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Alain Hecq | Organizer: Alain Hecq |
| A0188: E. Voisin, A. Hecq, J.V. Issler | |
| Evaluation of the credibility of the Brazilian inflation targeting system using mixed causal-noncausal models | |
| A0203: F. Giancaterini, A. Hecq | |
| Inference in mixed causal and noncausal models withgeneralized Student's t-distributions | |
| A0597: J. Jasiak, C. Gourieroux | |
| Generalized covariance estimator | |
| A1159: A. Hecq, F. Giancaterini, C. Morana | |
| Is global warming (time) reversible? |
| Session CO290 | Room: Virtual R40 |
| Time series econometrics | Sunday 19.12.2021 14:00 - 15:40 |
| Chair: Antonio Montanes | Organizer: Antonio Montanes |
| A0677: L. Gadea, J. Gonzalo | |
| Local warming: The globe vs Spain | |
| A0830: J.L. Carrion-i-Silvestre, C. Tamarit, M. Camarero | |
| Current account determinants in a globalized world | |
| A1424: A. Alcay, A. Montanes, B. Simon-Fernandez | |
| Causality between waste, recycling and GDP in G-7 countries: A bootstrap Granger non-causality test approach | |
| A1494: A. Romeu, M. Camacho, S. Ramallo | |
| Evaluation of classifiers through bilateral projections of the ROC curve |
| Parallel session J: CMStatistics | Sunday 19.12.2021 | 16:10 - 17:25 |
| Session EO080 | Room: Virtual R20 |
| Advances in infectious disease modelling | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Rob Deardon | Organizer: Rob Deardon |
| B0493: C. Ward | |
| Incorporating infectious duration-dependent transmission into Bayesian epidemic models | |
| B0696: L. Amiri | |
| Inference for individual-level models of infectious diseases with an application to the COVID-19 pandemic | |
| B1188: C. Dean, G. Bucyibaruta, D. Xi, E. Renouf | |
| Time series approaches to compare Covid-19 mortality in the province of Ontario, Canada, across three epidemic waves |
| Session EO064 | Room: Virtual R21 |
| Recent development in experimental designs | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Po Yang | Organizer: Po Yang |
| Session EO334 | Room: Virtual R22 |
| Model assessment II | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Maria Dolores Jimenez-Gamero | Organizer: Maria Dolores Jimenez-Gamero |
| B0233: K. Ntotsis, A. Karagrigoriou, A. Artemiou | |
| A penalized multicollinearity measure for improved model assessment | |
| B0278: V. Alba-Fernandez, F.J. Ariza-Lopez, M.D. Jimenez-Gamero | |
| Spatialised similarity analysis of two digital elevation models via a large number of two-sample multinomial problems | |
| B1605: K. Reluga, G. Claeskens, S. Sperlich | |
| Post-selection inference for linear mixed model parameters using the conditional Akaike information criterion |
| Session EO292 | Room: Virtual R23 |
| Methods for high-dimensional and non-standard data | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Enea Bongiorno | Organizer: Enea Bongiorno, Agnese Maria Di Brisco |
| B0756: M. Stefanucci, A. Canale, M. Bernardi | |
| Locally sparse function-on-function regression | |
| B1215: K.L.L. Chan, E. Bongiorno, A. Goia | |
| Evaluating the complexity of a functional time series | |
| B0783: L. Kontoghiorghes, A. Colubi | |
| Measuring and comparing statistically the importance of terms in documents based on topic modelling |
| Session EO428 | Room: Virtual R24 |
| Quantitative methods for health disparities research | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Rebecca Betensky | Organizer: Rebecca Betensky |
| Session EO589 | Room: Virtual R25 |
| Spatial models for disease surveillance | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Andrew Lawson | Organizer: Mahmoud Torabi |
| B0438: A. Lawson, J. Kim | |
| Bayesian space-time SIR modeling of Covid19 in SC, USA | |
| B0628: A. Schmidt | |
| Zero-state coupled Markov switching count models for spatio-temporal infectious disease counts | |
| B0181: A. Corberan-Vallet, K.C. Florez, I.C. Marino, J.D. Bermudez | |
| Spatial analysis of measles in Colombia using a Bayesian model that allows for risk estimation and cluster detection |
| Session EO722 | Room: Virtual R26 |
| Recent advances in Bayesian methods | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Andres Barrientos | Organizer: Andres Barrientos |
| B0356: M. Heiner, A. Kottas | |
| Autoregressive density modeling with the Gaussian process mixture transition distribution | |
| B0544: R. Liu | |
| Efficient in-situ image compression through probabilistic image representation | |
| B1008: M. Jauch, A.F. Barrientos, V. Pena, D. Matteson | |
| Mixture representations for likelihood ratio ordered distributions |
| Session EO782 | Room: Virtual R27 |
| Spatial and spatio-temporal data science | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Miryam Sarah Merk | Organizer: Miryam Sarah Merk, Philipp Otto |
| B0510: O. Dogan, S. Taspinar, Y. Yang | |
| Model selection and model averaging for matrix exponential spatial models | |
| B0575: P. Maranzano, A. Fasso, P. Otto | |
| An adaptive-LASSO algorithm for feature selection in functional spatiotemporal models | |
| B1349: M.S. Merk, P. Otto | |
| Directional spatial autoregressive dependence in the conditional first- and second-order moments |
| Session EO336 | Room: Virtual R28 |
| Advanced methods for time series | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Bouchra Nasri | Organizer: Bouchra Nasri |
| B0343: M. Ghannam, S. Nkurunziza | |
| Shrinkage estimators in tensor regression with change-points | |
| B0624: M. Thioub, B. Nasri, B.N. Remillard | |
| Goodness of fit for regime-switching copula models with application to option pricing | |
| B1127: V. Leos Barajas | |
| Spatially-coupled hidden Markov models |
| Session EO274 | Room: Virtual R29 |
| Statistical methods for streaming data | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Michelle Miranda | Organizer: Michelle Miranda |
| B1572: J. Morris, Y.E. Zohner | |
| Quantile functional regression for high dimensional data streams | |
| B1619: Y. Zhang, X. Chen, Z. Lai, H. Li | |
| Online statistical inference for stochastic optimization | |
| B1718: L. Kong | |
| Damped Anderson mixing for deep reinforcement learning: Acceleration, convergence, and stabilization |
| Session EO188 | Room: Virtual R36 |
| Lifetime data analysis: Survival and reliability | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Mariangela Zenga | Organizer: Juan Eloy Ruiz-Castro, Mariangela Zenga |
| B1235: P. Ramirez Cobo, R. Lillo, P. de la Concepcion Morales | |
| Analysis of recurrence times by the Markovian arrival process: An application to survival cancer data | |
| B1341: M. Restaino, F. Giordano | |
| Feature selection for competing risks model in high and ultra-high dimensions | |
| B1435: F. Porro, M. Restaino, J.E. Ruiz-Castro, M. Zenga | |
| Identifying the determinants of soccer coach turnover in Italian League Serie A |
| Session EO232 | Room: Virtual R37 |
| Computational advancements in survey sampling | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Maria Michela Dickson | Organizer: Maria Michela Dickson |
| B0353: L.-C. Zhang | |
| Targeted or lagged walk sampling for estimation of finite-order graph parameters | |
| B0573: G. Chauvet | |
| Simplified variance estimation for multistage sample surveys | |
| B0825: F. Pantalone, R. Benedetti, M.M. Dickson, G. Espa, F. Piersimoni | |
| Simultaneously selection of balanced and spatially balanced samples by means of simulated annealing |
| Session EO575 | Room: Virtual R38 |
| Stochastic process models and their inference | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Michael Wiper | Organizer: Michael Wiper |
| B0571: M. Wiper, A.P. Palacios, J.M. Marin | |
| A stochastic model for multiple bacteria growth curves based on the random telegraph process | |
| B1421: M. Gonzalez Velasco, C. Minuesa Abril, I.M. del Puerto | |
| Controlled branching processes: Estimation based on ABC-SMC methodology | |
| B1482: J.M. Marin, M. Wiper, F. Ruggeri | |
| A gamma process application to microorganisms population modelling |
| Session EO342 | Room: Virtual R39 |
| Recent developments in statistical network analysis | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Jonathan Stewart | Organizer: Jonathan Stewart |
| B0539: V. Lyzinski, K. Pantazis, A. Athreya, J. Arroyo, W. Frost, E. Hill | |
| The importance of being correlated: Implications of dependence in joint spectral inference across multiple networks | |
| B0893: E. Kolaczyk, X. Zhu | |
| On the asymptotics of temporal motif estimation via sampling | |
| B1292: J. Stewart | |
| Estimating random graph models from observed subgraphs |
| Session EO513 | Room: Virtual R40 |
| False confidence, unverifiable assumptions: Foundations matter | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Peter Grunwald | Organizer: Peter Grunwald |
| B0748: C. Hennig | |
| How to think about model assumptions | |
| B0863: R. Martin | |
| False confidence, imprecise probability, and valid statistical inference | |
| B1156: P. Grunwald | |
| Evidence and the optional continuation principle |
| Session EO838 | Room: K0.16 (Hybrid 02) |
| Statistical methods for environmental health data (virtual) | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Carolina Euan | Organizer: Carolina Euan |
| B0410: I. Martinez-Hernandez | |
| Changepoint detection for home activity count data: A functional approach | |
| B1062: C. Anderson | |
| Spatial disaggregation of disease count data | |
| B1073: L. Bondi, M. Bonetti, M. Pagano | |
| Optimal estimation of the sparsity index in Poisson size-biased sampling |
| Session EO611 | Room: K0.19 (Hybrid 04) |
| Single-cell resolution image analysis | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Simon Vandekar | Organizer: Simon Vandekar |
| B0798: C. Harris, E. McKinley, J. Roland, Q. Liu, M. Shrubsole, K. Lau, R. Coffey, J. Wrobel, S. Vandekar | |
| Computational tools to quantify and correct slide-to-slide variation in multiplexed immunofluorescence images | |
| B0907: I. Chervoneva | |
| Quantification of spatial interaction between cancer and immune cells | |
| B1096: J. Wrobel, S. Vandekar, C. Harris | |
| Bioconductor infrastructure for analyzing multiplex single cell imaging data in R |
| Session EO098 | Room: K0.20 (Hybrid 05) |
| Statistical methods for high dimensional neuroimaging data II (Virtual) | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: John Kornak | Organizer: John Kornak |
| B0948: M. Guerrero, R. Huser, H. Ombao | |
| Club Exco: Clustering brain extreme communities from multi-channel EEG data | |
| B1148: X. Tang, L. Li | |
| Multivariate temporal point process regression | |
| B0223: A. Chen, R. Shinohara, H. Shou | |
| Similarity-based multimodal regression |
| Session EC870 | Room: Virtual R35 |
| Contributions in compositional data analysis | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Karel Hron | Organizer: CFE-CMStatistics |
| B0287: L. Morrill, F. Markowetz | |
| Compositional models for mutational signature analysis | |
| B1471: J. Machalova, K. Hron | |
| Approximation of density functions using compositional splines with optimal knots | |
| B0866: G. Gloor | |
| Correlations at the margins cannot be rescued by estimation |
| Session EC873 | Room: K2.41 (Hybrid 09) |
| Graphical models and networks (virtual) | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Ana Belen Ramos-Guajardo | Organizer: CFE-CMStatistics |
| B1282: F. Bayer, G. Moffa, N. Beerenwinkel, J. Kuipers | |
| Estimating the normalizing constant in Bayesian networks | |
| B1553: F. Vieira, J. Mulder, R. Leenders, D. McFarland | |
| Bayesian mixed-effect models for independent dynamic social network data | |
| B1434: J.J. Cai, D. Yang, W. Zhu, H. Shen, L. Zhao | |
| Network regression and supervised centrality estimation |
| Session EG061 | Room: K0.18 (Hybrid 03) |
| Contributions in clustering complex data | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Faicel Chamroukhi | Organizer: CFE-CMStatistics |
| B1651: S. Columbu, J. Vermunt | |
| Multilevel latent class models for cross-classified data | |
| B1524: F. Chamroukhi, N.-T. Pham, V.H. Hoang, G. McLachlan | |
| Mixtures-of-experts with functional predictors | |
| B1577: S. Brivet, F. Chamroukhi, M. Coates, R. Forghani, P. Savadjiev | |
| Model-based clustering of dual-energy CT images for tumor analysis |
| Parallel session J: CFE | Sunday 19.12.2021 | 16:10 - 17:25 |
| Session CI014 (Special Invited Session) | Room: K E. Safra (Multi-use 01) |
| Advances in macro and finance (virtual) | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Martin Wagner | Organizer: Martin Wagner |
| A0728: M.M. Andreasen | |
| Robustifying inference of DSGE models estimated by filtering methods | |
| A0775: J. Chan | |
| Large order-invariant bayesian vars with stochastic volatility |
| Session CO050 | Room: Virtual R18 |
| Heterogeneous and nonlinear dynamics in panels | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Peter Pedroni | Organizer: Peter Pedroni |
| A1726: B. Ntsafack, P. NCho, P. Pedroni | |
| The macro stabilization role of migrants FDI contributions and wage remittances | |
| A1724: P. NCho | |
| Monetary policy effectiveness the case of an economic and monetary Union with a fixed exchange rate | |
| A1720: P. Pedroni | |
| Using heterogeneous panels to estimate nonlinear VAR dynamics |
| Session CO442 | Room: Virtual R32 |
| Developments in cryptocurrency and blockchain | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Marco Lorusso | Organizer: Marco Lorusso, Francesco Ravazzolo |
| A0822: P. De Pace, J. Rao | |
| Conditional tail dependence between major cryptocurrencies and other major assets | |
| A0995: G. Dwyer, P. Jin | |
| Trading and arbitrage with stablecoins | |
| A1095: D. Bianchi, M. Babiak | |
| A factor model for cryptocurrency returns |
| Session CO677 | Room: Virtual R33 |
| Copula-based multivariate time series models | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Aleksey Min | Organizer: Aleksey Min |
| A0692: B.N. Remillard, B. Nasri, T. Bahraoui | |
| Change-point problems for multivariate time series using pseudo-observations | |
| A1089: A. Derumigny, J.-D. Fermanian | |
| Conditional empirical copula processes and generalized measures of association | |
| A0495: A. Min, A. Buecher, M. Jaser | |
| Detecting departures from meta-ellipticity for multivariate stationary time series |
| Session CO663 | Room: Virtual R34 |
| High-dimensionality and sparsity | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Anders Kock | Organizer: Anders Kock |
| A1313: K. Salehzadeh Nobari, A. Kock, A. Gibberd | |
| High-dimensional generalized least squares | |
| A1692: M. Caner | |
| Generalized linear models with structured sparsity estimators | |
| A1545: R. Masini, M. Medeiros, R.P. Masini | |
| Bridging factor and sparse models |
| Session CG033 | Room: Virtual R30 |
| Contributions in financial econometrics I | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Christos Savva | Organizer: CFE |
| A0302: C. Savva, H. Nyberg | |
| Risk-return tradeoff in international stock returns: Skewness and business cycles | |
| A1767: P. Jaworski | |
| Rates of return on stock prices: Impact of ESG measures |
| Session CG009 | Room: Virtual R31 |
| Contributions in monetary policies | Sunday 19.12.2021 16:10 - 17:25 |
| Chair: Nektarios Michail | Organizer: CFE-CMStatistics |
| A1477: M.S. Miescu | |
| Forward guidance and conventional monetary policy shocks: Identification and assessment | |
| A0212: N. Michail | |
| On the effectiveness of quantitative easing in the US | |
| A0850: M. Cremona, F. Severino, E. Dadie | |
| COVID-19 effects on the Canadian term structure of interest rates |
| Parallel session K: CMStatistics | Sunday 19.12.2021 | 17:35 - 19:15 |
| Session EO816 | Room: Virtual R21 |
| Developments in output analysis for Markov chain Monte Carlo | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: James Flegal | Organizer: James Flegal |
| B0514: K.W. Chan, M.F. Leung | |
| Beyond optimal online variance estimation in time series | |
| B0681: M. Riabiz, W.Y. Chen, J. Cockayne, P. Swietach, S. Niederer, C. Oates | |
| Optimal thinning of MCMC output | |
| B0790: V. Roy | |
| Convergence of position-dependent MALA with application to conditional simulation in GLMMs | |
| B0816: J. Flegal, D. Vats | |
| Lugsail lag windows for estimating time-average covariance matrices |
| Session EO116 | Room: Virtual R22 |
| Estimation and inference for precision medicine | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Erica Moodie | Organizer: Erica Moodie |
| B0462: Y. Zhao | |
| Estimation and inference on high-dimensional individualized treatment rule in observational data | |
| B0587: M. Davidian | |
| Estimation of optimal treatment regimes with censored time-to-event outcome: A classification perspective | |
| B1065: D. Stephens | |
| Bayesian semiparametric approaches to tailoring strategies | |
| B1091: N. Kallus | |
| Post-contextual-bandit inference |
| Session EO086 | Room: Virtual R23 |
| Recent advances in optimal experimental design | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Saumen Mandal | Organizer: Saumen Mandal |
| B1560: H. Wynn, F. Rapallo, R. Fontana | |
| Circuit bases in optimal experimental design and randomization | |
| B1725: J. Zhou | |
| Computing optimal regression designs with multiple objectives | |
| B1616: P. Yang | |
| Bayesian optimal designs with high prediction efficiency | |
| B1704: S. Ghosh | |
| Binary response models comparison using the alpha-Chernoff divergence measure and exponential integral functions |
| Session EO607 | Room: Virtual R24 |
| Advance statistical tools for modern high dimensional data | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Shubhadeep Chakraborty | Organizer: Shahina Rahman |
| B1358: Z. Szabo | |
| Vector-valued infinite task learning in style transfer | |
| B1418: K. Gregory | |
| Solution path based variable selection | |
| B1438: S. Karmakar | |
| Long-term prediction for high-dimensional regression | |
| B1578: S. Rahman, S. Subbarao, V. Johnson | |
| A fast and automated clustering of large scale high dimensional data: Application to scRNA-seq data |
| Session EO384 | Room: Virtual R25 |
| Geometry and topology in statistics and machine learning | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Wolfgang Polonik | Organizer: Wolfgang Polonik |
| B0640: K. Balasubramanian | |
| Fractal Gaussian networks: A sparse random graph model based on gaussian multiplicative chaos | |
| B1034: W. Qiao | |
| Confidence regions for filamentary structures | |
| B1479: S. Mukherjee | |
| Modeling shapes and fields | |
| B1674: E. Arias-Castro | |
| On using graph distances to estimate euclidean and related distances |
| Session EO244 | Room: Virtual R26 |
| Modern advanced statistical methods in biomedical research | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Esra Kurum | Organizer: Shujie Ma |
| B0616: E. Kurum, D. Nguyen, D. Senturk | |
| Multilevel joint modeling of hospitalization and survival in patients on dialysis | |
| B1177: A. Yuan, A. Yin, M. Tan | |
| Enhanced doubly robust procedure for causal inference | |
| B1218: Y. Peng | |
| Identifying treatment-sensitive subgroups based on multiple covariates and longitudinal measurements | |
| B1450: K. Huang, S. Ma | |
| Convolutional neural networks estimation via Lipschitz loss functions with applications to biomedical studies |
| Session EO340 | Room: Virtual R27 |
| Advances in longitudinal data analysis | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Sanjoy Sinha | Organizer: Sanjoy Sinha |
| B0341: S. Sinha | |
| Robust analysis of longitudinal mixed binary and count responses | |
| B0406: X. Xu | |
| Optimal planning for ordered logit and ordered probit models | |
| B0697: T. Hasan, R. Chowdhury | |
| Modelling big data to predict trajectories of repeated binary outcomes | |
| B0708: L. Zeng | |
| Statistical methods for clustered longitudinal binary data |
| Session EO372 | Room: Virtual R28 |
| Advances in network analysis and clustering | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Anderson Ye Zhang | Organizer: Anderson Ye Zhang |
| Session EO206 | Room: Virtual R29 |
| Robust causal inference | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Zijian Guo | Organizer: Zijian Guo |
| B0471: D. Rothenhaeusler, J. Gimenez | |
| Causal aggregation: Estimation and inference of causal effects by constraint-based data fusion | |
| B0645: S. Li, Z. Guo | |
| Causal inference for nonlinear outcome models with possibly invalid instrumental variables | |
| B0615: X. Liang | |
| Agglomerative hierarchical clustering for selecting valid instrumental variables | |
| B1149: L. Wang, X. Zhang, S. Volgushev, D. Kong | |
| Ultra-high dimensional learning of polygenic risk scores for mendelian randomization studies |
| Session EO529 | Room: Virtual R30 |
| New developments on data depth and its applications | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Sara Lopez Pintado | Organizer: Sara Lopez Pintado |
| B0319: A. Nieto-Reyes, G. Francisci, C. Agostinelli | |
| The enlarged simplicial depth | |
| B1416: G. Staerman, P. Mozharovskyi | |
| A pseudo-metric between probability distributions based on depth-trimmed regions | |
| B1382: S. Lopez Pintado | |
| Statistical data depth and its applications to health sciences | |
| B1489: G. Van Bever, S. Nagy, P. Ilmonen, S. Helander, L. Viitasaari | |
| Flexible integrated functional depths |
| Session EO082 | Room: Virtual R31 |
| New directions in functional and high-dimensional data analysis | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Alessia Caponera | Organizer: Alexander Aue |
| B0371: M. Lopes, Z. Lin, H.-G. Mueller | |
| High-dimensional MANOVA via bootstrapping and its application to functional and sparse count data | |
| B0633: D. Senturk | |
| Multilevel hybrid principal components analysis forregion-referenced functional EEG data | |
| B0637: W.-K. Seo | |
| Functional principal component analysis of cointegrated functional time series | |
| B0290: J. Aston, E. Lila | |
| Functional data analysis in constrained spaces |
| Session EO689 | Room: Virtual R32 |
| Advances in clustering, network analysis, and multivariate statistics | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Joshua Cape | Organizer: Joshua Cape |
| B1370: G. Allen | |
| Fast and interpretable consensus clustering via minipatch learning | |
| B0710: Y. Fan, X. Han, Q. Yang | |
| Universal rank inference via residual subsampling with application to large networks | |
| B1620: S. Stein, C. Leng | |
| A sparse random graph model for sparse directed networks | |
| B1051: J. Bryan, P. Hoff | |
| The multirank likelihood for semiparametric CCA |
| Session EO746 | Room: Virtual R35 |
| Computational statistical methods for environmental sciences | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Seiyon Lee | Organizer: Seiyon Lee |
| B1152: Y. Guan, M. Haran | |
| Fast expectation-maximization algorithms for spatial generalized linear mixed models | |
| B1258: L. Zhang, M. Risser, B. Shaby | |
| Spatial scale-aware tail dependence modeling for high-dimensional spatial extremes | |
| B1270: R. MacDonald, S. Lee | |
| Flexible basis representations for modeling high-dimensional hierarchical spatial data using adaptive resolution tuning | |
| B1291: J. Hewitt, R. Schick, A. Gelfand | |
| Continuous-time discrete-space (CTDS) movement models over two- and three-dimensional space |
| Session EO748 | Room: Virtual R36 |
| Statistical theory for machine learning methods | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Michael Vogt | Organizer: Michael Vogt |
| B0384: S. Langer | |
| Evading the curse of dimensionality in nonparametric regression with deep neural networks | |
| B0887: N. Muecke | |
| Benign overfitting in distributed learning | |
| B0970: S. Basu | |
| Graphical models for stationary time series | |
| B1277: C. Breunig | |
| Average derivative estimation with bayesian decision tree ensembles |
| Session EO533 | Room: Virtual R37 |
| Projection pursuit II | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Nicola Loperfido | Organizer: Nicola Loperfido |
| B0861: Z. Landsman | |
| Portfolio optimization by a bivariate functional of the mean and variance | |
| B0889: T. Shushi | |
| The tail risk projection: From multivariate risk measures to projection pursuit | |
| B0567: U. Laa, D. Cook, A. Buja, G. Valencia | |
| Section pursuit | |
| B0835: N. Loperfido | |
| Asymmetric projection pursuit for classification |
| Session EO160 | Room: K0.16 (Hybrid 02) |
| Bayesian nonparametrics and semiparametrics with applications | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Michael Daniels | Organizer: Michael Daniels |
| B0391: M. Josefsson, M. Daniels, S. Pudas | |
| A Bayesian semi-parametric approach for inference on the PPCM from longitudinal data with dropout | |
| B1017: B. Betancourt | |
| A prior based on allelic partitions for record linkage applications | |
| B0894: A. Oganisian, N. Mitra, J. Roy | |
| Hierarchical Bayesian bootstrap for heterogeneous treatment effect estimation | |
| B1121: A. Linero | |
| In nonparametric and high-dimensional models, ignorability is an informative prior |
| Session EO479 | Room: K0.18 (Hybrid 03) |
| Recent advances in change point analysis | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: George Michailidis | Organizer: George Michailidis |
| B1589: A. Kaul, G. Michailidis | |
| Inference for change points in high dimensional mean shift models | |
| B1667: H. Li | |
| Optimistic search strategy in change point detection for large-scale data | |
| B1697: A. Safikhani | |
| Inference for location of change points in high-dimensional non-stationary vector auto-regressive models | |
| B1700: G. Michailidis | |
| Multiple change point detection in high dimensional data streams via the doubling algorithm |
| Session EO489 | Room: K0.19 (Hybrid 04) |
| Recent advances in copula methods (virtual) | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Radu Craiu | Organizer: Radu Craiu |
| B0295: C. Grazian, L. Dalla Valle, B. Liseo | |
| Approximate Bayesian conditional copulas | |
| B0303: B. Nasri | |
| Test of serial dependence for multivariate time series with arbitrary distributions | |
| B1222: J. Blanchet | |
| Statistics of Wasserstein distributionally robust estimators | |
| B1279: R. Zimmerman, V. Leos Barajas, R. Craiu | |
| Copula modelling of serially correlated multivariate data with hidden structures |
| B0403: I. Epifanio, A. Alcacer, J. Valero, A. Ballester | |
| Combining user-based collaborative filtering and classification for matching footwear size | |
| B0663: B. Gruen, G. Malsiner-Walli, S. Fruehwirth-Schnatter | |
| How many data clusters are in the Galaxy data set: Bayesian cluster analysis in action | |
| B0906: C. Tortora, H. Tong, L. Tran | |
| On clustering and outlier detection with missing data | |
| B0812: M. Marbac, M. Sedki, C. Biernacki, V. Vandewalle | |
| Simultaneous semi-parametric estimation of clustering and regression |
| Session EO398 | Room: K2.40 (Hybrid 08) |
| Recent advances in Bayesian approaches to neuroimaging | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Aaron Scheffler | Organizer: Aaron Scheffler |
| B0613: J. Kornak, K. Young, E. Friedman | |
| Bayesian image analysis in Fourier space models and some relationships with Markov random fields | |
| B0730: R. Guhaniyogi, A. Scheffler | |
| New ideas on Bayesian data sketching | |
| B1220: M. Guindani | |
| Bayesian time-varying tensor vector autoregressive models for dynamic effective connectivity | |
| B0473: A. Scheffler, R. Guhaniyogi, R. Marquez | |
| A Bayesian regression framework for brain imaging data with multiple structural- and network-valued predictors |
| Session EO452 | Room: K2.31 Nash (Hybrid 07) |
| Spatio-temporal modeling of infectious diseases (virtual) | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Andrew Lawson | Organizer: Andrew Lawson |
| B0470: R. Deardon | |
| Behavioural change in spatial epidemic models | |
| B0882: J. Kim, A. Lawson | |
| Comparison of Bayesian spatio-temporal models in the infectious disease outbreak surveillance | |
| B1141: D. Gamerman, M. Prates, S. Faria, M. Castro | |
| A latent spatial model for pandemic prediction | |
| B1406: B. Sartorius, A. Browne, M. Chipeta, F. Fell, S. Hackett, G. Haines-Woodhouse, B. Kashef Hamadani, E. Kumaran, C. Moore, C. Dolecek | |
| Global space-time mapping of antimicrobial-resistance among selected priority bacterial pathogens, 2000-2019 |
| Session EG021 | Room: Virtual R18 |
| Contributions in Bayesian statistics I | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Antonio Canale | Organizer: CFE-CMStatistics |
| B0953: E.L. Sanjuan, M.I. Parra Arevalo, M.M. Pizarro, J. Martin Jimenez | |
| Baseline methods for estimating the parameters of Generalized Pareto distributions | |
| B1311: C. Salvatore, S. Biffignandi, J. Sakshaug, A. Wisniowski, B. Struminskaya | |
| A Bayesian approach for combining probability and non-probability samples for analytic inference | |
| B1669: V. Geels, M. Pratola, R. Herbei | |
| The taxicab sampler: MCMC for discrete spaces with application to tree models | |
| B1643: S. Mildiner Moraga, E. Aarts | |
| A Bayesian multilevel hidden Markov model with time-varying covariates for multivariate count time series |
| Parallel session K: CFE | Sunday 19.12.2021 | 17:35 - 19:15 |
| Session CO539 | Room: Virtual R33 |
| Empirical aspects of cryptocurrency markets | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Pierangelo De Pace | Organizer: Pierangelo De Pace |
| A0712: S. Lee, M. Gronwald, S. Wadud, R.B. Durand, Y. Zhao | |
| Measuring cryptocurrency price co-movement using a thick pen | |
| A0987: M. Lorusso, F. Ravazzolo, S. Grassi | |
| Heterogeneous agents and cryptocurrency | |
| A1090: M. Benetton, G. Compiani | |
| Investors' beliefs and cryptocurrency prices | |
| A1457: L. Kristoufek | |
| Diversification among cryptoassets: Bitcoin maximalism, active portfolio management, and survival bias |
| Session CO164 | Room: Virtual R34 |
| Impulse responses | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Michael Owyang | Organizer: Michael Owyang |
| A0238: A. Lusompa | |
| Local projections, autocorrelation, and efficiency | |
| A0405: A. Paccagnini, F. Parla | |
| Identifying high-frequency shocks in nonlinear models | |
| A1059: A.M. Herrera, E. Pesavento, S. Goncalves, L. Kilian | |
| Impulse response analysis for structural dynamic models with nonlinear regressors | |
| A0494: D. Soques, N. Francis, M. Owyang | |
| Impulse response functions in a self-exciting world |
| Session CO040 | Room: Virtual R38 |
| Econometric methods for high-frequency data | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Massimiliano Caporin | Organizer: Massimiliano Caporin |
| A0237: Z. Simon, F. Abdi, E. Kormanyos, L. Pelizzon, M. Getmansky Sherman | |
| A modern take on market efficiency: The impact of Trump's tweets on financial markets | |
| A0241: F. Poli, M. Caporin, O. Cepni, A.F. Aysan | |
| Not all words are equal: Sentiment and jumps in cryptocurrency market | |
| A0504: D. Pirino, A. Kolokolov, G. Livieri | |
| Testing for endogeneity of irregular sampling schemes | |
| A0738: M. Caporin, G. Storti | |
| A model-based spillover index |
| Session CO362 | Room: Virtual R39 |
| Time series econometrics | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Josu Arteche | Organizer: Josu Arteche |
| A0572: C. Velasco, I. Lobato | |
| Single step estimation of ARMA roots for non-fundamental nonstationary fractional models | |
| A0758: J. Arteche | |
| Local bootstrap in long memory time series | |
| A0963: P. Sibbertsen, V. Less | |
| Testing for multiple structural breaks in multivariate long memory time series | |
| A1324: J. Sapena, M. Camarero, C. Tamarit | |
| A state-space frame for modelling time-varying parameters in panels: An applicacion to the Okun's law |
| Session CO322 | Room: Virtual R40 |
| highfrequency | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Onno Kleen | Organizer: Kris Boudt, Onno Kleen |
| A0393: N. Bouamara, K. Boudt, S. Laurent, C. Neely | |
| Sluggish news reactions: A combinatorial approach for synchronizing stock jumps | |
| A0848: M. Stollenwerk | |
| Probability distributions for realized covariance matrices | |
| A1014: A. Tetereva | |
| Forecasting realized correlations: A MIDAS approach | |
| A0469: K. Boudt, K. Dragun, O. Sauri, S. Vanduffel | |
| Beta-adjusted covariance estimation |
| Session CC867 | Room: K2.41 (Hybrid 09) |
| Contributions in forecasting | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Richard McGee | Organizer: CFE |
| A1768: S. Pybis, M. Stamatogiannis, O. Henry, M. Ferrer Fernandez | |
| Can we forecast better in periods of low uncertainty: The role of technical indicators | |
| A1608: R. McGee, T. Post, V. Poti | |
| Option-implied physical probabilities | |
| A1556: L. Hanus, J. Barunik | |
| Probabilistic forecasting with machine learning and big data | |
| A1662: M.M. Vich Llompart, A. Vaello Sebastia | |
| On the ability of risk-neutral densities to forecast the direction of change |
| Session CG031 | Room: Virtual R20 |
| Contributions in applied financial econometrics | Sunday 19.12.2021 17:35 - 19:15 |
| Chair: Kurt Lunsford | Organizer: CFE |
| A0193: K. Lunsford | |
| Advance layoff notices and aggregate job loss | |
| A1269: M. Moessler | |
| Stability of fundamental parity conditions in international finance | |
| A0232: M. Lof, P. Jylha | |
| Mind the Basel gap | |
| A0737: S. Wadud, M. Gronwald, R.B. Durand, S. Lee | |
| Co-movement between commodity and equity markets revisited: An application of the Thick Pen method |
| Parallel session M: CMStatistics | Monday 20.12.2021 | 08:15 - 09:30 |
| Session EO126 | Room: Virtual R20 |
| Theory and computation in inference for stochastic processes | Monday 20.12.2021 08:15 - 09:30 |
| Chair: Hiroki Masuda | Organizer: Hiroki Masuda |
| B0451: I. Muni Toke | |
| Hawkes processes with a state-dependent factor | |
| B0982: K. Kamatani | |
| Scaling limit of some piecewise deterministic Markov processes via multi scale analysis | |
| B1403: A. Gloter, C. Amorino, C. Dion, S. Sarah Lemler | |
| Nonparametric inference of coefficients of self-exciting jump-diffusion processes |
| Session EO090 | Room: Virtual R21 |
| Statistical models for survival data I | Monday 20.12.2021 08:15 - 09:30 |
| Chair: Marialuisa Restaino | Organizer: Marialuisa Restaino |
| B0218: C. Acal, J.E. Ruiz-Castro | |
| A new cut-point PH-distribution to fit a Survival data set | |
| B0530: P. Blanche, T. Scheike | |
| The underrecognized potential of logistic regression to analyze survival data from clinical trials | |
| B0871: C. Moreira, J. de Una-Alvarez, R. Crujeiras | |
| New tools for analyzing doubly truncated data |
| B1517: E. Yarovaya | |
| Stochastic evolution of particle systems for branching random walks in non homogeneous and homogeneous environments | |
| B1478: C. Minuesa Abril, P. Braunsteins, S. Hautphenne | |
| Estimation of the carrying capacity in branching processes via weighted least square estimation | |
| B1519: V. Kutsenko, E. Yarovaya | |
| Comparing numerical results for branching random walks in non random and random media |
| Session EO555 | Room: Virtual R23 |
| Beliefs, risk and uncertainty in artificial intelligence II | Monday 20.12.2021 08:15 - 09:30 |
| Chair: Davide Petturiti | Organizer: Davide Petturiti, Barbara Vantaggi |
| B0529: M. Nendel | |
| Markovian dynamics under Wasserstein uncertainty | |
| B0760: T. Augustin | |
| Generalised measurement error models | |
| B0763: I. Montes | |
| Aggregation of comonotone risks using robust distribution functions |
| Session EO246 | Room: Virtual R24 |
| Some recent results on statistical modelling | Monday 20.12.2021 08:15 - 09:30 |
| Chair: Geoffrey McLachlan | Organizer: Geoffrey McLachlan |
| B1508: H. Nguyen | |
| Finite sample inference for nonlinear autoregressive models | |
| B1497: S. Lee | |
| A selective survey of mixture models with flexible distributions | |
| B1529: D. Ahfock, M. Zhu | |
| Statistical modelling with noisy labels: An application to fraud detection |
| Session EO358 | Room: Virtual R26 |
| Data science and cybersecurity | Monday 20.12.2021 08:15 - 09:30 |
| Chair: Clara Grazian | Organizer: Clara Grazian |
| B0428: N. Heard | |
| Cluster analysis of hacker groups from terminal commands issued in honeypots | |
| B0636: Y. Wang, C. Grazian | |
| Assessing the invertibility of deep biometric representation |
| Session EO380 | Room: Virtual R28 |
| Functional and high-dimensional data analysis | Monday 20.12.2021 08:15 - 09:30 |
| Chair: Jeng-Min Chiou | Organizer: Jeng-Min Chiou |
| B1408: Y. Araki | |
| Functional survival analysis with convex clustering | |
| B1748: Y. Kim | |
| Bayesian deep neural networks: Optimality and adaptivity | |
| B1243: H. Matsui | |
| Truncated estimation for varying-coefficient functional linear models |
| Session EO802 | Room: Virtual R34 |
| Bayesian methods for extreme events | Monday 20.12.2021 08:15 - 09:30 |
| Chair: Isadora Antoniano-Villalobos | Organizer: Isadora Antoniano-Villalobos |
| B0755: T. Moins, S. Girard, J. Arbel, A. Dutfoy | |
| A Bayesian framework for Poisson process characterization of extremes with uninformative prior | |
| B0785: A. Canale, E. Zorzetto, M. Marani | |
| Bayesian non-asymptotic extreme value hierarchical models | |
| B1028: J. Koh, T. Opitz | |
| Spatiotemporal wildfire modeling through point processes with moderate and extreme marks |
| Session EC853 | Room: K E. Safra (Multi-use 01) |
| Multivariate and high-dimensional statistics (hybrid) | Monday 20.12.2021 08:15 - 09:30 |
| Chair: Ioulia Papageorgiou | Organizer: CFE-CMStatistics |
| B1604: I. Papageorgiou, S. Voutsinas | |
| Multivariate outlier detection with ICS and application to statistical quality control for autocorrelated data | |
| B1565: M. Bousebata, S. Girard, G. Enjolras | |
| Extreme partial least-squares regression | |
| B1312: A. Gibberd, S. Roy | |
| High-dimensional changepoint selection with fused graphical models |
| Session EG059 | Room: Virtual R25 |
| Contributions in Bayesian statistics II | Monday 20.12.2021 08:15 - 09:30 |
| Chair: Tomonari Sei | Organizer: CFE-CMStatistics |
| B1617: T. Sei, F. Komaki | |
| A correlation-shrinkage prior for the 2-dimensional Wishart model | |
| B1622: K. Yano, T. Okada | |
| Stochastic time-discrete SIR models and particle filtering | |
| B1624: D. Han, T. Choi | |
| Bayesian sparse seemingly unrelated regression model with variable and covariance selection |
| Session EG017 | Room: K0.19 (Hybrid 04) |
| Contributions in time-varying approaches | Monday 20.12.2021 08:15 - 09:30 |
| Chair: Tommaso Proietti | Organizer: CFE |
| B1212: Y. Bai | |
| Time-varying GMM estimation in structural time series models | |
| B1717: C. Grivas | |
| Testing For Exogeneity in Instrumental Variable Regressions: A Bootstrap Approach | |
| B1241: J. Wu, M. Karanasos, S. Yfanti | |
| Time-varying co-movements among financial and financialised assets: The cyclical variation of the cross-asset nexus |
| Parallel session M: CFE | Monday 20.12.2021 | 08:15 - 09:30 |
| Session CO780 | Room: Virtual R18 |
| Recent developments on statistical learning and its applications | Monday 20.12.2021 08:15 - 09:30 |
| Chair: Wei Zhou | Organizer: Wei Zhong |
| A0909: Y. Ge, X. Feng, X. He | |
| GSLM: Structure learning via unstructured kernel-based M-regression | |
| A1468: W. Zhou, W. Zhong | |
| Efficient learning of quadratic variance function directed acyclic graphs via topological layers | |
| A1532: X. Wang | |
| Censored quantile regression based on multiply robust propensity scores |
| Session CO220 | Room: Virtual R27 |
| EcoSta journal session I | Monday 20.12.2021 08:15 - 09:30 |
| Chair: Alessandra Amendola | Organizer: Erricos Kontoghiorghes |
| A0219: Y. Yan, J. Gao, B. Peng | |
| Nonparametric estimation for multivariate time-varying models: Theory and practice | |
| B1659: R. Brard, L. Bellanger, A. Stamm, P. Drouin, L. Chevreuil, F. DOISTAU | |
| Comparison of machine learning algorithms for an HAR problem using rotation times series data |
| Session CO048 | Room: Virtual R29 |
| Sustainable finance I | Monday 20.12.2021 08:15 - 09:30 |
| Chair: Michele Costola | Organizer: Monica Billio |
| A0392: M. Costola, K. Vozian | |
| Transition factors and market-implied credit risk | |
| A0449: S. Ramelli, M. Briere | |
| Green sentiment, stock returns and corporate behavior | |
| A0400: V. Cerasi, M. Manera, L. Bonacorsi | |
| ESG factors and firms' credit risk |
| Session CO168 | Room: Virtual R30 |
| Econometric forecasting | Monday 20.12.2021 08:15 - 09:30 |
| Chair: Robert Kunst | Organizer: Robert Kunst |
| A1310: I. Fortin, J. Hlouskova, L. Soegner | |
| Measuring uncertainty to identify financial instability | |
| A1365: R. Kunst, M. Costantini | |
| On the use of mean square error and directional forecast accuracy for model selection: A Monte Carlo investigation | |
| A0177: A. Volpicella, A. Carriero | |
| The Identifying information in the forecast error variance: An application to uncertainty shocks |
| Session CO617 | Room: Virtual R32 |
| Advances in econometrics | Monday 20.12.2021 08:15 - 09:30 |
| Chair: Catherine Forbes | Organizer: Catherine Forbes |
| A1227: R. Thompson | |
| Robust subset selection | |
| A1272: D. Zhu, J. Chan, A. Poon | |
| Efficient estimation of mixed-frequency state-space VARs: A precision-based approach | |
| A1548: J. Shi | |
| A sparse dynamic factor approach to mortality modelling |
| Session CC858 | Room: Virtual R33 |
| Contributions in econometric and financial modelling | Monday 20.12.2021 08:15 - 09:30 |
| Chair: Dennis Umlandt | Organizer: CFE |
| A1223: D. Umlandt, A.G. Gretener, M. Neuenkirch | |
| Dynamic mixture vector autoregressions with score-driven weights | |
| A1448: W. Wang, X. Kong, X. Yan | |
| Unobserved heterogeneity in factor-augmented panel quantile model | |
| A1551: P. Vallarino, A. Luati, L. Catania | |
| Modelling dynamic multiple quantiles with exogenous factors |
| Session CG013 | Room: Virtual R31 |
| Contributions in risk management | Monday 20.12.2021 08:15 - 09:30 |
| Chair: Consuelo Nava | Organizer: CFE |
| A1259: C. Nava, M.G. Zoia, M.D. Braga | |
| Risk parity strategy based on Kurtosis: Methodology and portfolio effects | |
| A1399: K. Yashiki | |
| To swing or not to swing: Reference point and professional baseball players | |
| B1647: D. Garcia Rasines, D. Rios Insua, R. Naveiro, S. Rodriguez, C.B. Guevara Maldonado | |
| Adversarial risk analysis for competitive business decisions with applications in banking |
| Parallel session N: CMStatistics | Monday 20.12.2021 | 10:00 - 11:15 |
| Session EO068 | Room: Virtual R18 |
| Methodological advancements in functional data models | Monday 20.12.2021 10:00 - 11:15 |
| Chair: Zhenhua Lin | Organizer: Alexander Petersen |
| B0446: Z. Lin, Y. Lin | |
| A unified approach for hypothesis testing in functional linear models | |
| B0786: S. Jiao, H. Ombao | |
| Filtrated common functional principal components of multi-group functional data | |
| B1677: V. Panaretos | |
| Random surface covariance estimation by shifted partial tracing |
| Session EO196 | Room: Virtual R20 |
| Some issues in biostatistics | Monday 20.12.2021 10:00 - 11:15 |
| Chair: Christiana Kartsonaki | Organizer: Christiana Kartsonaki |
| B1350: B. Goncalves | |
| Estimation of incidence of early-onset invasive Group B Streptococcus disease in infants using Bayesian methods | |
| B1359: E. Dankwa, M. Plummer, C. Kartsonaki | |
| Predicting Helicobacter pylori serostatus: a comparison of classification algorithms | |
| B1354: N. Wright | |
| Methods for analyses of recurrent events in cohort studies |
| Session EO084 | Room: Virtual R21 |
| Statistical models for survival data II | Monday 20.12.2021 10:00 - 11:15 |
| Chair: Marialuisa Restaino | Organizer: Marialuisa Restaino |
| B0884: S. Milito, M. Restaino, F. Giordano | |
| A variable selection method for high-dimensional survival data | |
| B0975: R. Braekers | |
| Using factor copula functions to model the association structure in right-censored survival data | |
| B1044: D. Dobler | |
| Randomizing relative treatment effects |
| B1539: M. Slavtchova-Bojkova, V. Simeonova | |
| Modelling of Covid'19 pandemic using Crump-Mode-Jagers branching processes with vaccination | |
| B1685: P. Martin-Chavez, M. Gonzalez Velasco, I.M. del Puerto | |
| Fluctuation limit theorem of critical controlled branching processes using limit theorems for martingale differences | |
| B1688: I.M. del Puerto, M. Gonzalez Velasco, M. Molina, G. Yanev, N. Yanev | |
| Randomly indexed controlled branching processes |
| Session EO252 | Room: Virtual R23 |
| EcoSta journal session II | Monday 20.12.2021 10:00 - 11:15 |
| Chair: Fabrizio Durante | Organizer: Erricos Kontoghiorghes |
| B1742: D. Pommeret | |
| K-sample test of copulas | |
| A1602: A. Mayer, D. Wied | |
| Estimation and inference in factor copula models with exogenous covariates | |
| B1784: Y. Kulagina, F. Balabdaoui, A. Kolar, L. Mueller | |
| Estimation of the complexity of a finite mixture distribution |
| Session EO288 | Room: Virtual R24 |
| Bayesian empirical likelihood-based inference methods | Monday 20.12.2021 10:00 - 11:15 |
| Chair: Anna Simoni | Organizer: Anna Simoni |
| B1463: C. Forbes | |
| Case influence diagnostics from Bayesian empirical likelihood posteriors | |
| B1574: S. MacEachern, E. Kim, M. Peruggia | |
| Empirical likelihood for designed experiments | |
| B1684: S. Chib, M. Shin, A. Simoni | |
| Bayesian estimation and comparison of conditional moment models |
| Session EO764 | Room: Virtual R25 |
| Recent advances in high-dimensional statistics | Monday 20.12.2021 10:00 - 11:15 |
| Chair: Jun Song | Organizer: Jun Song |
| Session EO310 | Room: Virtual R26 |
| Advances in optimal design of experiments II | Monday 20.12.2021 10:00 - 11:15 |
| Chair: Victor Casero-Alonso | Organizer: Victor Casero-Alonso, Juan M Rodriguez-Diaz |
| B0759: K. Mylona, S. Gilmour, P. Goos | |
| Precise pure-error estimation of the variance components in optimal split-plot designs | |
| B0959: J.M. Rodriguez-Diaz | |
| Analysis of the covariance structure from the point of view of design in time-depending multiresponse models | |
| B1012: S. Pozuelo Campos, M. Amo-Salas, V. Casero-Alonso | |
| Robust designs for toxicological test |
| Session EO128 | Room: Virtual R34 |
| Off-the-grid methods for nonparametric estimation | Monday 20.12.2021 10:00 - 11:15 |
| Chair: Cristina Butucea | Organizer: Cristina Butucea |
| B0537: C. Marteau | |
| SuperMix: Sparse regularization for mixtures | |
| B0923: R. Petit, V. Duval, Y. De Castro | |
| An off-the-grid method for the recovery of piecewise constant images in linear inverse problems | |
| B1136: C. Hardy | |
| Sparse dictionary learning |
| Session EG093 | Room: K E. Safra (Multi-use 01) |
| Contributions in copulas and dependence modelling (hybrid) | Monday 20.12.2021 10:00 - 11:15 |
| Chair: Alexandra Dias | Organizer: CFE-CMStatistics |
| B1515: A. Wolny-Dominiak, T. Zadlo | |
| The accuracy of claim severity prediction using longitudinal data | |
| B1628: M. Nai Ruscone, D. Karlis | |
| Robustness methods for modeling count data with general dependence structures | |
| B1660: A. Dias | |
| On the pseudo-likelihood estimator for copula models parameters |
| Parallel session N: CFE | Monday 20.12.2021 | 10:00 - 11:15 |
| Session CO030 | Room: Virtual R28 |
| Graphical models and networks analysis in financial applications | Monday 20.12.2021 10:00 - 11:15 |
| Chair: Sandra Paterlini | Organizer: Sandra Paterlini |
| A0207: P. Caraiani | |
| The impact of macroeconomic shocks on corporate investments | |
| A0650: S. Paterlini, R. Riccobello, M. Bogdan, G. Bonaccolto, P.J. Kremer | |
| Sparse graphical modelling via the sorted l1 - norm | |
| A0455: K. Bax, E. Taufer, S. Paterlini | |
| A generalized precision matrix for t-Student distributions |
| Session CO258 | Room: Virtual R29 |
| Sustainable finance II | Monday 20.12.2021 10:00 - 11:15 |
| Chair: Michele Costola | Organizer: Monica Billio |
| A0576: C. Latino, J. Kapraun, C. Scheins, C. Schlag | |
| (In)-credibly green: Which bonds trade at a green bond premium? | |
| A0666: G. Pianon | |
| A factor-based calibration model: An application to the relation between sustainability and option-implied distributions | |
| A0744: M. Billio, M. Costola, L. Pelizzon, C. Latino, I. Hristova | |
| Inside the ESG ratings: (Dis)agreement and performance |
| Session CO466 | Room: Virtual R30 |
| The econometrics of Covid-19 pandemic | Monday 20.12.2021 10:00 - 11:15 |
| Chair: Sergio Scicchitano | Organizer: Sergio Scicchitano |
| A0204: S. Schueller, H. Steinberg | |
| Parents under stress evaluating emergency childcare policies during the first COVID-19 lockdown in Germany | |
| A0782: G. Beccari, L. Becchetti, G. Conzo, P. Conzo, D. De Santis, F. Salustri | |
| Particulate matter and Covid-19 excess deaths: Decomposing long-term exposure and short-term effects | |
| A0943: S. Scicchitano, F. Carbonero | |
| Labour and technology at the time of Covid-19: Can artificial intelligence mitigate the need for proximity? |
| Session CO162 | Room: Virtual R31 |
| Financial capability: Models and empirical evidence | Monday 20.12.2021 10:00 - 11:15 |
| Chair: Sabrina Giordano | Organizer: Sabrina Giordano, Rosaria Simone |
| A1247: S. Giordano, R. Colombi, M. Kateri | |
| Financial capability: A longitudinal perspective through hidden Markov models | |
| A1419: M. Zenga, P. Bongini, E. Rinaldi | |
| Financial literacy among young people: Hints from PISA 2018. |
| Session CO036 | Room: Virtual R32 |
| Topics in the econometrics of DSGE models | Monday 20.12.2021 10:00 - 11:15 |
| Chair: Marco Maria Sorge | Organizer: Marco Maria Sorge |
| A1054: S. Fasani, A. Colciago, L. Rossi | |
| Unemployment, firm dynamics, and the business cycle | |
| A0288: M. Al Sadoon | |
| The spectral approach to linear rational expectations models | |
| A1055: M.M. Sorge, G. Angelini | |
| Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks |
| Session CO390 | Room: Virtual R33 |
| Bayesian methods in financial econometrics: New developments | Monday 20.12.2021 10:00 - 11:15 |
| Chair: Maria Kalli | Organizer: Maria Kalli |
| A0507: D. Gunawan, R. Kohn, C.K. Carter | |
| Efficient particle hybrid sampler for state-space models | |
| A0968: M. Iacopini, L. Rossini | |
| Bayesian semiparametric estimation of structural VAR models with stochastic volatility | |
| A1702: M.-N. Tran, R. Kohn, N. Nguyen Trong | |
| Recurrent conditional heteroskedasticity |
| Session CC865 | Room: Virtual R27 |
| Contributions in macro and finance II (virtual) | Monday 20.12.2021 10:00 - 11:15 |
| Chair: Demetris Koursaros | Organizer: CFE |
| A0270: D. Koursaros | |
| Asymmetry in inflation persistence under inflation targeting | |
| A1447: J. Wang, K. Sargent | |
| Joining the gig workforce: A (potentially) one-way trip with an expensive return ticket | |
| A1569: D. Opschoor, M. van der Wel | |
| A smooth shadow-rate dynamic Nelson-Siegel model of the yield curve at the zero lower bound |
| Session CC864 | Room: K0.19 (Hybrid 04) |
| Contributions in applied econometrics (virtual) | Monday 20.12.2021 10:00 - 11:15 |
| Chair: Jose Olmo | Organizer: CFE |
| A1542: R. Navratil, J. Vecer | |
| Utility based auction mechanism and model selection | |
| A1249: T. Hartl | |
| Monitoring the pandemic: A fractional filter for the COVID-19 contact rate | |
| A1610: C.D. Kim, N. Bedorf | |
| Predicting housing sale prices in Germany by applying machine learning models and methods of data exploration |
| Session CG109 | Room: K0.18 (Hybrid 03) |
| Contributions in credit risk | Monday 20.12.2021 10:00 - 11:15 |
| Chair: Massimiliano Caporin | Organizer: CFE |
| A0502: P. Brakatsoulas | |
| Credit rating downgrade risk on equity returns | |
| A1665: C. Erlwein-Sayer, S. Grimm, A. Pieper, R. Alsac | |
| Forecasting corporate credit spreads: Regime-switching in LSTM | |
| A1603: N. Urban, M. Hibbeln, R. Kopp | |
| Credit risk modeling in the age of machine learning |
| Parallel session Q: CMStatistics | Monday 20.12.2021 | 14:45 - 16:25 |
| Session EO400 | Room: Virtual R18 |
| Recent advances in large scale estimation and testing | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Trambak Banerjee | Organizer: Trambak Banerjee |
| B0210: S. Parsaeian | |
| Structural breaks in seemingly unrelated regression models | |
| B0294: B. Sherwood | |
| Computationally efficient penalized quantile regression | |
| B0467: E. Demirkaya, Y. Fan, J. Lv | |
| Nonuniformity of p-values can occur early in diverging dimensions | |
| B1031: P. Basu | |
| Empirical Bayes control of the false discovery exceedance |
| Session EO062 | Room: Virtual R20 |
| Recent advances in biostatistics | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Reza Drikvandi | Organizer: Reza Drikvandi |
| B0259: G. Verbeke | |
| How to correct for baseline covariates in longitudinal clinical trials | |
| B0305: J. Einbeck, A. Errington, J. Cumming, P. Wilson | |
| Disentangling zero-inflation from overdispersion in statistical biodosimetry | |
| B0985: M. De Iorio | |
| Seemingly unrelated multi-state processes: A Bayesian semiparametric approach | |
| B1771: R. Drikvandi | |
| Diagnostic tools for random effects in general mixed models |
| Session EO312 | Room: Virtual R21 |
| Statistical joint modeling with longitudinal and survival data | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Ding Chen | Organizer: Din Chen |
| B0240: J. Van Niekerk | |
| Competing risks joint model and other complex survival models using R-INLA | |
| B1132: F. Gumedze | |
| Robust joint modelling of longitudinal data and survival data: Detection and downweighting of longitudinal measurements | |
| B1368: Z. Li | |
| Joint modeling in presence of informative censoring in palliative care studies | |
| B1600: M. Shojaei Shahrokhabadi, D. Chen | |
| Fitting marginalized two- part joint models to semi-continuous medical cost and survival from complex surveys |
| Session EO416 | Room: Virtual R22 |
| Bayesian nonparametric methods in classification problems | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Ramses Mena | Organizer: Ramses Mena |
| B0401: S. Wade | |
| Bayesian scalar-on-image regression for automatically detected of regions of interest | |
| B0396: J.A. Perusquia Cortes, J. Griffin, C. Villa | |
| On a novel Bayesian nonparametric approach to supervised learning for binary data | |
| B0442: L. Gutierrez | |
| On a Dirichlet process mixture representation of phase-type distributions | |
| B0927: T. Rigon, D. Dunson, A. Zito, O. Ovaskainen | |
| Bayesian modelling of sequential discoveries |
| Session EO194 | Room: Virtual R23 |
| Advances in Bayesian methodology | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Victor Pena | Organizer: Victor Pena |
| B0246: C. Li | |
| Bayesian fixed-domain asymptotics for covariance parameters in Gaussian process models | |
| B0550: A. Barrientos, V. Pena | |
| Differentially private methods for managing model uncertainty in linear regression models | |
| B0834: K. Irie, V. Pena | |
| On the conjugate multivariate stochastic volatility processes | |
| B1698: M. Gu | |
| Marginalization of latent variables for correlated data |
| Session EO202 | Room: Virtual R24 |
| Simultaneous sufficient dimension reduction and variable selection | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Qingcong Yuan | Organizer: Chenlu Ke |
| B0315: J. Weng | |
| Fourier transform sparse inverse regression estimators for sufficient variable selection | |
| B0459: P. Wang | |
| Sufficient dimension reduction and variable selection by feature filter | |
| B0713: C. Ye, J. Ding, R. Ghanadan | |
| Meta clustering for collaborative learning | |
| B1128: S. Ding, W. Qian, L. Wang | |
| A unified framework to high dimensional sufficient dimension reduction with applications to censored data |
| Session EO092 | Room: Virtual R25 |
| Copulas and dependence modelling I | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Piotr Jaworski | Organizer: Piotr Jaworski |
| B0568: M. Manstavicius, E. Gutauskaite | |
| Multivariate dependence measures revisited | |
| B0649: M. Waltz, O. Okhrin, S. Trimborn | |
| Goodness-of-fit tests for copulae: gofCopula | |
| B0656: J. Gorecki | |
| Pairwise likelihood estimation for copulas with tractable bivariate margins | |
| B0762: P. Jaworski | |
| On copulas of a Wiener process and its running maxima and running minima processes |
| Session EO070 | Room: Virtual R26 |
| Recent developments in respondent-driven sampling | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Erica Moodie | Organizer: Erica Moodie |
| B0458: F. Crawford | |
| Learning about network features from respondent-driven sampling data | |
| B0545: M. Rotondi, L. Avery | |
| Regression Modelling for Respondent-Driven Sampling | |
| B0877: M. Yauck, E. Moodie, M. Hudgens | |
| Identifiability in regression methods for respondent-driven sampling | |
| B0990: K. Gile | |
| Clustering network tree data from respondent-driven sampling |
| Session EO396 | Room: Virtual R27 |
| Advances in functional data analysis | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Marzia Cremona | Organizer: Marzia Cremona |
| B0670: A. Srivastava | |
| Statistical shape analysis of complex networks of curves | |
| B0582: A. Pini, N. Lundtorp Olsen, S. Vantini | |
| False discovery rate for functional data | |
| B0764: M. Carey, J. Ramsay | |
| Data-driven identification of dynamical systems | |
| B0818: F. Chiaromonte, M. Cremona, T. Boschi, J. DiIorio, L. Testa | |
| Functional data analysis characterizes the shapes of the COVID-19 epidemic in Italy |
| Session EO402 | Room: Virtual R28 |
| Bayesian methods in structured data and high-dimensional problems | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Nilabja Guha | Organizer: Nilabja Guha |
| B0562: A. Roy | |
| Nonparametric group variable selection with multivariate response for connectome-based prediction of cognitive scores | |
| B1304: J. Datta | |
| Shrinkage on simplex: Bayesian inference for sparse and structured compositional data | |
| B1378: A. Sarkar | |
| Bayesian semiparametric longitudinal functional mixed models with locally informative predictors | |
| B1386: D. Pati, S. Dasgupta, B. Mallick, P. Ghosh | |
| An approximate Bayesian approach to covariate dependent graphical modeling |
| Session EO487 | Room: Virtual R29 |
| Statistical methods for high-dimensional and dependent data | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Yumou Qiu | Organizer: Yumou Qiu |
| B1266: Y. Qiu | |
| Inference on multi-level partial correlations based on multi-subject time series data | |
| B1334: S. Zhang, S.X. Chen, Y. Qiu | |
| Two-sample mean test for high-dimensional time series | |
| B1374: L. Wang, S. Yu, R. Plazola-Ortiz, Y. Li | |
| Forward selection in ultra-high dimensional functional concurrent models with applications to functional GWAS | |
| B1440: X. Li, S. Yu, Y. Wang, G. Wang, L. Wang | |
| A new smoothing method for 3D imaging data: Efficiency vs. accuracy |
| Session EO527 | Room: Virtual R30 |
| Current developments in imaging data analysis | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Zhengwu Zhang | Organizer: Tingting Zhang |
| B0307: Y. Zhao | |
| Genetic underpinnings of brain structural connectome for young adults | |
| B1183: A. Zhang | |
| Optimal generalized tensor estimation with applications to 4D-STEM image denoising | |
| B1209: S. Bruce, P. Bagchi | |
| Adaptive frequency band analysis for functional time series | |
| B1442: S. Yu, G. Wang, L. Gao, L. Wang | |
| Big imaging data learning: A parallel solution |
| Session EO134 | Room: Virtual R31 |
| High-dimensional inference in generalized linear models | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Fadoua Mohr | Organizer: Fadoua Mohr |
| B1144: R. Dai, C. Zheng | |
| Post-selection inference on high-dimensional varying-coefficient generalized linear models | |
| B1452: Z. Guo | |
| Inference for the case probability in high-dimensional logistic regression | |
| B1736: A. Carpentier, E. Pilliat, N. Verzelen | |
| Optimal ranking in crowdsourcing | |
| B1739: M. Banerjee | |
| Inference in high-dimensional single-index models under symmetric designs |
| Session EO657 | Room: Virtual R34 |
| Advances in the analysis of quantiles, expectiles and extremiles | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Abdelaati Daouia | Organizer: Abdelaati Daouia |
| B0977: Y. Abbas | |
| Extreme expectile regression in heavy-tailed regression models | |
| B0931: F. Bellini, T. Fadina, R. Wang, Y. Wei | |
| Parametric measures of variability induced by risk measures | |
| B0765: S. Girard, E. Gobet | |
| Estimation of the largest tail-index and extreme quantiles from a mixture of heavy-tailed distributions | |
| B0886: G. Stupfler, A. Daouia, I. Gijbels | |
| Extremile regression |
| Session EO834 | Room: Virtual R36 |
| New challenges on change-point detection (virtual) | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Andreas Anastasiou | Organizer: Andreas Anastasiou |
| B0468: A. Kostic, P. Fryzlewicz | |
| Change point ideas in multiple testing: Estimating the proportion of false null hypotheses | |
| B0606: M. Gong, R. Killick, C. Nemeth | |
| A changepoint approach to modelling soil moisture dynamics | |
| B1105: X. Fang | |
| Detection and estimation of local signals | |
| B1137: I. Cribben | |
| Novel network change point methods |
| Session EO376 | Room: Virtual R37 |
| Time space models: Events at random beyond Gaussianity II | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Anastassia Baxevani | Organizer: Anastassia Baxevani |
| B1541: H. Bengtsson | |
| Exceedance time distributions through the clipped Slepian process | |
| B1544: M. Kratz, E. Prokopenko | |
| Multi-normex distributions | |
| B1562: O. Ottmar Cronie | |
| Statistical learning for general point processes | |
| B1735: T. Kozubowski, M. Ohemeng | |
| Normal Pareto distributions: Theoretical framework and computational issues |
| Session EO122 | Room: Virtual R39 |
| Recent advancements in causal inference | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Joseph Antonelli | Organizer: Joseph Antonelli |
| Session EO296 | Room: K0.16 (Hybrid 02) |
| Advances in Bayesian methods and applications | Monday 20.12.2021 14:45 - 16:25 |
| Chair: David Rossell | Organizer: David Rossell |
| B0540: Y. Ni | |
| Bayesian causal graphical models with purely observational data | |
| B1178: A. Avalos Pacheco, D. Rossell, S. Ventz, L. Trippa | |
| Leveraging external data in Bayesian adaptive platform designs | |
| B1240: J. Jewson | |
| Bayesian learning from synthetic data | |
| B1335: F. Rotiroti, C. Carvalho, J. Murray | |
| Time-varying non-linear predictions of asset returns |
| Session EO226 | Room: K0.19 (Hybrid 04) |
| Statistics in neuroscience I | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Jeff Goldsmith | Organizer: Jeff Goldsmith |
| B1093: Y. Guo, Y. Wang | |
| A sparse blind source separation method for probing human whole-brain connectomes | |
| B1328: T. Garcia, R. Kim, M. Pourahmadi | |
| Maximum likelihood estimation of a covariance matrix with thresholding: Application to Huntington disease | |
| B1525: J. Goldsmith, A. Garcia de la Garza, B. Sauerbrei, A. Hantman | |
| Adaptive functional principal component analysis | |
| B0680: S. Vandekar | |
| A robust measure of effect size for neuroimage analysis |
| Session EO792 | Room: K0.20 (Hybrid 05) |
| Dynamical systems in machine learning | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Anna Korba | Organizer: Anna Korba |
| B0289: A. Barakat, P. Bianchi, W. Hachem, S. Schechtman | |
| Stochastic optimization with momentum: Convergence, fluctuations, and traps avoidance | |
| B0732: M. Sander, P. Ablin, M. Blondel, G. Peyre | |
| Momentum residual neural networks | |
| B0991: P. Glaser, A. Gretton, M. Arbel | |
| KALE flow: A relaxed KL gradient flow for probabilities with disjoint support | |
| B1530: N. Nuesken | |
| Stein optimal transport for Bayesian inference |
| Session EO318 | Room: K0.50 (Hybrid 06) |
| Advances in optimal design of experiments I (virtual) | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Stefanie Biedermann | Organizer: Stefanie Biedermann |
| B0788: B. Parker, S. Gilmour, V. Koutra | |
| Design of experiments for autoregressive networks | |
| B0878: H. Grossmann, S. Gilmour | |
| Partially orthogonal blocked three-level response surface designs | |
| B0932: P. Goos, J. Nunez Ares, E. Schoen | |
| Orthogonal minimally aliased response surface designs with and without two-level categorical factors | |
| B0952: J. Noonan | |
| Improving tests for missing-not-at-random using design of experiments |
| Session EO655 | Room: K2.40 (Hybrid 08) |
| Mediation analysis for complex data structure (virtual) | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Yeying Zhu | Organizer: Yeying Zhu |
| B0814: X. Cai, Y. Zhu, Y. Huang, D. Ghosh | |
| Causal mediation analysis based on partial linear models | |
| B1030: S. Vansteelandt, T.T. Vo | |
| Longitudinal mediation analysis of time-to-event endpoints based on natural effect models | |
| B1512: L. Wang, Y. Zhu, R. Cook | |
| A doubly robust joint modelling approach of multiple uncausally correlated mediators | |
| B1707: T. Lange | |
| Using the medflex package for (semi)high dimensional mediators and/or complex outcomes |
| Session EO756 | Room: K2.31 Nash (Hybrid 07) |
| Multivariate and high dimensional time series | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Sayar Karmakar | Organizer: Sayar Karmakar |
| B0416: S. Deb, S. Sen | |
| A new classification method for multivariate time series data | |
| B0578: D. Sen, D. Dunson | |
| Scalable Bayesian inference for time series via divide-and-conquer | |
| B0586: L. Duan | |
| Bayesian vector autoregression using the tree rank prior | |
| B1444: M. Xu | |
| A high dimensional Cramer-von Mises test |
| Session EC851 | Room: K0.18 (Hybrid 03) |
| Contributions in methodological statistics II | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Ingrid Van Keilegom | Organizer: CFE-CMStatistics |
| B1756: K. Pericleous | |
| Estimating treatment effects on optimal row designs under dependence | |
| B1657: L. Mavrogonatou, D. Robertson, S. Villar | |
| Optimal allocation strategies for blocked clinical trial designs with heterogeneous outcomes | |
| B1362: J. Cai, I. Van Keilegom | |
| Mixed frontier estimation in the presence of measurement error with unknown variance | |
| B0506: A. Quaini, F. Trojani | |
| A unifying convex analysis framework to inference for penalized least squares |
| Session EG065 | Room: Virtual R33 |
| Contributions in computational and methodological statistics | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Qing Wang | Organizer: CFE-CMStatistics |
| B1666: C. Perez-Gonzalez, A.J. Fernandez, V. Giner-Bosch, A. Carrion-Garcia | |
| Optimal repetitive reliability inspection of manufactured lots for lifetime models using prior information | |
| B0881: J. Gerstenberg | |
| A general framework for ID-based data structures to derive erm-approaches for learning | |
| B1570: Q. Wang, Y. Wei | |
| Quantifying uncertainty of subsampling-based ensemble methods under a U-statistic framework | |
| B1271: D. Chakrabarty | |
| Forecasting by learning the evolution-driving function |
| Parallel session Q: CFE | Monday 20.12.2021 | 14:45 - 16:25 |
| Session CI880 (Special Invited Session) | Room: K E. Safra (Multi-use 01) |
| Forecasting (virtual) | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Michael Owyang | Organizer: Michael Owyang |
| A0190: M. McCracken, A. Amburgey | |
| On the real time predictive content of financial conditions for growth | |
| A0194: A. Galvao, M. McCracken, M. Owyang | |
| Forecasting sovereign defaults | |
| A0195: M. Owyang | |
| Asymmetric loss and breakeven inflation forecasts |
| Session CO278 | Room: Virtual R32 |
| Tracking the economy with high dimensional methods | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Scott Brave | Organizer: Scott Brave, Andrew Butters |
| A1130: S. Brave | |
| Tracking U.S. consumers in real time with a new weekly index of retail trade | |
| A1131: F. Huber, G. Koop | |
| Subspace shrinkage in conjugate Bayesian vector autoregressions | |
| A1201: C. Foroni, A. Consolo, C. Martinez Hernandez | |
| A mixed frequency model for the euro area labour market | |
| A1522: L. Mosley, I. Eckley, A. Gibberd | |
| Sparse temporal disaggregation |
| Session CO224 | Room: Virtual R38 |
| Spatial econometrics and statistics for micro-geographic data | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Diego Giuliani | Organizer: Diego Giuliani |
| A0260: D. De Silva, A. Slechten, M. Chen | |
| Director appointments, boardroom networks, and firm environmental performance | |
| A0261: J. Dube, C. Brunelle, M. Aikous | |
| How highway expansion affect land use changes | |
| A0940: B. Power, R. Geraldine, J. Doran | |
| The effect of agglomeration economies on firm deaths: A comparison of firm and regional based approaches | |
| A1058: F. Santi, D. Giuliani, G. Espa, M.M. Dickson | |
| Fitting approaches of Cliff-Ord models to data affected by locational errors |
| Session CO665 | Room: Virtual R40 |
| Asset pricing I | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Julien Penasse | Organizer: Julien Penasse |
| A1492: J. Van Binsbergen | |
| Dynamic asset (mis)pricing: Build-up vs. resolution anomalies | |
| A1509: A. Vedolin | |
| Model complexity, expectations, and asset prices | |
| A1559: F. Trojani, A. Quaini | |
| Smart stochastic discout factors | |
| A0171: J. Penasse | |
| Discussant |
| Session CC859 | Room: K2.41 (Hybrid 09) |
| Contributions in financial econometrics II | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Genevieve Gauthier | Organizer: CFE |
| A1283: L. Catania | |
| The leverage effect and propagation | |
| A1289: G. Bakalli, S. Guerrier, O. Scaillet | |
| A penalized two-pass regression to predict stock returns with time-varying risk premia | |
| A0426: M. Klein | |
| Fiscal policy, international spillovers, and endogenous productivity | |
| A0269: G. Gauthier, P. Francois, R. Galarneau-Vincent, F. Godin | |
| Venturing into unchartered territories: An extensible parametric implied volatility surface model |
| Session CG015 | Room: Virtual R35 |
| Contributions in machine learning for econometrics and finance | Monday 20.12.2021 14:45 - 16:25 |
| Chair: Marie Bessec | Organizer: CFE |
| A1538: A. Babii, E. Ghysels | |
| Binary choice with asymmetric loss in a data-rich environment: theory and an application to racial justice | |
| A1360: M. Bessec, J. Fouquau | |
| A green wave in media, a change of tack in stock markets | |
| A1383: G. Anderson, A. Audzeyeva | |
| Predicting emerging market credit spreads with support vector regression: Exploiting ubiquitous local optima | |
| A0221: K. Baur | |
| Real estate pricing and natural language processing: Improving price valuation using textual descriptions |
| Parallel session R: CMStatistics | Monday 20.12.2021 | 16:55 - 18:35 |
| Session EO100 | Room: Virtual R18 |
| Statistical methods for provider profiling | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Michael Daniels | Organizer: Sebastien Haneuse |
| B0475: S. Paddock, J. Adams, J. Hwang | |
| Defining and estimating reliability in hierarchical logistic regression models for health care provider profiling | |
| B0610: D. Nguyen | |
| High-dimensional fixed effects profiling models: New developments and applications | |
| B1154: K. He | |
| Individualized empirical null for profiling healthcare providers | |
| B1480: R. Groenwold | |
| Quantitative bias analysis for provider profiling and practice variation studies |
| Session EO072 | Room: Virtual R20 |
| Statistical methods for contemporary business application | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Gourab Mukherjee | Organizer: Gourab Mukherjee |
| B1200: S. Siddarth, B. Karmakar, O. Kwon, G. Mukherjee | |
| A Bayesian structural uncertainty model to target rebates to consumers with correlated preferences | |
| B1211: B. Karmakar, O. Kwon, G. Mukherjee, S. Siddarth, J. Silva-Risso | |
| Understanding early adoption of hybrid cars via a new multinomial probit model with multiple spatial weights | |
| B1294: G. Mukherjee | |
| A large-scale mixed joint modeling approach for efficient digital coupon marketing | |
| B1507: K. Basu | |
| Achieving fairness via post-processing in web-scale recommender systems |
| Session EO535 | Room: Virtual R22 |
| Bayesian nonparametrics: Modeling and computation | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Federico Camerlenghi | Organizer: Federico Camerlenghi |
| B0390: M. Beraha, L. Ghilotti, A. Guglielmi | |
| Repulsive mixture models: Modelling and computations, with applications to high-dimensional data | |
| B0424: G. Rebaudo, P. Mueller | |
| Gibbs-type random partition aligned on a graph: Application to single-cell RNA data | |
| B0594: L. Masoero, T. Broderick, S. Favaro, F. Camerlenghi | |
| More for less: Predicting and maximizing genetic variant discovery via bayesian nonparametrics | |
| B0895: Y. Xu | |
| A Bayesian nonparametric approach for inferring drug combination effects on mental health in people with HIV |
| Session EO360 | Room: Virtual R23 |
| Causal inference in the era of data science | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Alessandra Mattei | Organizer: Alessandra Mattei |
| B0474: C. Zigler, M. Tec | |
| Adjusting for nonlocal spatial confounding with U-nets in studies of meteorology and air pollution | |
| B0768: M. Lupparelli, A. Mattei | |
| Relative-risk scale effects in mediation analysis | |
| B1678: F. Mealli | |
| Estimand strategies for RCTs with intercurrent events | |
| B1694: F.J. Bargagli Stoffi | |
| Data-driven heterogeneity detection among subgroup-specific exposure-response functions |
| Session EO308 | Room: Virtual R24 |
| High dimensional tensor regression | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Fei Jiang | Organizer: Fei Jiang |
| B0472: D. Kong | |
| Covariance estimation for matrix-valued data | |
| B0481: G. Li | |
| High-dimensional tensor autoregression | |
| B1437: B. Wang, Q. Mai | |
| A unified framework and fast computation for large-margin tensor classifiers | |
| B0417: W. Shen | |
| Bayesian inference for matrix-valued data |
| Session EO102 | Room: Virtual R25 |
| Copulas and dependence modelling II | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Piotr Jaworski | Organizer: Piotr Jaworski |
| B0904: J. Neslehova, A. Alexander John McNeil, A. Smith | |
| On attainability of Kendall's tau matrices and concordance signatures | |
| B1047: I. Gijbels, M. Matterne | |
| Conditional copulas: Mean, median and quantiles | |
| B1038: E. de Amo | |
| Algorithms for constructing copulas via *-product decompositions | |
| B1139: C. Ignazzi, F. Durante, P. Jaworski | |
| On left truncation invariant limit distributions under low threshold |
| Session EO426 | Room: Virtual R26 |
| Statistical aspects of measurement and psychometrics | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Daphna Harel | Organizer: Daphna Harel |
| B0536: D. Harel | |
| Using optimal test assembly to shorten patient reported outcome measures | |
| B0605: C. Falk, M.J. Ilagan | |
| On the detection of bots in online surveys | |
| B0691: C. Parlett, E. Linstead, S. Jaeggi, G. Lin | |
| Applications of Bayesian item response theory | |
| B0736: E. Buchanan | |
| Using computer adaptive testing to improve migraine outcomes |
| Session EO649 | Room: Virtual R27 |
| Statistical learning and inference on complex data structures | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Tianxi Li | Organizer: Tianxi Li |
| B0867: J. Cape | |
| Spectral analysis of networks with latent space dynamics and signs | |
| B1145: S. Paul | |
| Modeling continuous-time networks of relational events | |
| B1205: E.J. Zhang | |
| High Dimensional Gaussian Graphical Regression Models with Covariates | |
| B1388: G. Yu | |
| Reluctant interaction modeling in GLMs |
| Session EO659 | Room: Virtual R28 |
| Bayesian methods in causal inference | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Chanmin Kim | Organizer: Chanmin Kim |
| B0440: L. Hu, J. Ji, J. Hogan | |
| Bayesian machine learning for causal inference with multiple treatments and multilevel censored survival outcomes | |
| B0596: J. Roy, N. Mitra, Y. Zhu | |
| The impact of positivity assumption on causal inference using Bayesian nonparametric methods | |
| B0639: P. Mueller | |
| A nonparametric Bayesian model-based construction of synthetic treatment arms in a clinical study | |
| B1052: C. Krantsevich, R. Hahn | |
| Imputing biomarkers from cognitive assessments: combating covariate shift by assuming causal stationarity |
| Session EO424 | Room: Virtual R29 |
| Advances on Bayesian computation and its apllications | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Brenda Betancourt | Organizer: Brenda Betancourt |
| B0382: E. Aliverti | |
| Stratified stochastic variational inference for network factor models | |
| B0553: J. Park | |
| Sampling from multimodal target distributions using tempered Hamiltonian transitions | |
| B0699: S. Srivastava | |
| Divide-and-conquer Bayesian inference in hidden Markov models | |
| B1380: I. Taylor, A. Kaplan, B. Betancourt | |
| A Bayesian approach to streaming multi-file record linkage |
| Session EO571 | Room: Virtual R30 |
| Applied statistical learning | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Abbas Khalili | Organizer: Alejandro Murua |
| B0560: M. Zhu, M. Hofert, A. Prasad | |
| Making probabilistic predictions in multi-response regression problems | |
| B0690: M. Belbahri, O. Gandouet | |
| A twin neural model for causal inference: Applications in python | |
| B1385: A. Khalili, T. Manole | |
| Estimating the number of components in finite mixture models via the group-sort-fuse procedure | |
| B1460: J.-F. Plante | |
| Data challenges in applied AI projects: A few stories |
| Session EO724 | Room: Virtual R31 |
| New applications and directions in state space modeling | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Daniel McDonald | Organizer: Daniel McDonald |
| B1499: M. Auger-Methe | |
| State-space models in ecology: Opportunities and challenges | |
| B1527: D. Degras, H. Ombao, C.M. Ting | |
| Markov-switching state-space models with applications to neuroimaging | |
| B0551: D. McDonald | |
| Markov-switching State Space models for uncovering musical interpretation | |
| B1703: L. Brooks | |
| State-space epidemiological compartmental models: Approximations, control, forecasting, and real-world complications |
| Session EO497 | Room: Virtual R35 |
| Advances in statistical learning and inference with robust insights | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Zhao Ren | Organizer: Zhao Ren |
| B0378: A.Y. Zhang | |
| Uncertainty quantification in the Bradley-Terry-Luce model | |
| B1278: W. Zhou, Y. Song, W. Zhou | |
| Large-scale inference of multivariate regression for heavy-tailed and asymmetric data | |
| B1300: W. Zhou, K.M. Tan, L. Wang | |
| Conquer: Convolution-smoothed quantile regression | |
| B1302: K.M. Tan, R. Man, Z. Wang, W. Zhou | |
| Retire: Robustified expectile regression in high dimensions |
| Session EO088 | Room: Virtual R36 |
| Causal inference in the presence of competing events | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Daniel Nevo | Organizer: Daniel Nevo |
| B0430: M. Schnitzer, S. Ferreira Guerra, C. Longo, L. Blais, R. Platt | |
| Estimating gestational age-specific exposure effects during pregnancy with observational data: A target trials approach | |
| B0531: T. Martinussen | |
| Separable direct and indirect effects in a competing risk setting | |
| B0915: D. Nevo, A. Sasson | |
| The subtype-free average causal effect for disease heterogeneity studies | |
| B1232: M. Stensrud | |
| Causal inference when resources are constrained |
| Session EO846 | Room: Virtual R37 |
| Time space models: Events at random beyond Gaussianity I | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Krzysztof Podgorski | Organizer: Krzysztof Podgorski |
| B0846: F. Javed, K. Podgorski | |
| Volatility leverage and non-Gaussian shocks | |
| B1535: A. Baxevani, K. Podgorski | |
| Signals featuring harmonics with random frequencies: Spectral, distributional and ergodic properties | |
| B1564: A. de Bustamante Simas, D. Bolin, J. Wallin | |
| Estimation of parameters of elliptic SPDE models driven by non-Gaussian white noise | |
| B1740: A. Panorska, F. Zuniga, A. Weyant, I. Vinci, A. Gershunov, T. Kozubowski | |
| Multivariate model of precipitation events in California: The role of atmospheric rivers, topography, and climate change |
| Session EO124 | Room: K0.16 (Hybrid 02) |
| Advances in the analysis of dependent functional data structures (virtual) | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Anne van Delft | Organizer: Anne van Delft |
| B0466: D. Kowal, A. Canale | |
| Semiparametric functional factor models with Bayesian Rank Selection | |
| B0654: S. Hoermann, G. Rice, T. Kuenzer | |
| Estimating the conditional distribution in functional regression problems | |
| B0662: A. Caponera, J. Fageot, M. Simeoni, V. Panaretos | |
| Sparsely observed functional data on the sphere | |
| B0910: A. El Yaagoubi Bourakna, H. Ombao, M.K. Chung | |
| Persistence surfaces: A new frequency specific topological summary for time series dependence structure |
| Session EO446 | Room: K0.18 (Hybrid 03) |
| Recent advances in Bayesian modelling | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Bruno Santos | Organizer: Bruno Santos |
| B0794: I. Marques, P. Wiemann, T. Kneib | |
| Spatial multi-resolution model for forestry data | |
| B0924: J. Lichter, P. Wiemann, T. Kneib | |
| Semi-implicit variational inference in additive models | |
| B1363: A. Rodrigues, P. Borges, B. Santos | |
| A defective cure rate quantile regression model for a maternal population with severe COVID-19 | |
| B1285: B. Santos, A. Rodrigues, T. Kneib | |
| Growth curves for multiple-output response variables via Bayesian quantile regression models |
| Session EO228 | Room: K0.19 (Hybrid 04) |
| Statistics in neuroscience II | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Russell Shinohara | Organizer: Russell Shinohara |
| B0230: K. Linn, R. Shinohara, J. Beer | |
| Longitudinal ComBat: A method for harmonizing longitudinal multi-scanner imaging data | |
| B1049: H. Shou, A. Chen, R. Shinohara | |
| Statistical harmonization for the neuroimaging data with complex data distributions | |
| B1446: M. Fiecas | |
| Approximate hidden Semi-Markov models for dynamic connectivity analysis in resting-state fMRI | |
| B1708: V. Baladandayuthapani | |
| Tumor radiogenomics in gliomas with Bayesian layered variable selection |
| Session EO238 | Room: K0.50 (Hybrid 06) |
| Analysis of data from wearable devices (virtual) | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Jaroslaw Harezlak | Organizer: Jaroslaw Harezlak |
| B0614: C. Tekwe | |
| Estimation of sparse functional quantile regression with measurement error: A SIMEX approach | |
| B0412: L. Natarajan | |
| Modeling accelerometer-based physical activity | |
| B0842: E. Smirnova | |
| Functional survey weighted modeling to associate physical activity and non-alcoholic fatty liver disease | |
| B1023: J. Bai, J. Bai, Y. Sun, J. Schrack, C. Crainiceanu, M.-C. Wang | |
| A two-stage model for wearable device data |
| Session EO302 | Room: K2.40 (Hybrid 08) |
| Bayesian design of experiments (virtual) | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Tim Waite | Organizer: Tim Waite |
| B0421: D. Woods | |
| Design of experiments with functional independent variables | |
| B0441: R.D. McMichael | |
| A python package for Bayesian experiment design and is application in physics experiments | |
| B1458: A. Foster | |
| Deep adaptive design: Amortizing sequential Bayesian experimental design |
| Session EO886 | Room: K2.41 (Hybrid 09) |
| Statistical genetics and the host genetics of COVID-19 | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Lloyd Elliott | Organizer: Lloyd Elliott, Elika Garg |
| B1206: A. Auton | |
| Participant powered research: Using direct to consumer genetic testing to help us understand COVID-19 host genetics. | |
| B1265: A. Ganna | |
| Genetic associations from the COVID-19 Host Genetics Initiative highlight biology behind severity and susceptibility | |
| B1430: L. Sun, B. Chen, R. Craiu, W. Deng, L. Elliott, E. Garg, A. Paterson, L. Strug, Z. Wang, L. Zhang | |
| Advances and challenges in X chromosome-aware whole genome genetic studies | |
| B1695: B. Richards | |
| A Neanderthal OAS1 isoform protects individuals of European ancestry against COVID-19 susceptibility and severity |
| Session EO840 | Room: K2.31 Nash (Hybrid 07) |
| New developments on time series models (virtual) | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Israel Martinez-Hernandez | Organizer: Israel Martinez-Hernandez |
| B0409: C. Euan | |
| Statistical analysis of multi-day solar irradiance using a threshold time series model | |
| B0415: S. Das, M. Genton | |
| Cyclostationary processes with evolving periods and amplitudes | |
| B0419: R. Killick | |
| Micro-macro changepoint inference for periodic data sequences | |
| B1481: R. Sundararajan | |
| Factor modeling of multivariate time series: A frequency components approach |
| Session EC854 | Room: K0.20 (Hybrid 05) |
| Methodological statistics and biostatistics (virtual) | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Maria Brigida Ferraro | Organizer: CFE-CMStatistics |
| B1641: J. Gonzalez-Delgado, A. Gonzalez Sanz, P. Neuvial, J. Cortes | |
| Goodness-of-fit tests on the flat torus based on Wasserstein distance and their relevance to structural biology | |
| B0229: D. Tu, B. Mahony, M. Bertolero, A. Alexander-Bloch, T. Satterthwaite, D. Bassett, A. Raznahan, R. Shinohara | |
| CoCoA: A conditional correlation model with association size | |
| B1108: M. Qasim | |
| A Stein-type shrinkage limited information maximum likelihood estimator |
| Session EC852 | Room: K E. Safra (Multi-use 01) |
| Computational statistics and machine learning (hybrid) | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Stanislav Nagy | Organizer: CFE-CMStatistics |
| B1770: W. Li | |
| A stochastic approximation approach for parametric inference of intractable likelihood models | |
| B1165: S. Nagy, R. Dyckerhoff, P. Laketa | |
| Fast computation of the angular halfspace depth | |
| B1601: T. Besbeas | |
| Fitting higher order state-space models using hidden Markov methodology | |
| B1020: M. Caprio, S. Mukherjee | |
| Concentration inequalities, optimal number of layers and classification fallacy of a stochastic neural network |
| Parallel session R: CFE | Monday 20.12.2021 | 16:55 - 18:35 |
| Session CO464 | Room: Virtual R21 |
| Portfolio selection with parameter uncertainty | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Nathan Lassance | Organizer: Nathan Lassance |
| A0286: L. Wang, C. Hafner | |
| Dynamic portfolio selection with sector-specific regularization | |
| A0327: N. Lassance, A. Martin-Utrera, M. Simaan | |
| A robust approach to optimal portfolio choice with parameter uncertainty | |
| A1305: A. Weissensteiner, T. Dangl, L. Garlappi | |
| Ambiguity, learning, and equilibrium portfolio flows | |
| A1204: G. Zhou, M. Yuan | |
| Why naive diversification is not naive, and how to improve it |
| Session CO204 | Room: Virtual R32 |
| Uncertainty and model selection in finance | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Mohammad Jahan-Parvar | Organizer: Mohammad Jahan-Parvar |
| A0243: A. Andrew Detzel, M. Velikov, R. Novy-Marx | |
| Model comparison with transaction costs | |
| A0276: C. Sarisoy, D. Cascaldi-Garcia | |
| Medium- and long-term interest rate uncertainty | |
| A0355: S. Rosen | |
| Adding fuel to the fire sales: Banks, capital regulation, and systemic risk | |
| A0488: M. Jahan-Parvar, Y. Kitsul, B.A. Wilson, J. Rahman | |
| Foreign economic policy uncertainty and the U.S. equity returns |
| Session CO573 | Room: Virtual R33 |
| Financial modelling and forecasting | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Ekaterini Panopoulou | Organizer: Ekaterini Panopoulou |
| A0275: N. Voukelatos | |
| The informational content of implied correlation | |
| A0828: J. Oberoi, D. Andrews | |
| Structuring and pricing home equity release with alternative sharing of house price risks | |
| A0859: E. Bersimi, E. Panopoulou, N. Voukelatos | |
| The risk parity approach and fund of hedge funds | |
| A1214: E. Panopoulou, A. Alexandridis | |
| Denoising the equity premium: A wavelet quantile approach |
| Session CO172 | Room: Virtual R34 |
| Inflation dynamics | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Edward Knotek | Organizer: Edward Knotek |
| A0608: M. Klepacz, R. Schoenle, G.H. Hong, E. Pasten | |
| The real effects of monetary shocks: Evidence from micro pricing moments | |
| A0784: C. Conflitti, M. Bottone, M. Riggi, A. Tagliabracci | |
| Firms inflation expectations and pricing strategies during COVID-19 | |
| A1261: O. Kryvtsov, A. Cavallo | |
| What can stockouts tell about inflation: Evidence from online micro data | |
| A0535: E. Knotek | |
| The effects of price endings on price rigidity: Evidence from VAT changes |
| Session CO468 | Room: Virtual R38 |
| Machine learning techniques, climate change and portfolio selection | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Jose Olmo | Organizer: Jose Olmo |
| A0623: J. Gonzalo, L. Gadea | |
| Long-term climate forecasts: A future heterogenous warming | |
| A0598: J. Olmo, M. Sanso-Navarro | |
| A network regression model with an estimated interaction matrix | |
| A0602: H. Calvo-Pardo, T. Mancini, J. Olmo | |
| Machine learning the carbon footprint of Bitcoin mining | |
| A0678: A. Taamouti, W. Lin | |
| Portfolio selection under systemic risk: A QRNN-based approach |
| Session CO180 | Room: Virtual R39 |
| Robustness in time series | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Pascal Bondon | Organizer: Pascal Bondon, Valderio Anselmo Reisen |
| A1260: Y. Li, L. Giraitis | |
| Robust testing for correlation in a non-i.i.d. setting | |
| A1268: L.K. Hotta, J.S. Diniz, E.G. Pinheiro, C. Trucios | |
| Robust estimation of volatility models in the presence of additive outliers | |
| A1338: S. Taskinen, K. Nordhausen, D. Tyler | |
| Blind source separation based on M autocovariance matrices | |
| A1320: P. Bondon, I. Danilevicz, V.A. Reisen, F. Sarquis | |
| A robust longitudinal study of the influence of air pollutants on children |
| Session CO694 | Room: Virtual R40 |
| Asset pricing II | Monday 20.12.2021 16:55 - 18:35 |
| Chair: Benjamin Holcblat | Organizer: Benjamin Holcblat |
| A1625: L. Calvet, S. Betermier, S. Knupfer, J. Kverner | |
| What do the portfolios of individual investors reveal about the cross-section of equity returns | |
| A1511: N. Boyarchenko | |
| Measuring corporate bond market dislocations | |
| A1510: S. Giglio | |
| Test assets and weak factors | |
| A0166: B. Holcblat | |
| Discussant |