Keynote talk 1 Thursday 15.6.2017 09:00 - 09:50 Room: LTA - Citi Lecture Theater
A statistical tale of subgroup analysis for managerial decision making
Speaker: X. He   Chair: Ana Colubi
Keynote talk 2 Thursday 15.6.2017 17:40 - 18:30 Room: LTA - Citi Lecture Theater
Quantile spectral analysis for locally stationary time series
Speaker: M. Hallin  Co-authors: S. Birr, H. Dette, S. Volgushev Chair: Alan Wan
Keynote talk 3 Friday 16.6.2017 14:00 - 14:50 Room: LTA - Citi Lecture Theater
Robust normal mixtures for financial portfolio allocation
Speaker: M. Paolella   Chair: Erricos Kontoghiorghes
Keynote talk 4 Saturday 17.6.2017 11:40 - 12:30 Room: LTA - Citi Lecture Theater
Recent developments in Bayesian inference for time series
Speaker: M. Pitt   Chair: Mike So


Parallel session B: EcoSta2017 Thursday 15.6.2017 10:25 - 12:30

Session EO084 Room: LSKG001
Modelling with non-Gaussian distributions Thursday 15.6.2017   10:25 - 12:30
Chair: Geoffrey McLachlan Organizer: Geoffrey McLachlan
  EO0616:  C. Viroli, A. Montanari
  Looking skew from Antonella Capitanio's perspective
  EO0582:  S. Lee, G. McLachlan
  Modelling and clustering via finite mixtures of skew factor analyzers
  EO0490:  S.-K. Ng
  Finding group structures with a two-way clustering approach
  EO0654:  K. Leemaqz, S. Lee, G. McLachlan
  Multithreaded implementation of the EM algorithm in its application to skew normal mixture models
  EO0693:  L. Hunt, M. Jorgensen
  The multimix class of mixture models for clustering mixed categorical and continuous data
Session EO016 Room: LSKG003
Advances in nonparametric methods and applications Thursday 15.6.2017   10:25 - 12:30
Chair: Taeryon Choi Organizer: Taeryon Choi
  EO0394:  Y. Maruyama
  Harmonic Bayesian prediction under alpha-divergence
  EO0419:  J.S. Lee
  Adaptive regularized Hotelling's T2 test for high dimensional data
  EO0541:  K.-J. Lee
  A spatiotemporal nonparametric Bayesian variable selection model to multi-subject fMRI data
  EO0433:  T. Kunihama
  Bayesian estimation of distributions of causes of death with verbal autopsy surveys
  EO0854:  Y. Chung, G. Sim, A. Zanobetti, H. Kim, J. Schwartz
  Nonparametric Bayesian multivariate meta-regression with spatial structure: An application in environmental epidemiology
Session EO108 Room: LSK1001
Model averaging, selection and shrinkage Thursday 15.6.2017   10:25 - 12:30
Chair: Alan Wan Organizer: Alan Wan
  EO0205:  H. Xu, K. Ohtani
  PMSE performance of two different types of preliminary test estimators under a multivariate $t$ error
  EO0391:  A. Namba, H. Xu
  Dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated
  EO0221:  A. Vasnev
  Conditionally optimal weights: Optimal combination with predictable errors
  EO0219:  A. Wan
  Model averaging in a multiplicative heteroscedastic model
  EO0225:  C.-A. Liu, C.-C. Lin, S.-Y. Yin
  Focused information criterion and model averaging for large panels with a multifactor error structure
Session EO206 Room: LSK1003
High dimensional Bayesian time series modeling and forecasting Thursday 15.6.2017   10:25 - 12:30
Chair: Yasuhiro Omori Organizer: Hedibert Lopes
  EO0400:  Y. Omori, Y. Yamauchi
  Multivariate stochastic volatility model with realized volatilities and pairwise realized correlations
  EO0458:  A. Virbickaite, H. Lopes
  Dynamic mixed frequency pooled copula
  EO0326:  R. Leon-Gonzalez
  Model selection in the time-variant cointegration model
Session EO116 Room: LSK1005
New development in analyzing large complex data Thursday 15.6.2017   10:25 - 12:30
Chair: Xuming He Organizer: Annie Qu
  EO0152:  X. Feng
  Lack-of-fit tests for quantile regression models
  EO0591:  W. Zhong
  Test for high dimensional regression coefficients using refitted cross-validation variance estimation
  EO0651:  J. Wang, X. He, S. Lyu
  Model-free variable selection
  EO0829:  Y. Bai
  High dimensional variable selection for longitudinal data with covariate measurement error and dropout
  EO0249:  S. Xu, J. Liu, C. Liu, X. Lin
  Statistical inference for the single index hazards model
Session EO018 Room: LSK1007
Statistical modelling for network data Thursday 15.6.2017   10:25 - 12:30
Chair: Yang Feng Organizer: Yang Feng
  EO0163:  H. Chen
  Graph-based change-point analysis for object data
  EO0203:  D. Choi
  A semidefinite program for the stochastic blockmodel
  EO0519:  T. Ke
  Estimating network memberships by simplex vertices hunting
  EO0628:  P. Orbanz
  Random walk models of network formation
  EO0192:  X. Zhu
  Multivariate spatial autoregression for large scale social network
Session EO054 Room: LSK1009
Statistical methods for big data integration Thursday 15.6.2017   10:25 - 12:30
Chair: Hongtu Zhu Organizer: Hongtu Zhu
  EO0795:  X. Wang
  Strong independence screening for ultra-high-dimensional survival data
  EO0789:  X. Song, X. Feng, T. Li, H. Zhu
  Bayesian scalar on image regression with non-ignorable non-response
  EO0835:  H. Li
  An extended Mallows model for ranked data aggregation
  EO0784:  H. Zhu
  SFM: Surface functional models for functional data in product spaces
  EO0839:  X. Guo
  Transformation biometrical genetic models for the analysis of non-normal twin data
Session EO298 Room: LSK1010
Change point analysis in a high-dimensional setting Thursday 15.6.2017   10:25 - 12:30
Chair: Minya Xu Organizer: Minya Xu
  EO0515:  J. Li, P.-S. Zhong
  Test for temporal homogeneity of high-dimensional means with application to fMRI studies
  EO0474:  C. Zou
  Fast change-points detection in high-dimension: A combination of global and local segmentations
  EO0565:  Y. Wang
  Multiple change-points detection in high dimension
  EO0247:  M. Xu, P.-S. Zhong
  Detecting variance change-points for blocked time series and dependent panel data
  EO0560:  Y. Xue, Q. Lu
  Multiple changepoint detection via deep neural network
Session EO136 Room: LSK1011
Statistical methods for functional data Thursday 15.6.2017   10:25 - 12:30
Chair: Yuhang Xu Organizer: Bertrand Clarke, Yuhang Xu
  EO0189:  Y. Xu, Y. Li, D. Nettleton
  Nested hierarchical functional data modeling and inference for evaluating lunar effects on root gravitropism
  EO0234:  R. Luo
  Function-on-function regression for highly densely observed spiky functional data
  EO0235:  R. Wong, X. Zhang
  Nonparametric operator-regularized covariance function estimation
  EO0348:  Y.-R. Su, C. Di, L. Hsu
  Hypothesis testing in functional linear models
  EO0838:  H. Zhang
  Component selection and estimation for functional additive models
Session EO080 Room: LSK1014
Variable selection, dimension reduction, and outlier detection Thursday 15.6.2017   10:25 - 12:30
Chair: Sung Nok Chiu Organizer: Sung Nok Chiu
  EO0710:  Z. Feng, L. Lin, R. Zhu, L. Zhu
  Nonparametric variable selection for additive models
  EO0716:  K. Hirose, H. Fujisawa
  Robust estimation for high-dimensional Gaussian graphical models
  EO0717:  W. Dai, M. Genton
  Multivariate functional data visualization and outlier detection
  EO0714:  Y. Mori, M. Kuroda, M. Iizuka
  Variable selection for mixed measurement level data in dimension reduction methods and its computation
  EO0719:  J.K. Yoo
  Dimension reduction via seeded canonical correlation analysis
Session EO010 Room: LSK1027
Modelling financial and insurance risks Thursday 15.6.2017   10:25 - 12:30
Chair: Tak Kuen Siu Organizer: Tak Kuen Siu
  EO0277:  W.-K. Ching
  On modeling credit defaults: A probabilistic Boolean network approach
  EO0502:  R. Mamon
  Longevity-product valuation under correlated financial and mortality risks
  EO0453:  J. Sass, H. Fink, S. Geissel, F.T. Seifried
  Rating of financial products by implied risk aversion and optimized expected utility risk measures
  EO0470:  C. Yiu
  Optimal portfolio and insurance problems under a value-at-risk constraint
  EO0652:  T.K. Siu
  A self-exciting threshold jump-diffusion model for option valuation
Session EO166 Room: LSK1032
Applied statistical modeling Thursday 15.6.2017   10:25 - 12:30
Chair: Jingheng Cai Organizer: Jingheng Cai
  EO0353:  J. Pan
  Multilevel heterogeneous factor analysis models with Bayesian covariance lasso prior
  EO0373:  J. Xuejun
  Flexible Bayesian quantile regression for semiparametric geoadditive mixed models
  EO0366:  W. Liu
  Modelling and forecasting online auction price
  EC0253:  R. Howard
  Response surface methodology in plant breeding
  EO0544:  Y. Liu
  On the impact of the portfolio theory with leverage aversion on the performance of a fund
Session EO094 Room: LSK1033
Advances in time series analysis Thursday 15.6.2017   10:25 - 12:30
Chair: Kaiji Motegi Organizer: Kaiji Motegi
  EO0311:  K. Zhu
  On a measure of lack of fit in nonlinear cointegrating regression
  EO0538:  K. Takanashi
  Estimation of a nonlinear cointegrating regression
  EO0246:  F. Akashi
  Robust GEL method for linear hypothesis of infinite variance processes
  EO0600:  K. McAlinn
  Dynamic mixed frequency synthesis for GDP nowcasting
  EO0355:  K. Motegi, J. Hill
  Testing for weak form efficiency of stock markets
Session EO112 Room: LSK1034
New developments in financial econometrics Thursday 15.6.2017   10:25 - 12:30
Chair: Daniel Preve Organizer: Daniel Preve
  EO0242:  T. Terasvirta
  Asymptotic properties of maximum likelihood estimators of a multiplicative time-varying correlation GARCH model
  EO0449:  Y. Li, T. Cai, J. Hu, X. Zheng
  High dimensional minimum variance portfolio estimation with high-frequency data
  EO0525:  M. Meitz, D. Preve, P. Saikkonen
  A mixture autoregressive model based on Student's $t$-distribution
  EO0212:  M. Yang
  The risk return relationship: Evidence from index return and realised variance series
  EO0508:  X. Wang, L. Jiang, J. Yu
  New distribution theory for the estimation of structural break point in mean
Parallel session C: EcoSta2017 Thursday 15.6.2017 14:00 - 15:40

Session EI301 Room: LSKG001
Non- and semi-parametric inference Thursday 15.6.2017   14:00 - 15:40
Chair: Ping-Shou Zhong Organizer: Ping-Shou Zhong, Byeong Park
  EI0279:  I. Van Keilegom, A. Bertrand, C. Legrand
  Flexible parametric approach to classical measurement error variance estimation without auxiliary data
  EI0407:  H. Koul
  Fitting a two phase threshold multiplicative error model
  EI0609:  S. Lee
  Moving block bootstrap procedures for distribution estimation for sample quantiles of strong mixing sequences
Session EO228 Room: LSKG003
Asymptotic statistics of random processes Thursday 15.6.2017   14:00 - 15:40
Chair: Masayuki Uchida Organizer: Masayuki Uchida
  EO0557:  S. Hattori
  Doubly robust estimator for net survival rate in analyses of cancer registry data
  EO0534:  K. Kamatani
  Ergodicity of some reversible proposal MCMC and its application to Bayesian inference for stochastic processes
  EO0535:  H. Masuda
  Stable quasi-likelihood regression
  EO0558:  N. Yoshida
  Quasi likelihood analysis and model selection for stochastic processes
Session EO305 Room: LSKG007
Data analytics and machine learning methods for risk and insurance Thursday 15.6.2017   14:00 - 15:40
Chair: Gareth Peters Organizer: Gareth Peters
  EO0245:  H. Yan
  Long memory models for financial time series of counts trading behaviour patterns in futures on US Treasuries
  EO0303:  A. Phillip, J. Chan, S. Peiris
  Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: Methods and applications
  EO0648:  W.Y. Chen, R. Gerlach
  Functional coefficient semiparametric GARCH via Bayesian model averaging
  EO0645:  K.-H. Ng, J. Chan, S.-K. Tan
  Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data
Session EO178 Room: LSK1001
Factor models and financial econometrics Thursday 15.6.2017   14:00 - 15:40
Chair: Mengmeng Ao Organizer: Xinghua Zheng
  EO0359:  M. Ao, Y. Li, X. Zheng
  Recovering mean-variance efficiency under factor models
  EO0675:  G. Mukherjee
  Prediction under check loss in Gaussian models with unknown covariance
  EO0346:  N. Xia, J. Fan, Y. Li, X. Zheng
  Testing equality of principle components in factor models
  EO0643:  D. Xiu, S. Giglio, G. Feng
  Taming the factor zoo
Session EO256 Room: LSK1003
Business analytics Thursday 15.6.2017   14:00 - 15:40
Chair: Ray Chung Organizer: Amanda Chu
  EO0173:  C. Sin
  On the factor structure of high-dimensional asset markets
  EO0451:  C. Chu
  On deep machine learning and time series models: A case study with the use of Keras
  EO0697:  M. Asai
  Realized asymmetric long memory stochastic volatility models
  EO0711:  R. Chung, A. Chu
  Bayesian randomized response technique with multiple sensitive attributes \& its application to behavioral modeling
Session EO208 Room: LSK1005
High dimensional matrices and networks Thursday 15.6.2017   14:00 - 15:40
Chair: Qing Mai Organizer: Yichao Wu
  EO0185:  E. Chi, L. Hu, A. Saibaba, A. Rao
  Iterative model selection for biclustered matrix completion
  EO0598:  Y. Chen
  Community detection in multi-layer networks
  EO0398:  X. Tong, Y. Feng, J. Li
  Neyman-Pearson (NP) classification algorithms and NP receiver operating characteristic (NP-ROC)
  EO0689:  F. Liang
  An EM algorithm for Bayesian graphical model selection
Session EO024 Room: LSK1007
Advances in change points, missing data and neural networks Thursday 15.6.2017   14:00 - 15:40
Chair: Frederick Kin Hing Phoa Organizer: Frederick Kin Hing Phoa
  EO0384:  F.K.H. Phoa, H.-H. Chen, L.L.-H. Chang
  An efficient analysis of change points via swarm intelligence
  EO0668:  Y. Zhao
  Semiparametric model for regression analysis with missing covariates
  EO0497:  C.-Y. Lin
  Minimum contamination and beta-aberration criteria for screening quantitative factors
Session EO152 Room: LSK1009
Recent advances in nonparametric inference Thursday 15.6.2017   14:00 - 15:40
Chair: Young Kyung Lee Organizer: Young Kyung Lee
  EO0281:  Y.K. Lee, E. Mammen, J.P. Nielsen, B. Park
  New structural models for in-sample density forecasting
  EO0291:  M.-Y. Cheng
  Hypothesis testing in high dimensions
  EO0347:  E.R. Lee
  Statistical inference on party positions from texts: Statistical modeling, bootstrap and adjusting for time effects
  EO0492:  S.J. Yang, I. Van Keilegom, C. Heuchenne
  Two-step estimation for varying coefficient regression models with censored data
Session EO144 Room: LSK1010
High dimensional inference for complex data Thursday 15.6.2017   14:00 - 15:40
Chair: Lilun Du Organizer: Inchi Hu, Lilun Du
  EO0396:  B. Zhang, H. Sang, J. Huang
  Smoothed full-scale approximation of Gaussian process models for computations of large spatial datasets
  EO0434:  X. Guo, C. Zhang, Y. Chai
  Screening-based Bregman divergence estimation with NP-dimensionality
  EO0477:  X. Zhang
  Parsimonious model averaging for high-dimensional data
  EO0664:  W. Sun
  Weighted false discovery rate control in large-scale multiple testing
Session EO246 Room: LSK1011
Recent developments in sufficient dimension reduction and graphical models Thursday 15.6.2017   14:00 - 15:40
Chair: Bing Li Organizer: Bing Li
  EO0321:  Y. Zhang
  A statistical framework for data integration of heterogeneous and correlated data through graphical models
  EO0606:  L. Li
  Estimation and inference for brain connectivity analysis
  EO0691:  F. Chiaromonte, Y. Liu, B. Li
  Structured sufficient dimension reduction and its applications
  EO0830:  Y. Dong, Z. Li
  Model-free variable selection with matrix-valued predictors
Session EO074 Room: LSK1014
Advances in exact and approximate Bayesian computation Thursday 15.6.2017   14:00 - 15:40
Chair: Robert Kohn Organizer: Robert Kohn
  EO0327:  M.-N. Tran, D. Gunawan, K. Suzuki, J. Dick, R. Kohn
  Computationally efficient Bayesian estimation of high dimensional copulas with discrete and mixed margins
  EO0443:  C.K. Carter, E. Fonseca Mendes, R. Kohn
  On general sampling schemes for particle Markov chain Monte Carlo methods
  EO0576:  M. Khaled, R. Kohn
  MCMC algorithms for Bayesian nonparametric estimation of copulas
  EO0395:  G. Martin, D. Frazier, C. Robert, J. Rousseau
  Asymptotic properties of approximate Bayesian computation
Session EO176 Room: LSK1032
Large scale financial data Thursday 15.6.2017   14:00 - 15:40
Chair: Yingying Li Organizer: Yingying Li
  EO0849:  Y. Ding, Y. Li, X. Zheng
  High dimensional minimum variance portfolio under factor model
  EO0611:  Y. Fan
  Model-free knockoffs for high-dimensional variable selection
  EO0509:  C. Lam
  Estimation of integrated covariance matrix for intra-day trading data
  EO0495:  X. Yang, X. Zheng, J. Chen, H. Li
  Tests for high-dimensional covariance matrices when heteroskedasticity is present
Session EO244 Room: LSK1033
Macro and financial econometrics Thursday 15.6.2017   14:00 - 15:40
Chair: Kyu Ho Kang Organizer: Kyu Ho Kang
  EO0153:  K.H. Kang
  A Bayesian foreign currency portfolio optimization of conditional value-at-risk
  EO0239:  Y. Eo
  Measuring the output gap with professional forecasts: A bivariate approach
  EO0240:  Y.M. Kim, K.H. Kang
  Likelihood inference for dynamic linear models with Markov switching parameters: On the efficiency of the Kim Filter
  EO0462:  K.M. Jung
  A long-run approach to money, unemployment, and asset prices
Session EO154 Room: LSK1034
Recent advances in time series analysis Thursday 15.6.2017   14:00 - 15:40
Chair: Wai-Keung Li Organizer: Wai-Keung Li
  EO0297:  Y. Zheng, Q. Zhu, G. Li, Z. Xiao
  Hybrid quantile regression estimation for time series models with conditional heteroscedasticity
  EO0357:  Y. Chen, P. Fryzlewicz, R. Baranowski
  Narrowest-over-threshold detection of multiple change-points and change-point-like features
  EO0371:  K. Shen, J. Yao, W.-K. Li
  On a spiked model for large volatility matrix estimation from noisy high-frequency data
  EO0448:  D. Li
  Network GARCH model
Parallel session D: EcoSta2017 Thursday 15.6.2017 16:10 - 17:25

Session EO238 Room: LSKG001
Extreme value modeling and risk analysis Thursday 15.6.2017   16:10 - 17:25
Chair: Emily Kang Organizer: Jun Yan
  EO0216:  Z. Wang, J. Yan, X. Zhang
  Optimal fingerprinting in detection and attribution of changes in climate extremes
  EO0402:  R. Huser, R. Rubio, M. de Carvalho
  Similarity-based clustering for stock market extremes
  EO0679:  D. Li
  The impact of competition on prices with numerous firms
Session EO126 Room: LSKG003
Some new development in complex survival data Thursday 15.6.2017   16:10 - 17:25
Chair: Catherine Liu Organizer: Catherine Liu
  EO0676:  X. Chen
  Robust feature screening for ultra-high dimensional right censored data via distance correlation
  EO0825:  B. Liang, Y. Wang, D. Zeng
  Semiparametric transformation models with multi-Level random effects for family survival data
  EC0704:  G. Wang
  Transformation model for sparse functional data
Session EO212 Room: LSKG007
Modelling and estimation in financial time series Thursday 15.6.2017   16:10 - 17:25
Chair: Clifford Lam Organizer: Clifford Lam
  EO0199:  C. Qian, C. Lam
  Spatial lag model with time-lagged effects and spatial weight matrix estimation
  EO0378:  P. Feng, C. Lam
  A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
  EO0590:  X. Qiao, S. Guo, C. Chen
  Functional linear model with dependent regressors in high dimensions
Session EO262 Room: LSK1001
New developments in biomedical research I Thursday 15.6.2017   16:10 - 17:25
Chair: Jinfeng Xu Organizer: Jinfeng Xu
  EO0725:  Y. Fang, B. Wang, H. Lian, H. Liang
  Additive partially linear models for massive heterogeneous data
  EO0731:  A. Wang
  A simple test for dependent censoring
  EO0740:  J. Gui
  Penalized estimation of sparse concentration matrices based on prior knowledge with applications to placenta metal data
Session EO252 Room: LSK1003
Recent advances in complexly-structured time series analysis Thursday 15.6.2017   16:10 - 17:25
Chair: Zhou Zhou Organizer: Zhou Zhou
  EO0304:  C.Y. Yau
  Optimal estimation of change-point in time series
  EO0383:  M. Xu, X. Chen, W.B. Wu
  Time-varying network estimation from high-dimensional time series
  EO0520:  W. Wu, H. Dette, W. Wu, Z. Zhou
  Change point analysis of correlation in non-stationary time series
Session EO122 Room: LSK1005
Recent developments on dynamic treatment regimes Thursday 15.6.2017   16:10 - 17:25
Chair: Binyan Jiang Organizer: Rui Song
  EO0657:  C.R. Kang, D. Abrams, J. Li, Q. Long, N. Shah
  Statistical and dynamical systems modeling of m-intervention for pain
  EO0656:  W. Zhu, D. Zeng, R. Song
  Value function inference in high-dimensional Q-learning for dynamic treatment regimes
  EO0741:  B. Chakraborty, P. Ghosh
  Non-inferiority and equivalence tests in a sequential multiple-assignment randomized trial (SMART) design
Session EO132 Room: LSK1007
Finding group structures in biomedical and health data Thursday 15.6.2017   16:10 - 17:25
Chair: Shu-Kay Ng Organizer: Shu-Kay Ng
  EO0431:  M. Aoshima, K. Yata
  PCA based clustering for ultrahigh-dimensional data
  EO0530:  G. McLachlan
  Testing for group structure
  EO0630:  C.K. Hsiao, C. Wang
  SNP-set clustering and testing with Hamming distance for association studies
Session EO224 Room: LSK1009
Modern statistical methods for complex data Thursday 15.6.2017   16:10 - 17:25
Chair: Junhui Wang Organizer: Junhui Wang
  EO0223:  W.W. Sun, L. Li
  Sparse tensor response regression with applications in neuroimaging analysis
  EO0608:  C. Qian, T. Li, L. Levina, J. Zhu
  Network cross-validation by edge sampling
  EO0858:  X. He, J. Wang
  An efficient framework for model-free variable selection
Session EO020 Room: LSK1010
KSS session: Statistical learning Thursday 15.6.2017   16:10 - 17:25
Chair: Yongdai Kim Organizer: Yongdai Kim
  EO0266:  S.J. Shin, Y. Wu
  Quantile-slicing estimation for dimension reduction in regression
  EO0412:  J.-J. Jeon
  Primal path algorithm for compositional data analysis
  EO0432:  D. Yu, S.H. Lee, J. Lim, G. Xiao, C. Craddock, B. Biswal
  Identifying differential networks in brain connectome graphs using a penalized regression model
Session EO100 Room: LSK1011
New developments in experimental designs and industrial statistics Thursday 15.6.2017   16:10 - 17:25
Chair: Chang-Yun Lin Organizer: Chang-Yun Lin
  EO0687:  H.-L. Hsu
  Model-robustly D- and A-optimal designs for log-contrast models in mixture experiments
  EO0771:  I. Zwetsloot
  A head-to-head comparative study of the conditional performance of control charts based on estimated parameters
  EO0723:  A. Oyet, S. Selvaratnam
  Inference for response adaptive designs in multi-center clinical trials
Session EO200 Room: LSK1014
High-dimensional statistics: Testing, estimation and beyond Thursday 15.6.2017   16:10 - 17:25
Chair: Weiming Li Organizer: Yingli Qin
  EO0298:  W. Li
  On structure testing for component covariance matrices of a high-dimensional mixture
  EO0463:  L. Wang, A. Aue, D. Paul
  Spectral analysis of linear time series in moderately high dimensions
  EO0623:  Y. Yang
  Sparsity oriented importance learning for high-dimensional linear regression
Session EG003 Room: LSK1032
Contributions in applied econometrics Thursday 15.6.2017   16:10 - 17:25
Chair: Jan Hagemejer Organizer: EcoSta
  EC0713:  J. Kotlowski, M. Brzoza-Brzezina
  The nonlinear nature of country risk and its implications for DSGE models
  EC0824:  S. Dimitrakopoulos, D. Asteriou, M. Tsionas
  Political instability and its effect on GDP growth and foreign direct investments
  EC0761:  J. Hagemejer, J. Tyrowicz, J. Svejnar
  On rushed privatizations
Session EG165 Room: LSK1034
Contributions in semi-parametric methods in econometrics Thursday 15.6.2017   16:10 - 17:25
Chair: Claudio Morana Organizer: EcoSta
  EC0179:  B. Zhou
  A new semiparametric approach for nonstandard econometric problems
  EC0796:  F. Goessling, M. Danielova Zaharieva
  Semiparametric Bayesian forecasting with an application to stochastic volatility
  EC0188:  C. Morana
  Semiparametric estimation of multivariate GARCH models
Parallel session F: EcoSta2017 Friday 16.6.2017 08:30 - 09:50

Session EO066 Room: LSKG003
Recent advance in time series econometrics Friday 16.6.2017   08:30 - 09:50
Chair: Tingting Cheng Organizer: Tingting Cheng
  EO0211:  L. Chen
  Strong trending time series models with endogeneity: A bias-correction method
  EO0255:  Q. Fan
  Estimating a large system of seemingly unrelated regressions using penalized quasi-maximum likelihood estimation
  EO0257:  Y. Tu
  Adaptive estimation of functional-coefficients regressions with time-varying variance
  EO0316:  T. Cheng, J. Gao, O. Linton
  Multi-step non- and semi-parametric predictive regressions for stock return prediction
Session EO196 Room: LSK1014
Big data and its applications Friday 16.6.2017   08:30 - 09:50
Chair: Benson Shu Yan Lam Organizer: Amanda Chu
  EO0554:  B.S.Y. Lam
  Binary quadratic program algorithms for large scale problems
  EO0666:  R. Lau
  Parallel sentiment analysis for sales forecasting with big data
  EO0680:  K.K. Lo, M. Chau
  On the moderation effects in social media stock opinions on stock return
  EO0694:  A. Leung
  News co-mention and stock returns correlation
Session EC293 Room: LSK1001
Contributions in econometrics models Friday 16.6.2017   08:30 - 09:50
Chair: Maria Kyriacou Organizer: EcoSta
  EC0733:  G. Frank, M. Chae, Y. Kim
  Additive time-dependent hazard model with doubly truncated data
  EC0739:  M. Kyriacou, P.C. Phillips, F. Rossi
  Continuously updated indirect inference in SAR models with unobserved heterogeneity
  EC0662:  Y.-Y. Lee
  Efficient propensity score regression estimators of multivalued treatment effects for the treated
  EC0790:  C. Li
  Modeling and optimization designs of SPRT-based control schemes for individual observations
Session EC288 Room: LSK1005
Contributions in robust methods Friday 16.6.2017   08:30 - 09:50
Chair: Germain Van Bever Organizer: EcoSta
  EC0722:  Y. Sun, H. Huang
  Total variation depth for functional data
  EC0763:  G. Van Bever, D. Paindaveine
  Halfspace depth for scatter, concentration and shape matrices
  EC0272:  R. Anderson, D. Osborn, R. Becker
  Heteroskedasticity and autocorrelation robust inference for a system of regression equations
  EC0738:  R. Da-ano, E. Barrios, J.R. Lansangan
  Robust inference in a heteroskedastic multilevel linear model with structural change
Session EC282 Room: LSK1009
Contributions in computational and numerical methods Friday 16.6.2017   08:30 - 09:50
Chair: Florian Heiss Organizer: EcoSta
  EC0820:  T.-C. Cheng
  Robust diagnostics for the negative binomial regression model
  EC0809:  M. Slavtchova-Bojkova
  Bellman-Harris multi-type decomposable branching processes as models of cancer evolution
  EC0207:  F. Heiss, M. Griebel, J. Oettershagen, C. Weiser
  Extremum estimators with quasi-simulated objective functions
  EC0765:  G. Drage Berentsen
  Pros and cons of Laplace approximations in mixed hidden Markov models
Session EC295 Room: LSK1010
Contributions in methodological statistics and econometrics Friday 16.6.2017   08:30 - 09:50
Chair: Juwon Seo Organizer: EcoSta
  EC0801:  F. Xie, L. Xu, J. Jia
  Sparse Poisson regression with a penalized weighted score function
  EC0760:  A.H. Pooi
  A rank test for linear hypothesis
  EC0592:  J. Seo, B. Beare
  Quasi-randomization tests of copula symmetry
  EC0420:  Y. Cui, Q. Zheng
  On the statistical inference for a class of observation-driven time series models for count data
Session EG013 Room: LSKG001
Contributions in high dimensional and complex data analysis Friday 16.6.2017   08:30 - 09:50
Chair: Tommaso Proietti Organizer: EcoSta
  EC0758:  A. Ishii
  A classification procedure based on eigenstructures in the high-dimension, low-sample-size context
  EC0756:  H. Otneim, D. Tjoestheim
  Estimating multivariate and conditional density functions using local Gaussian approximations
  EC0363:  H. Zhang
  A mechanistic nonlinear model for censored and mis-measured covariates in longitudinal modeles
  EC0851:  T. Proietti, A. Giovannelli
  A Durbin-Levinson regularized estimator of high-dimensional autocovariance matrices
Session EG011 Room: LSKG007
Contributions in modelling financial and insurance risks Friday 16.6.2017   08:30 - 09:50
Chair: Bertrand Maillet Organizer: EcoSta
  EC0779:  S. Chan
  Statistical analysis of the exchange rate of Bitcoin
  EC0767:  Q. Chen
  Forecasting time-varying conditional skewness with asymmetric Laplace distribution
  EC0816:  R. Hirk, L. Vana, K. Hornik
  Multivariate ordinal regression models: An analysis of corporate credit ratings
  EC0852:  B. Maillet
  SIFI: On the Systemic Importance of Financial Institutions as determined by an extended CAPM with systemic risk
Session EG069 Room: LSK1003
Contributions in volatility modelling and forecasting Friday 16.6.2017   08:30 - 09:50
Chair: Gianluca Cubadda Organizer: EcoSta
  EC0667:  A. Gonzaga
  Bayesian analysis of generalized long-memory stochastic volatility
  EC0782:  A. Masuhr
  Global volatility transmission with overlapping trading zones
  EC0375:  P.C. Tsai
  Testing for jumps in prices under jump-driven leverage effect in volatility: A simulation study
  EC0797:  M. Danielova Zaharieva, M. Trede, W. Bernd
  Bayesian semiparametric multivariate stochastic volatility
Session EG297 Room: LSK1007
Contributions in statistical models with applications Friday 16.6.2017   08:30 - 09:50
Chair: Won Chang Organizer: EcoSta
  EC0328:  W. Chang, M. Haran, P. Applegate, D. Pollard
  Improving ice sheet model calibration using paleoclimate and modern data
  EC0728:  E. Calderin, E. Gomez Deniz
  The Poisson-reciprocal inverse Gaussian distribution: Properties and applications
Session EG029 Room: LSK1034
Contributions in forecasting economic and financial time series Friday 16.6.2017   08:30 - 09:50
Chair: Peter Exterkate Organizer: EcoSta
  EC0603:  M. Ficura, J. Witzany
  Bayesian identification of support and resistance levels in financial time series
  EC0655:  Y.-M. Yen
  Testing forecast accuracy of expectiles and quantiles with the extremal consistent loss functions
  EC0768:  P. Exterkate, O. Knapik
  A regime-switching stochastic volatility model for forecasting electricity prices
  EC0773:  K. Trinh
  Reduced rank regression in large VARs
Parallel session G: EcoSta2017 Friday 16.6.2017 10:20 - 12:25

Session EO148 Room: LSKG001
Bayesian nonparametrics Friday 16.6.2017   10:20 - 12:25
Chair: Igor Pruenster Organizer: Igor Pruenster
  EO0341:  B. Nipoti, L.E. Nieto-Barajas
  Stratified survival regression with Bayesian nonparametric mixtures
  EO0426:  W. Shen
  Nonparametric Bayesian test of independence
  EO0361:  B. Szabo, H. Zanten
  On distributed Bayesian computation
  EO0856:  L. Cappello, S. Walker
  Recursive non-parametric predictive for a discrete regression model
Session EO234 Room: LSKG003
New challenges in complex data analysis Friday 16.6.2017   10:20 - 12:25
Chair: Yichuan Zhao Organizer: Yichuan Zhao
  EO0271:  D. Chen, X. Chen
  Cusp catastrophe linear regression model and its applications
  EO0335:  Y. Ma
  Concordance measure-based feature screening and variable selection
  EO0805:  W. Qian, Y. Yang
  Nonparametric estimation in a multi-armed bandit problem with covariates
  EO0457:  Y. Zhu, T. Saegusa, C. Di, Y.Q. Chen
  Combing multiple adherence measures in HIV prevention trials
  EO0337:  Y. Zhao
  New nonparametric procedures for partial areas under ROC curves
Session EO042 Room: LSKG007
Large-scale, non-elliptic portfolio optimization Friday 16.6.2017   10:20 - 12:25
Chair: Marc Paolella Organizer: Marc Paolella
  EO0332:  M. Paolella
  The univariate collapsing method for portfolio optimization
  EO0597:  J. Naef, M. Paolella, R.W. Butler, P. Polak
  Getting out of the COMFORT zone: The MEXI distribution for asset returns
  EO0536:  P. Walker, M. Paolella, P. Polak
  A flexible regime switching model for asset returns
  EO0671:  P. Polak
  Optimal shrinkage and selection methods
  EO0806:  M. Gambacciani, M. Paolella
  MCD meets MCD: Minimum Covariance Determinant Methods with Mixed Correlation Dynamics
Session EO218 Room: LSK1001
Econometric methods for macroeconomic analysis and forecasting Friday 16.6.2017   10:20 - 12:25
Chair: Yohei Yamamoto Organizer: Yohei Yamamoto
  EC0182:  X. Han, J. Bai, Y. Shi
  Estimation and inference of structural changes in high dimensional factor models
  EO0313:  P. Jiang, E. Kurozumi
  Some properties of the modified CUSUM Tests
  EO0436:  N. Arai
  Evaluating the inefficiency of CBOs budgetary forecasts
  EO0513:  T. Wada, M. Ito, A. Noda
  An alternative estimation of a time-varying parameter model
  EO0493:  P. Wang, K.Y. Leung
  Determinants of world business cycles: Some insights from a flexible dynamic factor model
Session EO280 Room: LSK1003
Modelling financial market dynamics Friday 16.6.2017   10:20 - 12:25
Chair: Ruijun Bu Organizer: Ruijun Bu
  EO0349:  Y. Choi
  Modelling mortality dynamics with nonlinear income effect
  EO0165:  D. Amengual, E. Sentana
  Testing for normal copulas
  EO0171:  Z. Pan, Y. Wang, L. Liu
  Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model
  EO0579:  Y. Zhao, M. Kim, M. Cerrato, J. Crosby
  The joint credit risk of UK global-systemically important banks
  EO0289:  B. Wang, R. Bu, J. Kim
  Semiparametric MLE for diffusion models
Session EO264 Room: LSK1005
Design and analysis of complex experiments: Theory and applications Friday 16.6.2017   10:20 - 12:25
Chair: MingHung Kao Organizer: MingHung Kao
  EO0550:  W.K. Wong
  Nature-inspired meta-heuristic algorithms for generating optimal experimental designs for nonlinear models
  EO0601:  J. Stufken, W. Yu
  Thoughts on optimal statistical design for environmental risk assessment
  EO0595:  R. Fontana
  Some connections between multivariate Bernoulli distributions and fractional factorial designs for 2-level factors
  EO0466:  R.-B. Chen, P.-Y. Chen, D. Lin
  Optimizing two-level orthogonal arrays for estimating main effects and pre-specified two-factor interactions
  EO0287:  M. Kao
  Optimal experimental designs for mixed categorical and continuous responses
Session EO052 Room: LSK1007
Recent advances in high dimensional statistical inference Friday 16.6.2017   10:20 - 12:25
Chair: Ping-Shou Zhong Organizer: Ping-Shou Zhong
  EO0262:  Z. Zheng
  Scalable interpretable multi-response regression via SEED
  EO0553:  M. Jirak
  Optimal uniform change point tests in high-dimension
  EO0528:  D. Paul
  Spectral analysis of high-dimensional linear processes with applications
  EO0812:  G. Pan
  CLT for the $k$ largest eigenvalues and unit root tests for high dimensional nonstationary time series
  EO0523:  Y. Qiu
  Statistical inference for large precision matrices with applications to brain connectivity
Session EO190 Room: LSK1009
Quantile regression and robust methods Friday 16.6.2017   10:20 - 12:25
Chair: Nan Lin Organizer: Jianhui Zhou
  EO0798:  I. McKeague, H.J. Wang, M. Qian
  Testing for marginal effects in quantile regression
  EO0429:  Z. Zhu
  Quantile regression for functional partial linear models in high dimensions
  EO0392:  H. Lian
  Estimation and testing for time-varying quantile single-index models with functional/longitudinal data
  EO0650:  Y. Lin
  Flexible composite quantile regression
  EO0300:  L. Zhang
  Stock return autocorrelations in the Chinese stockmarket from threshold quantile autoregressive models
Session EO128 Room: LSK1010
New developments in survival analysis Friday 16.6.2017   10:20 - 12:25
Chair: Xingqiu Zhao Organizer: Xingqiu Zhao
  EO0186:  L. Bordes, O. Boussari, V. Jooste
  Inference for net survival models with application to cancer data
  EO0469:  T. Li
  A unified semi-empirical likelihood ratio confidence interval for treatment effects based on length-biased data
  EO0584:  W. Liu, Y. Lin
  Robust inference for subgroup analysis with general transformation models
  EO0472:  Y. Yao
  Sampling and regression methods for the Cox model
  EO0561:  K.Y. Liu, M. Hao, X. Zhao, Y. Lin
  Nonparametric statistical inference for case one interval censored data
Session EO124 Room: LSK1011
Recent advances in latent variable models Friday 16.6.2017   10:20 - 12:25
Chair: Xinyuan Song Organizer: Xinyuan Song
  EO0450:  T. Choi
  Bayesian semiparametric measurement error models with application to dose response analysis
  EO0572:  T.F. Schaffland, A. Kelava, M. Kohler, A. Krzyzak
  Nonparametric estimation of a latent variable model
  EO0573:  Y. Wei, O.A. LXY
  Batch effects correction with unknown subtypes
  EO0788:  J. Cai, X. Song, M. Ouyang, K. Kang
  Bayesian analysis of semiparametric hidden Markov models with latent variables
  EO0836:  X. Wang, X. Feng, X. Song
  Bayesian two-level model for partially ordered repeated responses
Session EO104 Room: LSK1014
Inference for correlated data Friday 16.6.2017   10:20 - 12:25
Chair: Samuel Mueller Organizer: Samuel Mueller
  EO0151:  F. Hui, S. Mueller, A. Welsh
  Sparse pairwise likelihood estimation for multivariate longitudinal mixed models
  EO0254:  T. Garcia, K. Marder, Y. Wang
  Time-varying proportional odds models for mega-analysis of clustered event times
  EO0343:  T. Fung
  Semiparametric observation-driven models for time-series of count
  EO0500:  B. Turlach, A. Manderson, E. Cripps, K. Murray
  Inference on growth curves using monotone polynomials
  EO0237:  J. Chan, R. Yatigammana
  Modelling the conditional distribution of durations via mixture distributions
Session EO250 Room: LSK1026
High dimensional problems in econometrics Friday 16.6.2017   10:20 - 12:25
Chair: Juhyun Park Organizer: Juhyun Park
  EO0488:  N. Brunel, S. Scotti, G. Bernis, A. Kornprobst
  Stochastic evolution of distributions: Applications to CDS indices
  EO0543:  H. Dong, Q. Yao
  Estimating spillovers using panel data with a factor structure
  EO0618:  E. Gautier, C. Rose
  Inference on social effects when the network is sparse and unknown
  EO0602:  J. Park, C. Tu, H. Wang
  Functional sparsity in nonparametric varying coefficient models
  EO0204:  W. Wang, P.C. Phillips, L. Su
  Homogeneity pursuit in panel data models: Theory and applications
Session EO240 Room: LSK1027
Recent advances in mixture models and latent variable models Friday 16.6.2017   10:20 - 12:25
Chair: Chi Tim Ng Organizer: Chi Tim Ng
  EO0194:  Y. Li
  Robust deviation information criterion for latent variable models
  EO0333:  J. Jeong
  Model-based peak alignment of metabolomic profiling from comprehensive two-dimensional GCxGC/TOF-MS
  EO0441:  W. Lee, C.T. Ng, Y. Lee
  A new understanding of LASSO in the presence of measurement errors
  EO0701:  K. Zhang, C.T. Ng
  High dimensional LASSO variable selection for correlated covariates
  EO0705:  G.X. Zuo, L.W. Zhang
  Regression diagnostic in Hurdle-generalized Poisson regression models
Session EO140 Room: LSK1032
Financial volatility Friday 16.6.2017   10:20 - 12:25
Chair: Toshiaki Watanabe Organizer: Toshiaki Watanabe
  EO0322:  M. Ubukata
  Tail risk premium and predicting credit spreads
  EO0325:  D. Nagakura
  Prediction, filtering, and smoothing for the integrated variance with intraday returns
  EO0499:  K. Irie
  Bayesian emulation for high-dimensional portfolio problem
  EO0533:  K. Oya
  Frequency wise decomposition of variance risk premium
  EO0556:  M. Takahashi
  Realized variance driven by order flow imbalance
Session EO158 Room: LSK1033
Insurance models with dependence Friday 16.6.2017   10:20 - 12:25
Chair: KC Yuen Organizer: KC Yuen
  EO0228:  K.C. Cheung, W. Lee, J.Y. Ahn
  Multivariate countermonotonicity and the minimal copulas
  EO0222:  Y. Dong
  Correlated default models driven by a multivariate regime-switching shot noise process
  EO0552:  J. Guo
  Some optimality results for insurers under mean-variance criterion
  EO0604:  A. Lo
  On the effect of reinsurance on an insurer: A cost-benefit analysis incorporating default risk
  EO0447:  K. Yuen
  Optimal dividends and reinsurance for a risk model with dependence
Session EO096 Room: LSK1034
Statistical computing for large panel data Friday 16.6.2017   10:20 - 12:25
Chair: Feng Li Organizer: Feng Li
  EO0669:  A. Panagiotelis, G. Athanasopoulos, R. Hyndman, B. Jiang, F. Vahid
  Bayesian rank selection in multivariate regression
  EO0491:  M. Quiroz, M.-N. Tran, M. Villani, R. Kohn
  Exact subsampling MCMC
  EO0263:  D. Yu
  Conditional Akaike information criteria for a class of Poisson mixture models with random effects
  EO0700:  Y. Kang, R. Hyndman, K. Smith-Miles
  Forecasting performance evaluation by time series visualisation and generation
  EO0702:  F. Li, A. Panagiotelis, Y. Kang
  Modeling tail-dependence of stock returns and news sentiments with copulas
Session EP001 Room: Ground Floor Hall
Poster Session Friday 16.6.2017   10:20 - 12:25
Chair: Panagiotis Paoullis Organizer: EcoSta
  EP0168:  W. Panichkitkosolkul
  Confidence intervals for the coefficient of variation with known mean and a bounded standard deviation
  EP0542:  H. Kim, H. Kim
  Analysis of the effect of the carbon emission reduction in EU ETS Phase 1 on PSM and system dynamics panel DID model
  EP0571:  Y. Ohtsuka
  Large shocks and the business cycle: The effect of outlier adjustments
  EP0807:  L. Hanus, L. Vacha
  Frequency response analysis of monetary policy transmission
  EP0804:  Y. Zhang
  On sums of independent generalized Pareto random variables with applications to insurance and CAT bonds
  EP0828:  R. Oh, D. Shin, M.-S. Oh
  Bayesian analysis of financial volatilities addressing long memory, conditional heteroscedasticity and skewness
  EP0853:  A. Kontoghiorghes
  Pricey puts and return predictability
  EP0688:  L. Li
  Application of artificial neural networks to variable annuities
  EP0786:  S.H. Kartiko
  Geometrically weighted regression models for multicollinear data
  EP0759:  H. Utami
  Comparison of SLS and LS estimations of AR(k)-ARCH (p) models using Monte Carlo
Parallel session I: EcoSta2017 Friday 16.6.2017 15:00 - 16:40

Session EI006 Room: LSKG001
Advances in spatial statistics Friday 16.6.2017   15:00 - 16:40
Chair: Mike So Organizer: Mike So
  EI0540:  M. Genton
  Transformed Gaussian random fields
  EI0647:  S. Banerjee
  High-dimensional Bayesian geostatistics
  EI0653:  A. Schmidt
  Spatial confounding in hierarchical models
Session EO248 Room: LSKG003
Integrating big and complex imaging data with new statistical tools Friday 16.6.2017   15:00 - 16:40
Chair: Guodong Li Organizer: Linglong Kong
  EO0593:  M. Ahn
  Spatially weighted reduced-rank framework for functional MRI data
  EO0567:  X. Luo
  Network of networks: A large scale graphical model for whole brain networks using fMRI
  EO0670:  J. Kang
  Posterior mean screening for big neuroimaging data via massively parallel computing
  EO0684:  W. Tu, L. Kong
  Automated brain hematoma and edema segmentation of CT scans using non-local spatial clustering and the level-set method
Session EO046 Room: LSKG007
New developments in time series analysis Friday 16.6.2017   15:00 - 16:40
Chair: Cathy W-S Chen Organizer: Cathy W-S Chen
  EO0370:  W.-K. Li, J. Zhou, K. Zhu
  A time series model for realized volatility matrices based on the matrix-F distribtuion
  EO0435:  M. Guo, B.-C. Yang
  A two-stage financial network model
  EO0367:  S. Lee
  On the CUSUM test for location-scale time series models
  EO0546:  H. Tsai
  Approximate maximum likelihood estimation of a threshold diffusion process
Session EO026 Room: LSK1001
Networks and causality Friday 16.6.2017   15:00 - 16:40
Chair: Monica Billio Organizer: Monica Billio
  EO0504:  L. Frattarolo, M. Billio, L. Pelizzon, M. Caporin
  Networks in risk spillovers: A multivariate GARCH perspective
  EO0685:  M. Iacopini, M. Billio, R. Casarin
  Bayesian Markov switching tensor regression
  EO0507:  R. Panzica, M. Caporin, G. Bonaccolto
  Estimation and model-based combination of causality networks
  EO0514:  M. Billio, R. Casarin, M. Costola, L. Frattarolo
  Collective market movements: An econometric approach through Von Neumann entropy
Session EO309 Room: LSK1003
Smart beta and quantitative investing Friday 16.6.2017   15:00 - 16:40
Chair: Serge Darolles Organizer: Serge Darolles
  EO0459:  S. Darolles
  Smart beta indices with controlled factor exposures
  EO0403:  A. Groshens
  Smart beta second generation: Evolution of smart beta towards a continuously adapting investment process
  EO0626:  W. Jiang
  Daily price limits and destructive market behavior
  EO0660:  N.M. Dang
  Limit order book microstructure in Asia and applications in trading
Session EO072 Room: LSK1005
Statistical methods for functional data and complex data objects Friday 16.6.2017   15:00 - 16:40
Chair: Weining Wang Organizer: Ying Chen
  EO0166:  T. Honda, R. Yabe
  Variable selection and structure identification for varying coefficient Cox models
  EO0169:  W. Wang
  Parallel singular value decomposition via multiple random sketches for large matrices
  EO0191:  W. Wang
  Factor augmented dynamic expectile model
  EO0483:  A. Zharova, W.K. Haerdle, S. Lessmann
  A multivariate dynamic analysis of third-party funds
Session EO022 Room: LSK1007
Recent advances on the analysis of event history studies Friday 16.6.2017   15:00 - 16:40
Chair: Jianguo Sun Organizer: Jianguo Sun
  EO0164:  L. Zhu, Y. Zhang, Y. Li, J. Sun, L. Robison
  A semiparametric likelihood-based method for regression analysis of mixed panel-count data
  EO0195:  Y. Li, Y. Sun, L. Qi
  Semiparametric varying-coefficient regression for recurrent events
  EO0414:  P. Wang
  Regression analysis of case $K$ interval-censored failure time data in the presence of informative censoring
  EO0539:  X. Zhao
  Subgroup analysis in censored linear regression
Session EO034 Room: LSK1009
Recent advances on hypothesis testing Friday 16.6.2017   15:00 - 16:40
Chair: Xuehu Zhu Organizer: Lan Wang, Xuehu Zhu
  EO0673:  X. Guo
  Heteroscedasticity tests for nonlinear regression models
  EO0674:  C. Niu, X. Guo, L. Zhu
  Enhancements of nonparametric generalized likelihood ratio test: Bias-reduction and dimension reduction
  EO0678:  F. Tan
  A projection based adaptive to model test for regressions
  EO0672:  X. Zhu
  Specification testing with mixed discrete and continuous predictors: A projection-based adaptive-to-model approach
Session EO012 Room: LSK1010
High dimensional and complex data analysis Friday 16.6.2017   15:00 - 16:40
Chair: Ray-Bing Chen Organizer: Ray-Bing Chen, Shih-Feng Huang
  EO0236:  Y.-C. Chen
  Variable selection methods in high-dimensional linear regression
  EO0229:  S.-F. Huang, C.-H. Chu, M.-N. Lo, R.-B. Chen
  Bayesian structure selection for vector autoregression models
  EO0369:  L.-C. Lin, R.-B. Chen, M.-N. Lo Huang, M. Guo
  Robust principal expectile component analysis
  EO0480:  H.Y. Wong, C.S. Pun
  High-dimensional static and dynamic portfolio selection problems via l1 minimization
Session EO230 Room: LSK1011
Recent challenges in genetic association atudies Friday 16.6.2017   15:00 - 16:40
Chair: Taesung Park Organizer: Taesung Park
  EO0259:  M.H. Wang
  Enhancing power of rare variant association test by a zoom-focus algorithm to locate optimal testing region
  EO0409:  M. Song
  Testing for genetic associations in arbitrarily structured populations
  EO0411:  T. Park, S. Lee, S. Choi
  Pathway-based rare variant association tests with multiple phenotypes
  EO0832:  S.H. Won
  Incorporating family disease history in risk prediction models with large-scale genetic data
Session EO216 Room: LSK1014
Statistical inference for high-dimensional data Friday 16.6.2017   15:00 - 16:40
Chair: Shaojun Guo Organizer: Shujie Ma
  EO0389:  X. Chen
  Statistical inference for model parameters with stochastic gradient descent
  EO0439:  K. He, S. Ma, H. Lian, J. Huang
  Dimensionality reduction and variable selection in multivariate varying-coefficient models
  EO0522:  W. Wu, W. Luo, Y. Zhu
  Learning heterogeneity in causal inference using sufficient dimension reduction
  EO0585:  S. Guo
  Valid inference on semiparametric estimators in high-dimensions
Session EO164 Room: LSK1032
Non- and semi-parametric methods for economics and financial data Friday 16.6.2017   15:00 - 16:40
Chair: Chae Young Lim Organizer: Chae Young Lim
  EO0362:  T. Kim, K.H. Kim
  Capital asset pricing model: A time-varying volatility approach
  EO0524:  E. Chung
  Testing heterogeneous treatment effects based on permutation tests
  EO0532:  K.H. Kim
  Forward premium anomaly: New insight through a time-varying-parameter approach
  EO0487:  Y. Rho, X. Shao
  Bootstrap-assisted unit root testing with piecewise locally stationary errors
Session EO214 Room: LSK1033
Inference and applications for time series models Friday 16.6.2017   15:00 - 16:40
Chair: Kun Chen Organizer: NH Chan
  EO0574:  J. Cheng
  Efficient inference for nonlinear state space models with an automatic sample size selection rule
  EO0649:  M. Wang
  Least squares estimation of threshold cointegration
  EO0659:  X. Wu
  Unit Root Test with Structural Break of RMB/USD Exchange Rate
Session EO303 Room: LSK1034
Wavelets in economics and finance Friday 16.6.2017   15:00 - 16:40
Chair: Antonio Rua Organizer: Antonio Rua
  EO0200:  F. Verona, G. Faria
  Forecasting the equity risk premium with frequency-decomposed predictors
  EO0386:  A. Rua, P. Portugal
  Zooming the ins and outs of the U.S. unemployment
  EO0377:  M. Scharnagl, M. Mandler
  Financial cycles in the euro area: A wavelet analysis
  EO0610:  P. Crowley, D. Hudgins
  Stochastic and robust designs to model the interaction of fiscal and monetary policies in a wavelet-based framework
Parallel session J: EcoSta2017 Friday 16.6.2017 17:10 - 18:50

Session EI002 Room: LSKG001
Modern methods for complex functional and longitudinal data Friday 16.6.2017   17:10 - 18:50
Chair: Tsung-I Lin Organizer: Tsung-I Lin
  EI0440:  V.H. Lachos Davila, M. Castro, T.-I. Lin, L. Avila Matos
  Heavy-tailed longitudinal regression models for censored data: A likelihood based perspective
  EI0498:  J.-M. Chiou, Y.-T. Chen
  Identifying multiple changes in a sequence of functional data
  EI0770:  Y. Pan, J. Pan
  jmcm: An R package for joint mean-covariance modelling of longitudinal data
Session EO254 Room: LSKG003
New methods in high dimensional data analysis Friday 16.6.2017   17:10 - 18:50
Chair: Eric Chi Organizer: Yiyuan She
  EO0269:  W. Yao, D. Nandy, B. Lindsay, F. Chiaromonte
  Covariate information matrix for dimension reduction
  EO0270:  Q. Mai
  On the estimation of ultra-high dimensional semiparametric Gaussian copula models
  EO0837:  A. Linero
  Bayesian regression trees for high-dimensional prediction and variable selection
Session EO134 Room: LSKG007
Financial and risk management applications Friday 16.6.2017   17:10 - 18:50
Chair: Toshiaki Watanabe Organizer: Cathy W-S Chen
  EO0241:  P. Yu
  A nonparametric composite likelihood approach to multiple change-point problems
  EO0159:  W.-S. Chan, J.S.-H. Li, A.C.-Y. Ng
  Understanding the two-way relationship between the ASX and NZX indexes: A vector threshold autoregressive approach
  EO0183:  C.W.-S. Chen, T.-Y. Lin
  Nonparametric tolerance limits for pair trading
  EO0663:  M. So
  Bayesian shrinkage estimation of multivariate financial time series
Session EO060 Room: LSK1001
Time series modeling and its applications Friday 16.6.2017   17:10 - 18:50
Chair: Heung Wong Organizer: Heung Wong
  EO0156:  G. Li, Y. Zheng
  Quantile autoregressive conditional heteroscedasticity
  EO0274:  S. Ling
  Asymptotic inference for the threshold autoregressive model with a structural change
  EO0193:  X. Zhang, H. Zhu, X. Liang, Y. Li
  Moving average model with an alternative GARCH-type error
  EO0286:  F. Zhu
  Robust closed-form estimators for the integer-valued GARCH(1,1) model
Session EO146 Room: LSK1003
Topics in financial and nonparametric econometrics Friday 16.6.2017   17:10 - 18:50
Chair: Jeroen Rombouts Organizer: Artem Prokhorov, Jeroen Rombouts
  EO0284:  T. Ando, J. Bai
  Large scale panel quantile regressions with unobservable effects
  EO0354:  M. Hirukawa, A. Prokhorov
  Two-sample estimation of varying coefficient models via nearest neighbor matching
  EO0385:  J. Rombouts, F. Violante, L. Stentoft
  Modelling variance risk premia via variance swap payoffs
  EO0388:  L. Stentoft, J. Rombouts, F. Violante
  Pricing individual stock options using both stock and market index information
Session EO220 Room: LSK1005
New methods and applications in quantile regression and beyond Friday 16.6.2017   17:10 - 18:50
Chair: Weining Wang Organizer: Keming Yu
  EO0177:  G. Kobayashi, T. Choi, T. Roh
  Bayesian spectral analysis quantile regression models with shape restrictions
  EO0184:  R. Jiang
  Weighted composite quantile regression for single-index models
  EO0537:  J. Schnurbus, M. Fritsch, H. Haupt
  Nonlinear spatial hedonic quantile regression: Housing prices, relevant characteristics, and their shadow prices
  EO0393:  X. Yang, N.N. Narisetty, X. He
  A new approach to censored quantile regression estimation
Session EO278 Room: LSK1007
Learning theory and big data Friday 16.6.2017   17:10 - 18:50
Chair: Yiming Ying Organizer: Yiming Ying
  EO0428:  Q. Wu, N. Zhang
  Overlapping sliced inverse regression for dimension reduction
  EO0563:  J. Hu
  Strategies to facilitate access to detailed geocoding information based on synthetic data
  EO0555:  X. Chen
  Kaczmarz algorithm in learning theory
  EO0215:  X. Guo, J. Lin, D.-X. Zhou
  Convergence of the randomized Kaczmarz algorithm in Hilbert Spaces
Session EO070 Room: LSK1009
Recent advances in spatial statistics Friday 16.6.2017   17:10 - 18:50
Chair: Huiyan Sang Organizer: Huiyan Sang
  EO0283:  T. Chu
  Large dimensional penalized maximum likelihood estimation and variable selection in geostatistics
  EO0455:  H. Huang
  Regionalization of multiple air pollutants based on functional principal component analysis
  EO0548:  J. Du
  Variogram models on all spheres
  EO0547:  E. Kang
  Approaches for massive spatial data and applications in remote sensing
  EO0845:  H. Sang, F. Li
  Spatially clustered coefficient models with large data sets
Session EO086 Room: LSK1010
Regression and classification in high-dimensional spaces Friday 16.6.2017   17:10 - 18:50
Chair: Binyan Jiang Organizer: Chenlei Leng
  EO0243:  L. Du, A. Huang
  Sparse and multi-collinear regression via empirical Bayesian elastic net
  EO0636:  J. Xu
  Rank based screening for high-dimensional survival data
  EO0766:  B. Jiang, Z. Chen, C. Leng
  Dynamic linear discriminant analysis in high dimensional space
  EC0324:  G. Brandi
  Tensor regression in economics and finance
Session EO130 Room: LSK1011
Recurrent events Friday 16.6.2017   17:10 - 18:50
Chair: Eric Beutner Organizer: Laurent Bordes, Eric Beutner
  EO0406:  O. Bouaziz, A. Guilloux
  A penalized algorithm for event-specific rate models for recurrent events
  EO0413:  L. Doyen, E. Beutner, L. Bordes
  Consistent semiparametric estimation with recurrent event data based on virtual age models
  EO0380:  J. Sun
  Regression analysis of mixed and incomplete recurrent event data
  EO0635:  A. Adekpedjou, S. Dabo
  Semiparametric inference with spatially correlated recurrent event data
Session EO236 Room: LSK1014
Theory and numerics in estimating stochastic processes Friday 16.6.2017   17:10 - 18:50
Chair: Hiroki Masuda Organizer: Hiroki Masuda
  EO0442:  S. Eguchi
  Model selection for stochastic differential equations in YUIMA package
  EO0506:  Y. Koike
  Capturing heterogeneous lead-lag relationships from ultra high frequency data
  EO0305:  Y. Shimizu
  Parametric inference for ruin probability under Levy insurance risks
  EO0320:  M. Uchida
  Hybrid type estimation for ergodic diffusion processes based on reduced data
Session EO038 Room: LSK1027
Advances in statistical and econometric modelling of risk processes Friday 16.6.2017   17:10 - 18:50
Chair: Zudi Lu Organizer: Zudi Lu
  EO0296:  C. Dong, O. Linton
  Additive nonparametric models with time variable and both stationary and nonstationary regressors
  EO0665:  H. Shiraishi, Z. Lu
  Semiparametric estimation for optimal dividend barrier with insurance portfolio
  EO0708:  Y. Ding
  Safety-first rule based portfolio selection with background risk
  EO0686:  Z. Lu
  A review on semiparametric model averaging for dynamic time series with application to economic risk forecasting
Session EO276 Room: LSK1032
Financial econometrics Friday 16.6.2017   17:10 - 18:50
Chair: Tommaso Proietti Organizer: Gian Luigi Mazzi, Tucker McElroy
  EO0479:  D. Ladiray, J. Palate, G.L. Mazzi, T. Proietti
  Seasonal adjustment of daily data with JDemetra+: First results
  EO0464:  W. Lin, J. Huang, T. McElroy
  Time series seasonal adjustment using regularized singular value decomposition
  EO0620:  S. Chavleishvili, M. Kremer
  Testing stress
  EO0615:  M. Kremer, E. Gerba
  CISS in a time-varying environment: On the frequency of systemic distress
Session EO266 Room: LSK1033
Advances in optimal portfolio allocation and option pricing Friday 16.6.2017   17:10 - 18:50
Chair: Simon Kwok Organizer: Simon Kwok
  EO0438:  S. Kwok, R. Jarrow
  Specification test of multivariate calibrated models with application in option pricing
  EO0484:  U. Makov, Z. Landsman, T. Shushi
  A generalized measure for optimal portfolio selection
  EO0423:  B. Choy, S. Kwok, C. Yeap
  A flexible generalised hyperbolic option pricing model and special cases
  EO0518:  N. Wichitaksorn
  On the matrix copula with application to portfolio analysis
Session EO064 Room: LSK1034
Heteroskedasticity and autocorrelation robust inference Friday 16.6.2017   17:10 - 18:50
Chair: Cheng Liu Organizer: Yixiao Sun
  EO0278:  S. Bai, M. Taqqu, T. Zhang
  Self-normalized subsampling of time series
  EO0334:  J. Yang
  An exactly (almost) unbiased long run variance estimator addressing the finite sample bias
  EO0607:  C. Liu, Y. Sun
  Simple and trustworthy asymptotic $t$ tests in difference-in-differences regressions
  EO0605:  S. Rho, T. Vogelsang
  Inference in time series models using smoothed clustered standard errors
Parallel session K: EcoSta2017 Saturday 17.6.2017 08:30 - 09:50

Session EO150 Room: LSKG001
Advanced graphical and computational methods Saturday 17.6.2017   08:30 - 09:50
Chair: Garth Tarr Organizer: Garth Tarr
  EO0306:  K. Murray
  Computationally intensive methods for model selection using the mplot R package
  EO0161:  I. Wilms, L. Barbaglia, C. Croux
  Sparse estimation of multi-class vector autoRegressive models
  EO0581:  Z. Pang
  Cluster feature selection in high dimensional linear models
  EO0489:  I. Renner, O. Gimenez
  Species distribution modelling for combined data sources: New extensions
Session EC292 Room: LSKG007
Contributions in forecasting Saturday 17.6.2017   08:30 - 09:50
Chair: Danilo Leiva-Leon Organizer: EcoSta
  EC0709:  L. Chen
  Forecasting the ex-vessel price of Canadian snow crab using a VARMAX approach
  EC0811:  D. Rosadi
  Automatic ARIMA modeling and its application
  EC0213:  D. Leiva-Leon
  Markov-switching three-pass regression filter
  EC0813:  H. Nishino
  GARCH model for quantile income time series data and forecasting income inequality
Session EC284 Room: LSK1001
Contributions in time series Saturday 17.6.2017   08:30 - 09:50
Chair: Jean Marc Bardet Organizer: EcoSta
  EC0762:  S. Holleland, H.A. Karlsen
  Spatio-temporal GARCH models
  EC0769:  B. Stoeve, P. Doukhan, K. Fokianos, D. Tjoestheim
  Multivariate Poisson autoregression
  EC0190:  J.M. Bardet
  Asymptotic behavior of the Laplacian quasi-maximum likelihood estimator of affine causal processes
  EC0202:  Y. Yang, L. Bauwens
  State-space models on Stiefel manifold: Specification and estimation
Session EC294 Room: LSK1005
Contributions in statistical modelling Saturday 17.6.2017   08:30 - 09:50
Chair: Yao Rao Organizer: EcoSta
  EC0764:  Y. Rao
  Abnormal events detection by a real-time surveillance: The case of influenza outbreaks
  EC0772:  J. Chu
  Estimation of the population size of big data sets
  EC0800:  Y. Uehara
  Statistical inference for misspecified ergodic Levy driven stochastic differential equation models
  EC0802:  J. Shin
  Tail estimation for the cross-spectral density of a bivariate stationary Gaussian random field
Session EC289 Room: LSK1009
Contributions in multivariate methods Saturday 17.6.2017   08:30 - 09:50
Chair: Marc Hallin Organizer: EcoSta
  EC0706:  J. Zhou
  Overlapped groupwise dimension reduction
  EC0752:  L. Vana, R. Hirk, K. Hornik
  A joint model of firm failure and credit ratings
  EC0338:  M. Pesta, B. Pestova
  Testing structural changes and change point estimation in panel data without boundary issue
  EC0180:  F. Mc Isaac
  Testing Goodwin with a stochastic differential approach: The United States (1948-2015)
Session EC286 Room: LSK1033
Contributions in Bayesian econometrics Saturday 17.6.2017   08:30 - 09:50
Chair: Jiri Witzany Organizer: EcoSta
  EC0614:  S. Song, M. Jung, C. Kim, D. Yi, Y. Chung
  Bayesian hierarchical model for technical efficiency using a stochastic frontier production function
  EC0745:  Z. Liu, C. Forbes
  Robust Bayesian exponentially tilted empirical likelihood
  EC0730:  A. Borowska, L. Hoogerheide, S.J. Koopman
  Partially censored posterior for accurate left tail density prediction
  EC0505:  J. Witzany
  A Bayesian approach to backtest overfitting
Session EC285 Room: LSK1034
Contributions in financial econometrics I Saturday 17.6.2017   08:30 - 09:50
Chair: Roderick McCrorie Organizer: EcoSta
  EC0757:  R. McCrorie, I. Figuerola-Ferretti, I. Paraskevopoulos
  Mild explosivity in recent crude oil prices
  EC0734:  B. Sanhaji, T. Chuffart
  Misspecification tests in conditional covariances for large cross-sectional dimensions
  EC0754:  C.W. Cheang
  The fractionally cointegrated VAR model with threshold adjustment
  EC0791:  Y. Sun, S. Wang, Y. Hong
  Semiparametric estimations and identification of models with interval-valued time series
Session EG061 Room: LSK1003
Contributions on time series modeling and its applications Saturday 17.6.2017   08:30 - 09:50
Chair: Thomas Beissinger Organizer: EcoSta
  EC0718:  A. Halka, G. Szafranski
  On core inflation measures: Evidence from the European Union countries
  EC0815:  T. Beissinger, N. Chusseau, J. Hellier, M. Marczak
  The importance of price and non-price competitiveness for Euro countries' exports: An unobserved components model
  EC0747:  M. Marczak, T. Proietti, S. Grassi
  A data-cleaning augmented Kalman filter for robust estimation of state space models
  EC0819:  G. Dissanayake, G. Dissanayake, S. Peiris, T. Proietti
  State space modelling of long memory seasonal Gegenbauer processes: A final analysis
Session EG129 Room: LSK1007
Contributions in survival analysis Saturday 17.6.2017   08:30 - 09:50
Chair: Yan Shen Organizer: EcoSta
  EC0814:  F. Belzunce, C. Martinez-Riquelme
  Comparison of hazard rates for paired and non censored data
  EC0817:  M. Xie, A. Mukherjee, M. Gong
  Simultaneous phase-II monitoring of both scale and shape parameters of the Weibull distribution
  EC0344:  A. Beretta, C. Heuchenne
  Variable selection in proportional hazards cure model with time-varying covariates, application to bank failures
  EC0793:  Y. Shen
  Improved likelihood inferences for Weibull regression model
Session EG053 Room: LSK1010
Contributions in bootstrap methods Saturday 17.6.2017   08:30 - 09:50
Chair: Gil Gonzalez-Rodriguez Organizer: EcoSta
  EC0827:  T. Kenney, H. Gu
  The adequate bootstrap: A new method for measuring model uncertainty
  EC0850:  W. Wang
  Bootstrapping generalized empirical likelihood with many weak moment conditions
  EC0774:  H.A. Karlsen
  A new block bootstrap method for dependent data
  EC0715:  D. Kurisu, K. Kato
  Bootstrap confidence bands for Levy densities under high-frequency observations
Parallel session L: EcoSta2017 Saturday 17.6.2017 10:15 - 11:30

Session EO048 Room: LSKG001
Challenges in functional data analysis Saturday 17.6.2017   10:15 - 11:30
Chair: Jeng-Min Chiou Organizer: Jeng-Min Chiou
  EO0238:  J.-T. Zhang
  Testing the equality of the covariance functions of several functional populations
  EO0250:  C. Liu, J. Yang, T. Zhang
  Semiparametric incomplete functional response models with scalar predictors
  EO0424:  Y. Li
  Partially linear functional additive models for multivariate functional data
Session EO222 Room: LSKG007
Advances in complex time series analysis and its applications Saturday 17.6.2017   10:15 - 11:30
Chair: Guannan Wang Organizer: Lily Wang
  EO0232:  G. Wang, L. Wang
  Spline estimation and variable selection for single-index prediction models with diverging number of index parameters
  EO0661:  P. Du, Z. Gao, Z. Shang
  Variance change point detection under a smoothly-changing mean trend
  EO0566:  J. Wang
  Discussion on advanced topics in complex time series analysis
Session EO182 Room: LSK1003
Computational methods in financial statistics Saturday 17.6.2017   10:15 - 11:30
Chair: Chu-Lan Kao Organizer: Cheng-Der Fuh
  EO0224:  H. Wong, C.-D. Fuh, M. Chung
  Robust test of stock return predictability under heavy-tailed innovations
  EO0308:  C.-J. Wang
  Optimal search for parameters in Monte Carlo simulation for derivative pricing
  EO0382:  C.-L. Kao, C.-D. Fuh
  Correlated defaults under multi-factor models
Session EO030 Room: LSK1007
Recent advances in dynamic panel data and factor models Saturday 17.6.2017   10:15 - 11:30
Chair: Bin Peng Organizer: Degui Li
  EO0475:  B. Peng
  Semiparametric single-index panel data models with interactive fixed effects: Theory and practice
  EO0516:  H. Li
  Estimation and inference of panel data models with constrained interactive fixed effects
  EC0294:  E. Bura, A. Barbarino
  Sufficient and linear dimension reduction methods in forecasting
Session EO076 Room: LSK1009
Circular time series and statistical inference Saturday 17.6.2017   10:15 - 11:30
Chair: Toshihiro Abe Organizer: Toshihiro Abe
  EO0401:  T. Abe, H. Ogata, T. Shiohama, H. Taniai
  Asymptotically optimal inference for two modal concentration of antipodally symmetric circular distributions
  EO0461:  H. Ogata
  Multi-order circular Markov processes with canonical vine representations
  EO0471:  T. Shiohama, T. Abe, Y. Miyata
  Bayesian estimation for the inverse Batschelet distributions on the circle
Session EO307 Room: LSK1010
Recent advances in causal inference methods Saturday 17.6.2017   10:15 - 11:30
Chair: Qi Long Organizer: Qi Long
  EO0302:  J. Roy
  A fully Bayesian approach to structural nested failure time models
  EO0317:  J. Cheng
  Semiparametric models and inference for the treatment effect on nonnegative outcome clumped at zero
Session EO296 Room: LSK1011
Statistical models with applications Saturday 17.6.2017   10:15 - 11:30
Chair: Seng Huat Ong Organizer: Seng Huat Ong
  EO0214:  T. Imoto, K. Shimizu
  Constructing distributions on a circle through distributions on integers
  EO0301:  X. Zhan
  Complex multiplication models for circular regression
  EO0564:  S.H. Ong, S.Z. Sim
  A family of distributions for modelling dispersion in count data
Session EO260 Room: LSK1014
New developments in biomedical research II Saturday 17.6.2017   10:15 - 11:30
Chair: Jinfeng Xu Organizer: Wai-Keung Li, Jinfeng Xu
  EO0624:  F. Chen, X. Han, E. Lam, Y.B. Cheung, P. Milligan
  Estimation of time-varying intervention effects using recurrent event data with application
  EO0529:  S. Luo
  Optimal high-dimensional multiclass linear discriminant analysis
  EO0387:  A. Yuan
  Subgroup analysis with nonparametric unimodal symmetric error distribution
Session EC290 Room: LSK1001
Contributions in applied econometrics and statistics Saturday 17.6.2017   10:15 - 11:30
Chair: Richard Gerlach Organizer: EcoSta
  EC0690:  H. Li, K. Hanewald, A. Shao
  Modeling multi-state health transitions in China: A generalized linear model with time trends
  EC0707:  J. Morais, C. Thomas-Agnan, M. Simioni
  Impact assessment of media investments on automobile brand market-shares using compositional models
  EC0422:  L. Gao
  A study of statistical and machine learning methods for cancer classification using cross-species genomic data
Session EC287 Room: LSK1005
Contributions in Bayesian statistics Saturday 17.6.2017   10:15 - 11:30
Chair: Siew Li Linda Tan Organizer: EcoSta
  EC0826:  H. Gu, T. Kenney
  Prior distributions for ranking problems
  EC0220:  S.L.L. Tan, A. Jasra, M. De Iorio, T. Ebbels
  Bayesian inference for multiple Gaussian graphical models with application to metabolic association networks
Session EG239 Room: LSK1033
Contributions in financial econometrics II Saturday 17.6.2017   10:15 - 11:30
Chair: Bernd Schwaab Organizer: EcoSta
  EC0336:  B. Schwaab, X. Zhang
  Tail risk in government bond markets and ECB unconventional policies
  EC0682:  J. Voelzke, J. Diesteldorf, F. Goessling, T. Weigt
  Investors' favourite: A different look at valuing individual labour income
  EC0818:  T. Tichy, N. Kouaissah, S. Ortobelli
  Multivariate dominance among financial sectors
Session EG267 Room: LSK1034
Contributions in optimal portfolio allocation and option pricing Saturday 17.6.2017   10:15 - 11:30
Chair: Winfried Pohlmeier Organizer: EcoSta
  EC0726:  W. Pohlmeier, E. Kazak
  Testing out-of-sample portfolio performance
  EC0743:  X. Liang
  A sequential convex approximation method for optimal portfolio allocation
  EC0753:  S. Gur
  Pricing Parisian options with an adaptive Monte Carlo method
Parallel session N: EcoSta2017 Saturday 17.6.2017 14:00 - 15:40

Session EI004 Room: LSKG001
Bayesian nonparametrics Saturday 17.6.2017   14:00 - 15:40
Chair: Byeong Park Organizer: Byeong Park
  EI0699:  L. Lin, M. Chae, D. Dunson
  On the computational complexity of MCMC methods for some high-dimensional models
  EI0736:  Y. Kim
  Dynamic topic model using the power prior approach
Session EO028 Room: LSKG007
Forecasting economic and financial time series Saturday 17.6.2017   14:00 - 15:40
Chair: Alain Hecq Organizer: Alain Hecq
  EO0345:  A. Heinemann, E. Beutner, S. Smeekes
  Parameter uncertainty in confidence and prediction intervals
  EO0358:  G. Cubadda, B. Guardabascio
  Representation, estimation and forecasting of the multivariate index-augmented autoregressive model
  EO0356:  A. Hecq, S. Telg, J.V. Issler
  Mixed causal-noncausal autoregressions with strictly exogenous regressors
  EC0783:  A. Amendola, V. Candila, G. Storti
  Combining high-dimensional multivariate volatility forecasts
Session EO088 Room: LSK1001
Quantile regression in high dimensions Saturday 17.6.2017   14:00 - 15:40
Chair: Zhongyi Zhu Organizer: Huixia Judy Wang
  EO0217:  B. Sherwood
  High-dimensional partially linear additive quantile regression
  EO0390:  Q. Zheng
  High dimensional censored quantile regression
  EO0588:  Z. Zhou
  Change point tests for stochastic M-estimation
  EO0397:  L. Zhu
  Non-crossing multiple-index quantile regression
Session EO056 Room: LSK1003
Performance analysis Saturday 17.6.2017   14:00 - 15:40
Chair: Valentin Zelenyuk Organizer: Valentin Zelenyuk
  EO0315:  S.K. Li, C.-K. Tsang
  On the competitiveness of countries
  EO0622:  V. Zelenyuk
  Inference for non-parametric stochastic frontier model
  EO0695:  S.K. Wan
  Predicting pull and bear markets: On pooling opinions and sharpness
  EO0724:  K. Du, V. Zelenyuk
  Social-economic environment and economic development: Evidence from nonparametric analysis
Session EO078 Room: LSK1005
Modeling and testing problems with complex high-dimensional data Saturday 17.6.2017   14:00 - 15:40
Chair: Ming-Yen Cheng Organizer: Ming-Yen Cheng
  EO0226:  J. Li
  High-dimensional linear models with common breaks
  EO0364:  S. Wilson
  A novel approach to evaluating relationships in data containing mixed variable types
  EO0612:  W. Lou
  Dynamic latent class modeling with applications
  EO0580:  Y. Zhu, A.T.L. Tan, W.K. Cheang
  Regularized classification with its application to biomedical spectroscopic data
Session EO172 Room: LSK1007
Statistical inference and their applications to complex problems Saturday 17.6.2017   14:00 - 15:40
Chair: Dungang Liu Organizer: Regina Liu
  EO0425:  M.-G. Xie
  Confidence distribution a new inference tool for bridging Bayesian, frequentist and fiducial (BFF) inferences
  EO0415:  T. Mathew
  A probabilistic measure of cost-effectiveness for health economic evaluation
  EO0416:  Y. Hung, M.-G. Xie
  A sequential split-conquer-combine approach for Gaussian process modeling in computer experiments
  EO0677:  H. Zhang, D. Liu
  Surrogate residuals and diagnostics for regression model with an ordinal response
Session EO102 Room: LSK1009
New advances in statistical modeling, computation and applications Saturday 17.6.2017   14:00 - 15:40
Chair: Tsung-I Lin Organizer: Wan-Lun Wang
  EO0260:  C.Y.-L. Hsiao
  Joint tests of financial market contagion with applications
  EO0293:  W.-L. Wang, T.-I. Lin, V.H. Lachos Davila
  Multivariate-t linear mixed models for multiple longitudinal data with censorship and fat-tailed behavior
  EO0264:  J. Zhao
  Novel bayesian information criterion for choosing the number of factors in factor analysis with incomplete data
  EO0735:  M. Castro
  A censored time series model for responses on the unit interval
Session EO106 Room: LSK1010
Large-scale regression methods and algorithms Saturday 17.6.2017   14:00 - 15:40
Chair: Jian Kang Organizer: Peter Song
  EO0613:  N. Lin
  A parallel algorithm for large-scale penalized quantile regression
  EO0381:  R. Zhang
  Kriging over space and time based on a latent low-dimensional structure
  EO0833:  Z. Yu, A. Masud, W. Tu
  Variable selection for mixture and promotion time cure rate models
  EO0841:  T. Yu
  Finding latent signals of dynamic correlation in high-throughput expression data
Session EO194 Room: LSK1011
Nonparametric methods for variability estimation Saturday 17.6.2017   14:00 - 15:40
Chair: Bo Li Organizer: Bo Li
  EO0352:  N.N. Narisetty
  Extremal notion of depth and central regions for functional data
  EO0617:  B. Li
  Comparison between spatio-temporal random processes and application to climate model data
  EO0476:  T. Tong
  On the choice of difference sequence in a unified framework for variance estimation in nonparametric regression
  EO0619:  H. Zhang
  Approximate inferences for massive space-time data
Session EO198 Room: LSK1014
Recent development in statistical analysis of functional and image data Saturday 17.6.2017   14:00 - 15:40
Chair: Chunzheng Cao Organizer: Chunzheng Cao, Jian Qing Shi
  EO0625:  C. Cao
  Roust clustering and prediction on functional data based on a heavy-tailed process
  EO0632:  Y. Chen
  Brain MRI analysis based on a finite mixture model
  EO0631:  Y. Cheng, J.Q. Shi, J. Eyre
  Nonlinear mixed-effects scalar-on-function models and variable selection for kinematic upper limb movement data
  EO0629:  K. Choi
  Symmetry and asymmetry of the brain graph: Volume entropy view point
Session EO232 Room: LSK1026
Model estimation in mathematical finance Saturday 17.6.2017   14:00 - 15:40
Chair: Xiaoling Dou Organizer: Xiaoling Dou
  EO0158:  X. Han
  SVM-Jacobi for distribution fitting with applications to quantitative finance and actuarial science
  EO0323:  Y. Xue, Y. Liu, M. Taniguchi
  Robust interpolation problems in $L^p$
  EO0437:  J. Zhuang, J. Mateu
  Semi-parametric estimates of long-term background trend, periodicity, and clustering effect for a Hawkes point process
  EO0227:  X. Dou
  An investigation of Ochi's estimator
Session EO090 Room: LSK1027
Recent developments in time series analysis and related topics Saturday 17.6.2017   14:00 - 15:40
Chair: Sangyeol Lee Organizer: Sangyeol Lee
  EO0410:  J.Y. Ahn, S. Park, J.H.T. Kim, W. Lee
  On the dependence between frequency-severity and bonus-malus systems
  EO0372:  S. Lee, J. Lim
  On-line estimation of case fatality rate of South Korean MERS using run-off triangle data
  EO0430:  T. Lee
  Wild bootstrap Ljung box test for cross correlations of multivariate time series
  EO0404:  C.T. Ng
  Information criterion and change point detection for general causal time series
Session EO170 Room: LSK1032
Recent advances in time series analysis Saturday 17.6.2017   14:00 - 15:40
Chair: Chun Yip Yau Organizer: Chun Yip Yau
  EO0251:  K.W. Chan
  Robust optimal estimation of asymptotic covariance matrices in non-stationary multi-dimensional time series
  EO0285:  W.L. Ng, C.Y. Yau
  Test for the existence of finite moments via bootstrap
  EO0468:  K.W. Tsang
  Multivariate stochastic regression models with multi-step ahead predictors in macroeconomic time series
  EO0379:  K. Chen
  On the Bartlett correction of empirical likelihood for time series
Session EO242 Room: LSK1033
Bayesian modeling for spatiotemporal phenomena Saturday 17.6.2017   14:00 - 15:40
Chair: Fumiyasu Komaki Organizer: Fumiyasu Komaki
  EO0559:  R. Shibue, F. Komaki
  Neural decoding based on an infinite mixture model
  EO0583:  S. Nomura, Y. Ogata
  Spatial distribution of coefficients of variation and Bayesian forecasts for recurrence intervals of earthquakes
  EO0755:  K. Kyo, H. Noda
  Bayesian estimation of dynamic relationship between GDP and economic indicators for analyzing business cycles
  EO0794:  K. Nakamura, N. Fujioka, Y. Kono
  Application of data assimilation to particle simulation and point process
Session EO311 Room: LSK1034
Recent advances in joint modeling Saturday 17.6.2017   14:00 - 15:40
Chair: Ming Wang Organizer: Ming Wang
  EO0319:  L. Liu
  Causality in the joint analysis of longitudinal and survival data
  EO0318:  Q. Long
  Generalized bi-clustering analysis for integrative analysis with incorporation of structural information
  EO0481:  M. Wang
  A Bayesian joint frailty-copula approach for modeling recurrent events and a terminal event
  EO0633:  D. Xie, W. Yang, Q. Pan, H. Feldman, W. Guo
  Joint modeling of repeated measures and competing failure events in a study of chronic kidney disease
  EO0720:  L. Li
  Dynamic prediction through landmark survival models
Parallel session O: EcoSta2017 Saturday 17.6.2017 16:10 - 17:50

Session EO210 Room: LSKG001
New developments in fusion learning and statistical inferences Saturday 17.6.2017   16:10 - 17:50
Chair: Min-ge Xie Organizer: Min-ge Xie
  EO0417:  F. Liang
  Joint estimation of multiple Gaussian graphical models via multiple hypothesis tests
  EO0427:  H. Liang
  Feature subset sampling for prediction in high-dimensional linear models
  EO0486:  D. Liu, R. Liu, M.-G. Xie
  Nonparametric fusion learning using confidence distribution, data depth and bootstrap
  EO0834:  S. Thornton, M.-G. Xie
  Approximate confidence distribution computing: An effective likelihood-free method with statistical guarantees
Session EO068 Room: LSKG007
Advances in volatility modelling and forecasting Saturday 17.6.2017   16:10 - 17:50
Chair: Boris Choy Organizer: Boris Choy
  EO0452:  H. Leung, T.-H. Ke
  New analysis method for forecasting foreign exchange rates volatility during the global financial crisis
  EO0510:  R. Gerlach, C. Wang
  Bayesian semi-parametric realized-CARE models for tail risk forecasting incorporating realized measures
  EO0465:  C. Wang, R. Gerlach
  Forecasting risk via realized GARCH, incorporating the realized range
  EO0444:  C. Au, B. Choy
  Flexible modelling of heavy tails and skewness in multivariate GARCH models
Session EO188 Room: LSK1001
Applications and empirical research in economics and finance Saturday 17.6.2017   16:10 - 17:50
Chair: Tsung-Chi Cheng Organizer: Tsung-Chi Cheng
  EO0258:  Y. Zheng
  Empirical analysis on validity of economic approaches to environmental issues
  EO0496:  H.-H. Chang, K. Chen
  The spillover effects of US unconventional monetary policy on the Taiwanese economy
  EO0531:  H.-N. Lai, T.-C. Cheng
  Improvements for the estimation for the probability of informed trading models
  EO0473:  S.-J. Lin
  Country heterogeneity, happiness and income inequality
Session EO040 Room: LSK1003
Endogeneity and nonparametrics in models of production Saturday 17.6.2017   16:10 - 17:50
Chair: Artem Prokhorov Organizer: Artem Prokhorov
  EO0181:  A. Prokhorov
  Endogenous environmental variables in stochastic frontier models
  EO0218:  D. Henderson, C. Parmeter
  A partially parametric model
  EO0233:  K.C. Tran
  On the estimation of latent structure stochastic frontier panel data models
  EO0312:  L. Kutlu, K.C. Tran, M. Tsionas
  A time-varying true individual effects model with endogenous regressors
Session EO186 Room: LSK1005
Sufficient dimension reduction in survival analysis Saturday 17.6.2017   16:10 - 17:50
Chair: Ming-Yueh Huang Organizer: Chin-Tsang Chiang
  EO0421:  M.-Y. Huang
  A novel method of sufficient dimension reduction for censored survival data
  EO0445:  J.-J. Hsieh
  The survival function estimation of current status data with dependent censoring
  EO0405:  H.-C. Ho
  Estimation and model checking in a latent semiparametric model for recurrent event data with informative censoring
  EO0467:  S.-H. Wang
  Estimation of the sufficient dimension reduction score with censored survival data
Session EO082 Room: LSK1007
Advances in high-dimensional data analysis Saturday 17.6.2017   16:10 - 17:50
Chair: Hao Chen Organizer: Hao Chen
  EO0155:  J. Lederer
  Graphical models for discrete and continuous data
  EO0187:  Y. Feng
  Community detection with nodal information
  EO0256:  P.-S. Zhong, R. Li
  Homogeneity test of covariance matrices with high-dimensional longitudinal data
  EO0570:  Y. Choi, J. Taylor, R. Tibshirani
  Selecting the number of principal components: Estimation of the true rank of a noisy matrix
Session EO098 Room: LSK1009
Recent developments in ecological statistics Saturday 17.6.2017   16:10 - 17:50
Chair: Wen-Han Hwang Organizer: Wen-Han Hwang
  EO0280:  T.-J. Shen
  Variance estimation of a jackknife estimator of species richness
  EO0209:  J. Stoklosa, D. Warton
  A generalized estimating equation approach to multivariate adaptive regression splines
  EO0275:  M. Schofield
  Spatial capture-recapture models in continuous-time
  EO0350:  W.-H. Hwang
  Estimation of abundance from presence-absence maps using cluster models
Session EO142 Room: LSK1010
Recent advances in Bayesian computation Saturday 17.6.2017   16:10 - 17:50
Chair: Minh-Ngoc Tran Organizer: Minh-Ngoc Tran
  EO0365:  D. Nott, M. Smith, S.L.L. Tan, V. Ong
  Gaussian variational approximation with structured covariance matrices
  EO0368:  M. Scharth, M. Li
  Leverage, asymmetry and heavy tails in high-dimensional factor stochastic volatility models
  EO0562:  C. Drovandi, S. Leah, A. Pettitt, N. Friel
  Advances in sequential Monte Carlo methods for static Bayesian models
  EO0569:  R. Kohn, M.-N. Tran, M. Quiroz, M. Villani
  The block pseudo-marginal approach
Session EO202 Room: LSK1011
Nonparametric and semi parametric statistics and their applications Saturday 17.6.2017   16:10 - 17:50
Chair: Wenbo Wu Organizer: Xiangrong Yin
  EO0210:  X. Zhang
  Distance metrics for measuring joint dependence with applications
  EO0599:  C.Y. Tang, Y. Dong, Q. Xia
  A note on inverse regressions when responses are missing at random
  EO0658:  B. Li
  Combining eigenvalues and variation of eigenvectors for order determination
  EO0712:  Y. Xia
  Is sufficient dimension reduction helpful in prediction?
Session EO204 Room: LSK1014
Functional data analysis and its applications Saturday 17.6.2017   16:10 - 17:50
Chair: Ci-Ren Jiang Organizer: Ci-Ren Jiang
  EO0460:  A. Petersen, H.-G. Mueller
  Frechet regression for random objects with Euclidean predictors
  EO0276:  X. Zhang, J.-L. Wang
  An iterative approach to fitting varying-coefficient additive models
  EO0568:  H. Shou, S. Vandekar, L. Cui, K. Merikangas, V. Zipunnikov
  Understanding the time-varying associations between two functional measurements
  EO0170:  C.-R. Jiang, L.-H. Chen
  Sensible functional linear discriminant analysis
Session EO268 Room: LSK1027
Spatial econometrics Saturday 17.6.2017   16:10 - 17:50
Chair: Sophie Dabo Organizer: Sophie Dabo, Nicolas Debarsy
  EO0454:  A. Amiri
  Non parametric estimation of space-varying distribution
  EO0501:  S. Dabo, M.S. Ahmed
  Generalized partially linear spatial Probit models
  EO0511:  G. Geniaux, D. Martinetti
  A space-time-categorical local linear smoother for predicting land/house price
  EO0503:  N. Debarsy, J. LeSage
  Flexible dependence modeling using convex combinations of different types of weight structures
Session EO160 Room: LSK1032
New developments in financial time series Saturday 17.6.2017   16:10 - 17:50
Chair: Guodong Li Organizer: Guodong Li
  EO0339:  Q. Zhu, Y. Zheng, G. Li
  Quantile double autoregression
  EO0342:  E. Kong
  Factor models for asset returns based on transformed factors
  EO0376:  Y. Yang, D. Li, S. Ling
  On the quasi-maximum likelihood estimation of threshold GARCH Models
  EO0775:  L. Huang
  Estimation of semivarying coefficient time series models with ARMA errors
Session EO120 Room: LSK1033
Nonlinear time series Saturday 17.6.2017   16:10 - 17:50
Chair: Philip Yu Organizer: Philip Yu
  EO0174:  Y. Li, N. Chan, C.Y. Yau
  Group orthogonal greedy algorithm for change-point estimation of multivariate time series
  EO0244:  R. Lu, P. Yu
  Buffered vector error-correction models
  EO0248:  X. Wang, P. Yu
  A dynamic matrix factor model for multivariate realized volatility
Session EO316 Room: LSK1034
Financial integration and crisis transmission Saturday 17.6.2017   16:10 - 17:50
Chair: Vance Martin Organizer: Vance Martin
  EO0577:  V. Martin
  A multivariate integer-valued model of the transmission of financial crisis across global asset markets
  EO0627:  A. Tremayne, M. Dungey, V. Martin, C. Tang
  The count of Monte Carlo: Analysing global banking crises, 1800-2010
  EC0634:  R. Fry-McKibbin, C.Y.-L. Hsiao, V. Martin
  Global and regional financial integration in East Asia and the ASEAN
  EO0703:  P. Kitney
  Financial factors and monetary policy: Determinacy and learnability of equilibrium