KEYNOTE TALKS (GMT)
| Keynote talk 1 | Saturday 17.12.2022 | 08:30 - 09:30 | Room: BH (N) -1.01 |
| Dynamic models using score copula innovations | |||
| Speaker: M. Pitt | Chair: Tommaso Proietti | ||
| Keynote talk 2 | Saturday 17.12.2022 | 08:30 - 09:30 | Room: Safra Lecture Theatre |
| New graphical displays for classification | |||
| Speaker: P. Rousseeuw Co-authors: J. Raymaekers, M. Hubert | Chair: Kalliopi Mylona | ||
| Keynote talk 4 | Monday 19.12.2022 | 13:35 - 14:25 | Room: Safra Lecture Theatre |
| The role of energy in UK inflation and productivity | |||
| Speaker: J.L. Castle | Chair: Benjamin Holcblat | ||
| Keynote talk 3 | Monday 19.12.2022 | 18:45 - 19:40 | Room: Safra Lecture Theatre |
| Conditional tail moment and reinsurance premium estimation under random right censoring | |||
| Speaker: A. Guillou Co-authors: Y. Goegebeur, J. Qin | Chair: Juan Romo | ||
PARALLEL SESSIONS (GMT)
| Parallel session C: CMStatistics | Saturday 17.12.2022 | 10:00 - 12:05 |
| Session EO624 | Room: K0.19 |
| Advanced methods for Bayesian modeling | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Florian Frommlet | Organizer: Florian Frommlet |
| B0651: A. Mozdzen, G. Kastner, A. Cadonna, A. Cremaschi, A. Guglielmi | |
| Bayesian modeling and clustering for spatio-temporal areal data | |
| B0589: L. Gruber, G. Kastner | |
| Forecasting macroeconomic data with Bayesian VARs: Sparse or dense | |
| B0603: O. Kolbjornsen, C. Semin-Sanchis | |
| Sample free inference for Bayesian inverse problems, a local approximation | |
| B0785: F. Frommlet, G.O. Storvik, A. Hubin | |
| Flexible Bayesian nonlinear model configuration | |
| B0632: A. Hubin, R. De Bin, G. Heinze | |
| Genetically modified mode jumping MCMC approach for Bayesian multivariate fractional polynomials |
| Session EO629 | Room: K0.20 |
| Extreme value statistics | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Antoine Usseglio-Carleve | Organizer: Antoine Usseglio-Carleve |
| B0961: A. Daouia, G. Stupfler, A. Usseglio-Carleve | |
| Extreme value modelling of SARS-CoV-2 community transmission using discrete Generalised Pareto distributions | |
| B1603: M. de Carvalho, A. Kumukova, G. dos Reis | |
| Regression-type analysis for multivariate extreme values | |
| B1640: I. Gomes, F. Caeiro, F.O. Figueiredo, L. Henriques-Rodrigues | |
| Accurate ways to measure risks of extreme events | |
| B1727: T. Ahmad, C. Gaetan, P. Naveau | |
| Modelling of discrete extremes through extended versions of discrete generalized Pareto distribution | |
| B1964: F. Reinbott, M. Schlather, A. Janssen | |
| Principal component analysis of max-stable distributions |
| Session EO274 | Room: K0.50 |
| Design of experiments and data analysis | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Kalliopi Mylona | Organizer: Kalliopi Mylona |
| B1081: I. Garcia-Camacha Gutierrez, R. Martin-Martin, J.L. Polo Sanz, A. Sebastia Bargues | |
| Robust design for mixture experiments: An efficient class of exchangeable designs for Scheff polynomials | |
| B1092: V. Koutra | |
| Design of experiments for networks | |
| B1585: P. Goos, J. Nunez Ares, M.S. Ismail Hameed | |
| D-optimal two-level designs for main-effects models: Some new results | |
| B1601: M. Borrotti, F. Cucchi, A. Melloncelli, F. Sambo, K. Mylona | |
| MultiDOE: A multi-criteria design of experiments R package | |
| B1649: O. Egorova, S. Gilmour, K. Mylona | |
| Sequential multi-objective planning of factorial experiments with restricted randomisation |
| Session EO601 | Room: S0.11 |
| Complexity and computational aspects of MCMC methods | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Florian Maire | Organizer: Florian Maire |
| B0590: T. Farghly, J. Yang | |
| Adaptive Langevin Monte Carlo methods for heavy-tailed sampling via weighted functional inequalities | |
| B1617: J. Vogrinc, S. Livingstone, G. Zanella | |
| Optimal design of the Barker proposal and other locally-balanced Metropolis--Hastings algorithms | |
| B1681: G. Vasdekis | |
| Pseudo-marginal piecewise deterministic Monte Carlo | |
| B1823: S. Syed, T. Campbell, N. Surjanovic, A. Bouchard | |
| Parallel tempering with a variational reference | |
| B0286: A. Beskos, M. Graham, A. Thiery | |
| Manifold Markov chain Monte Carlo methods for Bayesian inference in diffusion models |
| Session EO112 | Room: S0.13 |
| Projection pursuit: Theory | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Nicola Loperfido | Organizer: Nicola Loperfido |
| B1144: J. Kent | |
| Partial least squares and interesting directions in data | |
| B0763: Z. Landsman, T. Shushi | |
| The location of a minimum variance squared distance functional | |
| B0788: T. Shushi, N. Loperfido | |
| Optimal portfolio projections and their applications to skew-elliptically distributed portfolio returns | |
| B0341: C. Zhang | |
| A computational perspective on projection pursuit in high dimensions: Feasible or infeasible feature extraction | |
| B0907: N. Loperfido | |
| Projection pursuit in high dimensions |
| Session EO585 | Room: S-1.04 |
| Advances in multivariate statistics | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Cinzia Franceschini | Organizer: Cinzia Franceschini |
| B0911: M.G. Onorati, C. Franceschini, F.D. dOvidio | |
| How to measure changing patterns of taste and food consumption in transitional times | |
| B1239: M. Piochi, C. Franceschini, L. Torri | |
| Evaluating the individual variability across consumers in texture perception through different classification approaches | |
| B1165: V. Santarcangelo, M. Giacalone, D.C. Sinito | |
| An honeypot-semantic approach of data acquisition and data mining for corporate compliance analysis | |
| B1288: M. Giacalone, S. Bonnini, M. Borghesi | |
| Advances on permutation tests for non-monotonic alternatives |
| Session EO264 | Room: S-1.06 |
| Advances in mixture modelling and model-based clustering | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Bettina Gruen | Organizer: Bettina Gruen |
| B0513: P. Papastamoulis | |
| Model-based clustering of multinomial count data under the presence of covariates | |
| B0630: A. Casa, T. O Callaghan, T.B. Murphy | |
| Unveiling patterns in spectroscopy data via a Bayesian latent variables approach | |
| B0697: M. Papathomas, W. Jing, S. Liverani | |
| Reliable variance matrix priors for Bayesian mixture models with Gaussian kernels | |
| B1546: S. Robin, S. Donnet | |
| Accelerating Bayesian estimation for network Poisson models using frequentist variational estimates | |
| B1981: J. Vavra, A. Komarek, B. Gruen, G. Malsiner-Walli | |
| Clusterwise multivariate regression of mixed-type panel data |
| Session EO622 | Room: S-1.27 |
| Advances in longitudinal data modeling | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Maria Francesca Marino | Organizer: Maria Francesca Marino |
| B1102: F. Dotto, R. Di Mari, A. Farcomeni, A. Punzo | |
| Measurement invariance and latent Markov models: A model selection problem | |
| B0558: L. Merlo, L. Petrella, N. Tzavidis | |
| Quantile mixed hidden Markov models for multivariate longitudinal data: An application to children's SDQ scores | |
| B1240: S. Pandolfi, F. Bartolucci, M.F. Marino | |
| Including attributes in dynamic stochastic blockmodels: An application to international trade data | |
| B1331: J. Pohle, J. Signer, U. Schlaegel | |
| Markov-switching conditional logistic regression with application to animal movement data of interacting individuals | |
| B1166: M. Doretti, E. Stanghellini, P. Berta, M. Raggi | |
| On path-specific natural effects with a binary outcome and two binary mediators |
| Session EO655 | Room: S-2.23 |
| Recent advances in tree ensemble methods | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Roman Hornung | Organizer: Roman Hornung |
| B0199: L. Mentch | |
| Random forests: Why they work and why that is a problem | |
| B0230: A. Hapfelmeier, R. Hornung, B. Haller | |
| Sequential permutation testing of random forest variable importance measures | |
| B0783: Y. Cui, M. Kosorok, E. Sverdrup, S. Wager, R. Zhu | |
| Estimating heterogeneous treatment effects with right-censored data via causal survival forests | |
| B1040: C. Benard | |
| Variable importance for random forests: MDA and Shapley effects | |
| B1028: L. Arnould, E. Scornet, C. Boyer | |
| Interpolation and random forests |
| Session EO614 | Room: Virtual R01 |
| Non-regular techniques for statistical modeling and computing | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Tsung-I Lin | Organizer: Tsung-I Lin |
| B0206: W.-L. Wang, T.-I. Lin | |
| Multivariate linear mixed models with censored and nonignorable missing outcomes | |
| B0398: E. Mirfarah, M. Naderi, W.-L. Wang, T.-I. Lin | |
| Robust class of non-normal cluster-wise regression models | |
| B0402: M. Castro, J.J. Quinlan Binelli, G. Page | |
| Joint random partition models for multivariate change point analysis | |
| B0418: M. Naderi, E. Mirfarah | |
| Robust clusterwise regression analysis for the censored data |
| Session EO392 | Room: Virtual R02 |
| Advances in non- and semi-parametric inference for complex data | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Catia Scricciolo | Organizer: Catia Scricciolo |
| B0458: C. Mancini | |
| Drift burst test statistic in a pure jump semimartingale model | |
| B1245: B. Eggen, A. van der Vaart, S. van der Pas | |
| Bayesian sensitivity analysis for a missing data model | |
| B0455: D. Kurisu, R. Fukami, Y. Koike | |
| Adaptive deep learning for nonparametric time series regression | |
| B1736: D. Han, K. Lee, Y. Chung, T. Choi | |
| Semiparametric Bayesian two-stage meta-analysis for association between ambient temperature and new cases of COVID-19 | |
| B1752: K.W. Chan, C.H. Cheng | |
| A general framework for constructing locally self-normalized multiple-change-point tests |
| Session EO218 | Room: Virtual R03 |
| Recent advances in directional statistics | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Arthur Pewsey | Organizer: Arthur Pewsey |
| B0572: R. Crujeiras, M. Alonso-Pena | |
| Multimodal regression with circular data | |
| B0443: S. Jung | |
| Geodesic projection of directional distributions for projection pursuit | |
| B0347: S. Huckemann, B. Eltzner, S. Hundrieser | |
| The role of finite sample smeariness for directional statistics | |
| B0939: S. Kato, A. Pewsey | |
| A Cauchy-type model for cylindrical data | |
| B0804: A. Pewsey, S. Kato | |
| Inference for a Cauchy-type model for cylindrical data |
| Session EO648 | Room: Virtual R04 |
| Advances in robust functional and high dimensional data analysis | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Ioannis Kalogridis | Organizer: Ioannis Kalogridis |
| B0475: A. Ghosh, M. Jaenada, L. Pardo | |
| Robust adaptive variable selection in ultra-high dimensional linear regression models | |
| B1781: J. Zhou, H. Zou | |
| AMP meets expectiles: Testing heteroscedasticity and asymmetry in high dimensions | |
| B0810: L. Insolia, F. Chiaromonte, R. Li, M. Riani | |
| Doubly robust feature selection with mean and variance outlier detection and oracle properties | |
| B0583: S. Van Aelst, I. Kalogridis | |
| Robust penalized estimators for functional linear regression |
| Session EO060 | Room: Safra Lecture Theatre |
| Methods and applications for functional data analysis | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Enea Bongiorno | Organizer: Enea Bongiorno |
| B1084: N. Pronello, E. del Gobbo, L. Fontanella, R. Ignaccolo, L. Ippoliti, S. Fontanella | |
| Mapping Brexit debate on twitter via functional graphical models | |
| B1112: C. Capezza, F. Centofanti, A. Lepore, B. Palumbo | |
| Robust control charts for multivariate functional data | |
| B1381: P. Chassat, J. Park, N. Brunel | |
| Analysis of variability in three-dimensional curves: Development of a generative model | |
| B1685: K.L.L. Chan | |
| A specification test for the single functional index model | |
| B0797: G. Van Bever, J.M. Jeon | |
| Flexible Hilbertian additive regression with small errors-in-variables |
| Session EO156 | Room: K2.31 (Nash Lec. Theatre) |
| Model assessment | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Maria Dolores Jimenez-Gamero | Organizer: Maria Dolores Jimenez-Gamero |
| B0379: D. Bagkavos, M. Guillen, J.P. Nielsen | |
| Conditional distribution function estimation and bandwidth selection under censoring | |
| B0496: G. Rivas, M.D. Jimenez-Gamero | |
| A low computational cost approximation for a independence test in non-parametric regression | |
| B0531: F. Chen, X. Li, H. Liang, D. Ruppert | |
| Model checking for logistic models when the number of parameters tends to infinity | |
| B0916: D. Gaigall, L. Baringhaus | |
| A goodness-of-fit test for the compound Poisson exponential model | |
| B1150: V. Alba-Fernandez, M.D. Jimenez-Gamero | |
| Homogeneity of marginal distributions for a large number of populations | |
| B1237: J. Visagie, J. Allison, E. Bothma | |
| New tests for the Weibull distribution using Stein's method in the presence of random right censoring |
| Session EC816 | Room: K0.16 |
| Network data | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Yumou Qiu | Organizer: CFE-CMStatistics |
| B0239: J.J. Cai, D. Yang, W. Zhu, H. Shen, L. Zhao | |
| Network regression and supervised centrality estimation | |
| B0629: I. Fabris-Rotelli, J. Modiba, A. Stein, G. Breetzke | |
| Linear hotspot detection for a point pattern in the vicinity of a linear network | |
| B1541: Y. Zhang, V. Panchenko | |
| Identifying relations between summary statistics and parameters in ABC: A network approach | |
| B1766: M. Sabek, U. Pigorsch | |
| Local assortativity in weighted and directed complex networks | |
| B1018: T. Li | |
| Community detection for directed networks with awareness of node popularity |
| Session EC754 | Room: K0.18 |
| Time series | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Tommaso Proietti | Organizer: CFE-CMStatistics |
| B0340: T. Besbeas, F. Labrinakou | |
| Statistical inference in binomial time series when the number of trials is small | |
| B0682: M. Felix, D. La Vecchia | |
| Semiparametric estimation for time series: A frequency domain approach based on optimal transportation theory | |
| B0335: F. Chao, B. Masquelier, H. Rue, H. Ombao, L. Alkema | |
| A Bayesian hierarchical time series model for estimating sex ratios in youth mortality | |
| B1043: C.F. Jimenez Varon, T.-H. Li, Y. Sun | |
| Semi-parametric estimation for the quantile coherence in multivariate time series | |
| B2031: A. El Yaagoubi Bourakna, M.K. Chung, H. Ombao | |
| Modeling and simulating dependence in networks using topological data analysis |
| Session EC812 | Room: K2.40 |
| Dimension reduction and shrinkage methods | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Onno Kleen | Organizer: CFE-CMStatistics |
| B0332: J. Kang, K. Kim | |
| A comparative study of linear and nonlinear sufficient dimension reduction | |
| B0369: Y. Park, K. Kim, J.K. Yoo | |
| On cross-distance selection algorithm for hybrid sufficient dimension reduction | |
| B0534: C. Lee, J.K. Yoo | |
| Comparing Grassmann manifold optimization and sequential candidate set algorithm in a principal fitted component model | |
| B0322: M. Shin, J.K. Yoo | |
| Intensive comparison of semi-parametric and non-parametric dimension reduction methods in forward regression | |
| B2028: F. Mies, A. Steland | |
| Projection inference for high-dimensional covariance matrices with structured shrinkage targets |
| Session EC815 | Room: K2.41 |
| Neuroimaging | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Russell Shinohara | Organizer: CFE-CMStatistics |
| B1555: I.I. Gauran, H. Ombao, Z. Yu | |
| Cross-validation for high-dimensional testing in imaging genetics | |
| B1563: S. Weinstein, R. Shinohara, J.Y. Park | |
| Hypothesis testing and spatial localization of associations in multi-modal neuroimaging studies | |
| B1608: M. Palma, S. Tavakoli, J. Brettschneider, T. Nichols, A.-M. Staicu | |
| Normative brain mapping of 3-dimensional morphometry imaging data using skewed functional data analysis | |
| B1730: M. Guerrero, H. Ombao, R. Huser | |
| Club Exco: Clustering brain extreme communities from multi-channel EEG data | |
| B1690: D. Tu, J. Wrobel, A. Adebimpe, T. Satterthwaite, J. Goldsmith, J. Gertheiss, D. Bassett, R. Shinohara | |
| Regression and alignment for functional data and network topology |
| Session EC809 | Room: S0.03 |
| Spatial statistics | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Sara Taskinen | Organizer: CFE-CMStatistics |
| B1689: P. Girardi, V.M. Musau, C. Gaetan | |
| Spatial clustering of time series using Bayesian quantile regression | |
| B1716: T.-M. Pasanen | |
| Spatio-temporal Bayesian methods for historical data | |
| B1841: S. Taskinen, M. Sipila, K. Nordhausen | |
| Robust spatial blind source separation | |
| B1776: T. Hirano | |
| A multi-resolution approximation by linear projection and covariance tapering for large spatial datasets | |
| B1996: K.A. Ayalew, S. Manda, B. Cai | |
| Non-normal estimation of multiple spatial data using multivariate skews normal process |
| Session EC822 | Room: S0.12 |
| Multivariate statistics and complex data | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Roberto Fontana | Organizer: CFE-CMStatistics |
| B0262: M. Solis, A. Hernandez | |
| Geometric goodness of fit measure to detect patterns in data point clouds | |
| B0442: M. Michaelides | |
| Individual claims reserving using activation patterns | |
| B1740: R. Fontana, P. Semeraro | |
| High dimensional multivariate Bernoulli distributions with identical margins | |
| B1852: I. Papageorgiou, S. Voutsinas | |
| Multivariate statistical quality control for autocorrelated data | |
| B2032: R. Hipp, G. Halaj | |
| Decomposing systemic risk and the roles of contagion and common exposures: A structural approach |
| Session EC821 | Room: S-1.01 |
| Statistical modelling I | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Andriette Bekker | Organizer: CFE-CMStatistics |
| B0245: P. Nagar, A. Bekker, M. Arashi, C.-J. Kat, A.-C. Barnard | |
| Modeling multivariate circular-linear data in a biomechanical study | |
| B0377: B. Otieno Macoduol | |
| An extension of the quantile splicing technique for piece-wise distributions | |
| B0549: S. Siegfried, L. Kook, T. Hothorn | |
| Distribution-free location-scale regression | |
| B1578: K. Burke | |
| A novel differentiable unification of least absolute deviations and least squares | |
| B1793: S.G. Haastert, M. Hettich | |
| Modelling cooperation in a dynamic common pool resource game with deep reinforcement learning |
| Session EC825 | Room: S-2.25 |
| Applied machine learning | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Alejandro Murua | Organizer: CFE-CMStatistics |
| B1775: S. Poggi | |
| Emotions affect investors' willingness to take risks during trading sessions: A machine learning experimental research | |
| B1494: A. Negahdari Kia, P. Sarzaeim, K. Burke, P. Shamsi | |
| Feature ranking in the diagnosis of cardiovascular diseases | |
| B1943: S. Karkkainen, J. Arje, J. Raitoharju, A. Iosifidis, V. Tirronen, K. Meissner, M. Gabbouj, S. Kiranyaz | |
| Top-down classifiers with hierarchy based on taxonomic resolution used by human experts | |
| B0544: M. Nagy-Lakatos, S. Baran | |
| Statistical post-processing of visibility ensemble forecasts | |
| B1884: M.D.C. Robustillo Carmona, C.J. Perez Sanchez, M.I. Parra Arevalo, L. Naranjo Albarran | |
| Autoregressive neural networks for predicting temperature, relative humidity, and weight of beehives |
| Session EC807 | Room: Council room |
| Survival analysis I | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Shaun Seaman | Organizer: CFE-CMStatistics |
| B0569: B. Tamasi, T. Hothorn | |
| Mixed-effects additive transformation models | |
| B0750: D. Dobler, E. Musta | |
| Residual mean survival times in the presence of cure fractions in a two-sample problem | |
| B0571: M. Escobar-Bach, O. Goudet | |
| Nonparametric survival estimation with missing not at random censoring indicators | |
| B1797: R. Braekers | |
| Modelling the association structure in clustered right-censored survival data by factor copulas | |
| B1760: L. McQuaid, S. Moghaddam, K. Burke | |
| Variable selection in the power-generalized Weibull distributional regression model |
| Parallel session C: CFE | Saturday 17.12.2022 | 10:00 - 12:05 |
| Session CO645 | Room: Virtual R05 |
| Regularisation in econometric models | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Ralf Wilke | Organizer: Ralf Wilke |
| A0683: J. Kueck, M. Huber | |
| Testing the identification of causal effects in data | |
| A0725: C. Huang, V. Chernozhukov, W. Wang | |
| Learning network with focally sparse structure | |
| A0962: E. Mammen, R. Wilke, K.M. Zapp | |
| Estimation of group structures in panel models with individual fixed effects | |
| A1051: A. Dzemski, W. Wang, R. Okui | |
| Inference after multiple hypothesis testing |
| Session CO358 | Room: BH (SE) 1.02 |
| Recent developments in structural VARs | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Joshua Chan | Organizer: Joshua Chan |
| A0481: C. Baumeister | |
| Advances in using vector autoregressions to estimate structural magnitudes | |
| A0647: M. Bruns, H. Luetkepohl | |
| Heteroskedastic proxy VARs: Testing for time-varying impulse responses in the presence of multiple proxies | |
| A1468: P. Amir Ahmadi, C. Matthes, M.-C. Wang | |
| Understanding instruments in macroeconomics: A study of high-frequency identification | |
| A1631: T. Haertl | |
| Learning based uncertainty quantification in set identified SVARs | |
| A1416: J. Chan, C. Matthes, X. Yu | |
| Large Bayesian VARs with many structural restrictions |
| Session CO266 | Room: BH (SE) 1.05 |
| Credit risk modelling | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Raffaella Calabrese | Organizer: Raffaella Calabrese |
| A0515: M. Nagl, M. Nagl, D. Roesch | |
| Quantifying model uncertainty of machine learning methods for loss given default estimation | |
| A0900: A. Bellotti | |
| Detecting local bias and error in credit risk models | |
| A1037: V. Ioannou, R. Calabrese, F. Lindgren | |
| A multilevel scoring model with pooled cross-sectional and multi-period data including financial agents efficiency | |
| A1946: R. Calabrese, M. Cowling, Y. Wang | |
| How climate change and supply chain affect SMEs financing | |
| A2022: S. Saurin, C. Hurlin, C. Perignon | |
| The fairness of credit scoring models |
| Session CO366 | Room: BH (SE) 2.05 |
| Cryptocurrency analytics | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Marcell Tamas Kurbucz | Organizer: Marcell Tamas Kurbucz |
| A0542: D. Svogun | |
| Moving-average technical rules with a variable band in cryptocurrency markets | |
| A0577: J. Sila, M. Mark, L. Kristoufek | |
| On empirical challenges in forecasting market betas in crypto markets | |
| A0604: K. Zhang, S. Trimborn | |
| Influencer detection between cryptocurrency sectors via sparse network analysis | |
| A0660: M.T. Kurbucz, A. Jakovac, P. Posfay | |
| Predicting the price movement of cryptocurrencies using linear law-based feature space transformations |
| Session CO730 | Room: BH (SE) 2.10 |
| Measuring climate-related financial risks | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Juan-Angel Jimenez-Martin | Organizer: Juan-Angel Jimenez-Martin |
| A0324: D. Robles, L. Garcia-Jorcano, J.-A. Jimenez-Martin | |
| Tail sensitivity of stocks to carbon risk: A sectoral analysis | |
| A0334: C. Gonzalez, R. Gimeno | |
| The role of a green factor in stock prices: When Fama \& French go green | |
| A0362: L. Garcia-Jorcano, J.-A. Jimenez-Martin, D. Robles | |
| Growth exposure to climate change risk: ClimaGRisk | |
| A0469: L. Sanchis-Marco, L. Garcia-Jorcano | |
| Forecasting climate risk by extreme sea level rises and its impact on financial markets | |
| A0899: A.M. Garcia Sanz | |
| The impact of sustainability on financial risk: A firm level analysis |
| Session CO036 | Room: BH (SE) 2.12 |
| Topics in quantitative finance | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Gabriele Torri | Organizer: Gabriele Torri, Sandra Paterlini |
| A0298: P. Caraiani | |
| Sentiment-based financial networks and the impact of monetary policy shocks | |
| A1467: S. Paterlini, K. Bax, G. Bonaccolto | |
| Do lower ESG-rated companies have a higher systemic impact: Empirical evidence from Europe and the United States | |
| A1322: G. Torri, S. Paterlini, E. Taufer, R. Giacometti, G. Terdik | |
| The generalized precision matrix: Dependency in non-Gaussian settings, theory and financial applications | |
| A1605: D. Maringer, S. Paterlini | |
| Improving index tracking and portfolio performance with regularisation | |
| A1632: P. Staehli, D. Maringer | |
| Maximum drawdown-optimized portfolios |
| Session CO030 | Room: BH (S) 1.01 Lecture Theatre 1 |
| Current challenges to macro and financial stability | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Claudio Morana | Organizer: Claudio Morana |
| A0360: J. Fernandez de Bilbao, I. Figuerola-Ferretti, A. Santos Moreno, I. Paraskevopoulos | |
| Does crime pay? The financial consequences of bank misconduct | |
| A0479: E. Ossola, L. Alessi, R. Panzica | |
| When do investors go green: Evidence from a time-varying asset-pricing model | |
| A0520: R. Panzica, M. Caporin, F. Fontini | |
| The systemic risk of US oil and natural gas companies | |
| A0328: A. Ajello | |
| Getting in all the cracks: Monetary policy, financial vulnerabilities, and macro risk | |
| A0849: C. Morana | |
| Euro area inflation and a new core inflation measure |
| Session CC769 | Room: BH (S) 2.02 |
| Computational and high-dimensional econometrics | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Alessandra Amendola | Organizer: CFE |
| A1905: M. Belfrage | |
| Machines do not go for lunch: A new diurnal adjustment for trade durations | |
| A0801: D. Ammon, T. Hartl, R. Tschernig | |
| Determining the number of factors in fractionally integrated factor models | |
| A1334: A. Verhoijsen, P. Krupskiy | |
| Fast inference for high-dimensional one-factor copula models with additional Gaussian factors | |
| A0354: A. Santos | |
| Parallel computing and software integration applied to financial models calibration | |
| A1842: A. Srakar | |
| Approximate Bayesian numerical method with product-Whittle-Matern-Yasuda kernel for Rosen's hedonic regression |
| Session CC780 | Room: BH (S) 2.05 |
| Applied econometrics | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Gianluca Cubadda | Organizer: CFE |
| A1731: F. Schmal | |
| Decomposing earnings uncertainty using German SOEP data | |
| A1774: K. Stabenow, S. Martin | |
| The effect of retirement age reform on retirement behavior: Analysis and synthesis of several natural experiments | |
| A1892: S. Roszkowska, B. Kula, N. Pawelec, M. Swieczkowski, A. Kubis, A. Tomaszuk-Kazberuk, H. Bachorzewska-Gajewska, L. Kuzma | |
| Environmental and socioeconomic determinants of cardiovascular disease: The case of Poland | |
| A1005: K.B. Tan | |
| Time series forecasting of tourist arrival in Singapore | |
| A1095: I.C. Figuerola-Ferretti Garrigues | |
| Leverage driven bubbles in the Chinese real estate corporate sector |
| Session CC750 | Room: BH (SE) 1.01 |
| Econometric modelling | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Alain Hecq | Organizer: CFE |
| A1364: C. Mastromarco, L. Simar, I. Van Keilegom | |
| Estimating nonparametric conditional frontiers and efficiencies: A new approach | |
| A1620: A. Raknerud, T.V. Brasch, T. Vigtel | |
| Identifying the elasticity of substitution with biased technical change: A structural panel GMM estimator | |
| A1983: S. Majumdar | |
| Stochastic correlation modelling with Von Mises process | |
| A1682: D. Hendry, J.L. Castle, J. Doornik | |
| Discriminating direct from induced equilibrium mean shifts | |
| A0671: K. Hayakawa, T. Yamagata | |
| Linear panel regression models with non-classical measurement error: An application to investment equations |
| Session CC805 | Room: BH (SE) 1.06 |
| Financial econometrics I | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Leopold Soegner | Organizer: CFE |
| A1512: B. Majoni, R. Leon-Gonzalez | |
| Exact likelihood for inverse gamma stochastic volatility models | |
| A1737: C.S.H. Wang, S. Bacci | |
| A real-time monitoring test for common breaks and factors in panel data | |
| A1909: P. Rodrigues, J. Nicolau, M. Stoykov | |
| Tail index estimation in the presence of covariates: A systematic risk analysis | |
| A0439: P.C. Tsai | |
| Asymmetric intra-day volatility pattern and price jump detection: Evidence from international equity indices | |
| A0600: T. Kim, J. Kim, K.H. Kim | |
| New insights on the foreign exchange risk premium through a portfolio-based approach |
| Session CC785 | Room: BH (SE) 2.09 |
| Machine learning | Saturday 17.12.2022 10:00 - 12:05 |
| Chair: Leopoldo Catania | Organizer: CFE |
| A0352: F. Brueck, J.-D. Fermanian, A. Min | |
| A new non-degenerate test for model selection based on maximum-mean-discrepancy | |
| A0461: X. Zhou, G. Bagnarosa, J. Dandu, M. Dowling | |
| Media influences on agricultural commodity pricing | |
| A0237: G. Charles-Cadogan | |
| Man vs. machine learning to time markets: Who will win? | |
| A1843: H. Hultin, H. Hult, A. Proutiere, A. Tarighati, S. Samama | |
| A generative model of a limit order book using recurrent neural networks | |
| B2035: M. Namvar, C. Li | |
| A text similarity-based algorithm for seed word generation in improving document classification |
| Parallel session D: CMStatistics | Saturday 17.12.2022 | 13:35 - 15:40 |
| Session EV746 | Room: Virtual R01 |
| Statistical modelling | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Enrico Ripamonti | Organizer: CFE-CMStatistics |
| B1808: A. Payne, A. Silva, S. Rothstein, P. McNicholas, S. Dang | |
| Family of mixtures of multivariate Poisson log-normal distributions for clustering high dimensional count data | |
| B1876: T. Guedon, C. Baey, E. Kuhn | |
| Variance components testing in mixed effects models with small sample size | |
| B1900: V. Piperigou | |
| On integral part distribution models | |
| B1937: M.F. Marino, M. Alfo, F. Martella | |
| A finite mixture model for biclustering longitudinal trajectories: An application to Italian crime data | |
| B1570: S. Jadhav | |
| A function-based approach to model the measurement error in wearable devices |
| Session EI009 (Special Invited Session) | Room: Safra Lecture Theatre |
| Statistical methods in neuroimaging | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: John Kornak | Organizer: John Kornak |
| B0173: J. Harezlak, A. Steiner, D. Brzyski, T. Randolph, J. Goni | |
| Incorporation of brain spatial and connectivity-based information in statistical regularization | |
| B0174: D. Tudorascu | |
| Improved methods for biomarker detection and data harmonization in neuroimaging studies of Alzheimer's disease | |
| B0175: H. Ombao, M. Pinto | |
| Modeling cortical brain network activity through concurrent EEG-FNIRS |
| Session EO192 | Room: K0.16 |
| Spectral methods in statistical network inference | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Vince Lyzinski | Organizer: Vince Lyzinski |
| B0295: J. Cape | |
| Robust spectral clustering with rank statistics | |
| B0706: D. Sussman | |
| Matching embeddings via shuffled total least squares regression | |
| B0385: K. Pantazis, A. Athreya, J. Arroyo, W. Frost, E. Hill, V. Lyzinski | |
| The importance of being correlated: Implications of dependence in joint spectral inference across multiple networks | |
| B1438: J. Arroyo, A. Athreya, V. Lyzinski | |
| Population-level inference for networks via graph embeddings | |
| B0715: A. Athreya, Z. Lubberts, Y. Park, C. Priebe | |
| Discovering underlying dynamics in time series of networks |
| Session EO250 | Room: K0.18 |
| Count data models: Developments and applications | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Jochen Einbeck | Organizer: Jochen Einbeck |
| B0751: M. Dvorzak, H. Wagner | |
| Bayesian modelling of underreported count data | |
| B0465: A. Batsidis, M.D. Jimenez-Gamero, B. Milosevic | |
| Testing for the generalized Poisson distributions | |
| B0922: P. Wilson, J. Einbeck | |
| $p$-values and quantiles for count data | |
| B1295: A. Fernandez-Fontelo, P. Puig, M. Guillen, D. Morina | |
| Modelling the impact of Covid-19 pandemic on health insurance-related claims | |
| B0275: W. Barreto-Souza, L. Piancastelli, K. Fokianos, H. Ombao | |
| Time-varying dispersion integer-valued GARCH models |
| Session EO532 | Room: K0.20 |
| Recent advances in statistical modeling in genetics and biological research | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Linxi Liu | Organizer: Linxi Liu |
| B0349: T. Wang, I. Ionita-Laza, Y. Wei | |
| A unified quantile framework reveals nonlinear heterogeneous transcriptome-wide associations | |
| B0392: R. Tao | |
| Integration of multidimensional splicing data and GWAS summary statistics for risk gene discovery | |
| B0775: K. Sankaran | |
| Generative mediation models for microbiome data analysis | |
| B1020: J. Li, D. Gan | |
| A simple method for removing batch effects from single-cell RNA-sequencing data | |
| B1562: A. Freudenberg | |
| Accelerated algebraic functions for statistical genomics |
| Session EO232 | Room: K0.50 |
| New challenges in design of experiments | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: John Stufken | Organizer: John Stufken |
| B1527: J. Stufken, R. Singh | |
| Subdata selection with a large number of variables | |
| B1528: M. Yang | |
| Deriving nearly-optimal subdata | |
| B1529: M.-C. Chang | |
| Predictive subdata selection for large-scale deterministic computer models | |
| B1612: J. Stallrich, M. Weese, K. Young, B. Smucker, D. Edwards | |
| Optimal design for penalized estimators |
| Session EO174 | Room: K2.40 |
| Recent advances in statistics for health | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Sophie Dabo | Organizer: Camille Frevent, Sophie Dabo |
| B0805: S. Wang, V. Patilea | |
| Adaptive functional principal components analysis | |
| B1024: C. Frevent, M.S. Ahmed, S. Dabo, M. Genin | |
| A Bayesian shared-frailty spatial scan statistic model for time-to-event data | |
| B1300: R. Essifi, S. Dabo, C. Preda, C. Biernacki | |
| The patient pathway in a hospital environment | |
| B1361: I.-A. Moindjie | |
| Classification of multivariate functional data (defined on different domains) using PLS approach |
| Session EO539 | Room: K2.41 |
| New advancements in undirected graphical/network modeling | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Andriette Bekker | Organizer: Mohammad Arashi |
| B0415: A. Kheyri, A. Bekker, M. Arashi | |
| Graphical ridge with sparsity in high-dimension | |
| B0570: S. Ranciati, A. Roverato, A. Luati | |
| Fully symmetric graphical lasso for dependent data | |
| B0584: S.-Y. Oh, A. Petersen, P. Cisneros-Velarde, C. Tran | |
| Distributionally robust formulation of the graphical Lasso | |
| B1321: F. Bayer, G. Moffa, N. Beerenwinkel, J. Kuipers | |
| Network-based clustering of pancancer data accounting for clinical covariates | |
| B1550: F. Caron, F. Panero, J. Rousseau, A. Todeschini, X. Miscouridou | |
| Sparse graphs based on exchangeable random measures: properties, models and examples |
| Session EO204 | Room: S0.03 |
| Spatial statistics | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Soutir Bandyopadhyay | Organizer: Soutir Bandyopadhyay |
| B0855: I. Sahoo, J. Guinness, B. Reich | |
| A graphical lasso model for Hermitian matrices to detect global time-lagged teleconnections | |
| B1607: A. Datta | |
| Machine learning in geo-spatial mixed models | |
| B1630: S. Bandyopadhyay, D. Nychka, M. Bailey | |
| Regridding uncertainty for statistical downscaling of solar radiation | |
| B0214: S. Deb, S. Roy, C. Neves | |
| A nonparametric approach to deal with spatio temporal quantile regression problems |
| Session EO541 | Room: S0.12 |
| Robustness and related topics I | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Ana Maria Bianco | Organizer: Ana Maria Bianco, Graciela Boente |
| B0296: A. Garcia-Perez | |
| On robustness for spatio-temporal data | |
| B0303: C. Agostinelli, G. Saraceno, A. Basu | |
| Robust estimation in mixture models under case-wise and cell-wise contamination | |
| B0771: C. Amado, M. Souto de Miranda | |
| A robust alternative to the Poisson hurdle model | |
| B0807: A.M. Bianco, J. Charaf | |
| Direct methodology for adjusting ROC curves: A robust approach | |
| B1745: N. Martin | |
| Robust and efficient Breusch-Pagan test: A beta-score LM test for heteroscedasticity in linear regression models |
| Session EO793 | Room: S0.13 |
| Sport analytics | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Andreas Groll | Organizer: Andreas Groll, Christophe Ley |
| B0601: M. Oetting, R. Michels, R. Langrock | |
| A varying coefficient state-space model for investigating betting behaviour within in-play markets | |
| B0680: A. Gerharz | |
| Statistical and machine learning methods in modern football analysis | |
| B0995: A. Macis, M. Manisera, P. Zuccolotto | |
| Survival analysis in basketball: An analysis of the NBA players' offensive performance | |
| B1136: L. Zumeta-Olaskoaga, A. Bender, H. Kuechenhoff, D.-J. Lee | |
| Estimating the risk of time-loss injuries in football players through recurrent time-to-event methods | |
| B1032: A. Maes, C. Ley, D. Goossens, L.M. Hvattum, S. Murugan | |
| Plus-minus a couple of millions: a model for transfer fee evaluation |
| Session EO122 | Room: S-1.01 |
| Recent advances in model specification testing | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Bojana Milosevic | Organizer: Bojana Milosevic |
| B1392: B. Ebner, B. Milosevic, M.D. Jimenez-Gamero | |
| On approximating eigenvalues of covariance operators with applications to goodness-of-fit tests | |
| B1263: M. Obradovic, B. Milosevic, W. Ejsmont | |
| Test for multivariate normality based on new characterization | |
| B1056: M. Ditzhaus, M. Baumeister, M. Pauly | |
| Quantile-based MANOVA: A new tool for inferring multivariate data in factorial designs | |
| B1115: J. Gerstenberg, D. Gaigall | |
| Tests for the comparison of distributions of the excess over a confidence level | |
| B1232: M. Cockeran | |
| Goodness-of-fit testing of survival models in the presence of Type II right censoring |
| Session EO058 | Room: S-1.04 |
| Copulas and dependence modelling | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Piotr Jaworski | Organizer: Piotr Jaworski |
| B0255: M. Tepegjozova, C. Czado | |
| Bivariate vine copula based quantile regression with applications in climate data analysis | |
| B0277: O. Grothe, J. Rieger | |
| Singular value decomposition based low-rank representations of copulas | |
| B0281: M. Manstavicius | |
| Concordance measures generalizing Kendall's tau | |
| B0624: M. Omladic | |
| Dedekind-MacNeille completion of multivariate copulas via ALGEN method | |
| B0635: P. Jaworski | |
| On certain bivariate copulas with a trapezoid support |
| Session EO696 | Room: S-1.06 |
| Recent advances in mixture models | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Konstantinos Perrakis | Organizer: Konstantinos Perrakis |
| B1489: A. Khalili | |
| Sparse estimation in heterogeneous varying coefficient regression models | |
| B1045: K. Perrakis, T. Lartigue, F. Dondelinger, S. Mukherjee | |
| Regularized joint mixture models | |
| B0316: M. Grushanina, S. Fruehwirth-Schnatter | |
| Dynamic mixture of finite mixtures of factor analysers with automatic inference on number of clusters and factors | |
| B1338: J. Greve, B. Gruen, G. Malsiner-Walli, S. Fruehwirth-Schnatter | |
| Spying on the prior of the number of data clusters and the partition distribution in Bayesian cluster analysis |
| Session EO452 | Room: S-1.27 |
| Missing data analysis and its application | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Wang Miao | Organizer: Wang Miao |
| B0704: R. Nabi | |
| Causal and counterfactual views of missing data models | |
| B1017: Y. Li, W. Miao, I. Shpitser, E. Tchetgen Tchetgen | |
| A self-censoring model for multivariate nonignorable nonmonotone missing data | |
| B1236: B. Sun, W. Miao, X. Li | |
| A stableness of resistance model for nonresponse adjustment with callback data | |
| B1446: M. Sadinle | |
| Semi-automated estimation of weighted rates for e-commerce catalog quality monitoring | |
| B1683: L. Amro, M. Pauly, B. Ramosaj | |
| General MANOVA with missing data: A resampling-based solution |
| Session EO410 | Room: S-2.23 |
| Dimension reduction and modeling of complex data structures | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Joni Virta | Organizer: Joni Virta |
| B1069: D. Kapla | |
| Higher order parametric inverse regression | |
| B0808: L. Heinonen, J. Virta | |
| Robust kernel PCA by weighting observations | |
| B0908: A. Artemiou, B. Jones | |
| Nonlinear feature extraction for sufficient dimension reduction in the presence of categorical predictors | |
| B0988: E. Christou | |
| Dimension reduction techniques for conditional quantiles | |
| B0407: J. Virta, A. Artemiou | |
| Non-linear two-dimensional PCA |
| Session EO623 | Room: S-2.25 |
| Explainable artificial intelligence | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Emanuela Raffinetti | Organizer: Emanuela Raffinetti |
| B0659: N. Bussmann, A. Tanda, E.P.-Y. Yu | |
| Can ESG shape the cost of capital: A bibliometric review and empirical analysis through ML | |
| B0685: E. Raffinetti, P. Giudici | |
| A SAFE artificial intelligence approach | |
| B0707: P. Pagnottoni, A. Celani | |
| Multidimensional financial connectedness | |
| B1156: P. Neelakantan | |
| Countering racial discrimination in algorithmic lending: A case for model-agnostic interpretation methods | |
| B1194: Y. Chen, R. Calabrese, B. Martin-Barragan | |
| Interpretable machine learning for imbalanced credit scoring datasets |
| Session EO718 | Room: BH (S) 2.03 |
| Empirical processes and their applications | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Eric Beutner | Organizer: Eric Beutner |
| B0861: Y.-Y. Lee, M. Huber, Y.-C. Hsu, C.-A. Liu | |
| Testing monotonicity of mean potential outcomes in a continuous treatment with high-dimensional data | |
| B0894: J.-M. Zakoian, L. Cantin, C. Francq | |
| Estimation of systemic risk in semi-parametric dynamic models based on the empirical distribution of residuals | |
| B1429: L. Chen, G. Keilbar, W.B. Wu | |
| Recursive quantile estimation: Non-asymptotic confidence bounds | |
| B1768: E. Beutner | |
| Two-sample smooth test for the equality of distributions for dependent data |
| Session EO442 | Room: BH (S) 2.05 |
| Bayesian modeling and applications | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: David van Dyk | Organizer: Christopher Hans |
| B1202: S. Jensen | |
| Spatio-temporal Bayesian modeling of crime in Philadelphia | |
| B1371: A. Meyer, D. van Dyk, A. Siemiginowska | |
| TD-CARMA: Painless, accurate, and scalable estimates of gravitational-lens time delays with flexible CARMA processes | |
| B0990: J. Xu | |
| Distance-to-set priors for Bayesian constraint modeling | |
| B1459: A. Volfovsky | |
| Density regression with Bayesian additive regression trees | |
| B0238: T. Maiti | |
| Variational inference of Ising models and their applications |
| Session EO627 | Room: Virtual R02 |
| Recent developments in statistical machine learning | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Fei Xue | Organizer: Fei Xue |
| Session EO615 | Room: Virtual R03 |
| Recent advances in causal inference and high-dimensional statistics | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Lin Liu | Organizer: Lin Liu |
| B0423: E. Dunipace | |
| Optimal transport weights for causal inference | |
| B1031: F. Gao, T. Wang | |
| Two-sample testing of high-dimensional linear regression coefficients via complementary sketching | |
| B1209: Y. Wang, G. Imbens, N. Kallus, X. Mao | |
| Long-term causal inference under persistent confounding via data combination | |
| B1229: M. Stensrud | |
| Superoptimal regimes for decision-making assisted by algorithms | |
| B1744: B. Zhang | |
| Estimating and improving individualized treatment rules and dynamic treatment regimes with an instrumental variable |
| Session EO234 | Room: Virtual R04 |
| Resampling methods in modern settings | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Miles Lopes | Organizer: Miles Lopes |
| B0691: E. Paparoditis, J.-P. Kreiss | |
| Bootstrapping Whittle estimators | |
| B0814: Y. Koike, X. Fang | |
| High-dimensional CLT with general covariance structure | |
| B1205: H. Lam | |
| A cheap bootstrap method for fast inference | |
| B1298: H. Chiang, K. Kato, Y. Sasaki | |
| Inference for high-dimensional exchangeable arrays | |
| B1434: R. Lunde, P. Sarkar, R. Ward | |
| Statistical inference for streaming PCA in high dimensions |
| Session EO733 | Room: Virtual R05 |
| Causal inference: Challenges in complex settings | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Laura Pazzagli | Organizer: Laura Pazzagli |
| B1396: I. Waernbaum | |
| Selection bias and multiple inclusion criteria | |
| B0803: A. Sarvet | |
| Elaborated ontologies for causal inference in resource-limited settings | |
| B1010: H. Zhao | |
| Causal inference methods for multiple treatment group evaluations | |
| B0927: J. Young | |
| Causal inference with competing events | |
| B2019: I. Malenica, M. van der Laan | |
| Single time-series conditional causal effect |
| Session EO280 | Room: BH (SE) 1.01 |
| Time series with changes in regime | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Maddalena Cavicchioli | Organizer: Maddalena Cavicchioli |
| B0254: F. Chen, D. Wee, W. Dunsmuir | |
| Inference for Markov switching GARCH(1,1) models using sequential Monte Carlo | |
| B0289: A. Pal Majumder | |
| Regime switching processes and their long time behaviors | |
| B1264: J. Cheng | |
| Time series forecasting using hybrid regime switching ANN models | |
| B0963: A. Petronevich, C. Doz | |
| Three states of the French business cycle | |
| B0428: M. Cavicchioli | |
| Impulse response analysis in Markov switching vector autoregressions |
| Session EO374 | Room: K2.31 (Nash Lec. Theatre) |
| Methodology for semiparametric and causal inference | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Charles Doss | Organizer: Charles Doss |
| B0498: E. Ogburn | |
| Disentangling confounding and nonsense associations due to dependence | |
| B0971: T. Westling, K. Takatsu | |
| Debiased nonparametric inference for covariate-adjusted regression functions | |
| B1968: A. Luedtke | |
| Adversarial Monte Carlo meta-learning of conditional average treatment effects | |
| B0592: E. Kennedy | |
| Optimal estimation of heterogeneous causal effects |
| Session EC775 | Room: K0.19 |
| Non- and semi-parametric statistics | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Michelle Carey | Organizer: CFE-CMStatistics |
| B1509: P. Gaona Partida, C.-C. Yeh, Y. Sun, A. Cutler | |
| An interval-valued random forests model | |
| B1532: E. Young, R.D. Shah | |
| Targeted weight estimation in the heteroscedastic partially linear model | |
| B1634: L. Patel | |
| Flexible Hawkes Excitation Kernels | |
| B1710: N. Koning, J. Hemerik | |
| More efficient exact permutation testing: using a representative subgroup | |
| B1622: G. Collins | |
| Bayesian projection pursuit regression |
| Session EC778 | Room: S0.11 |
| Methodological and applied statistics | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Sabrina Giordano | Organizer: CFE-CMStatistics |
| B0373: M.J.-C. Malela | |
| Assessment of the performances of new linear profile memory-type schemes under fixed explanatory variables | |
| B1800: K. Fukushima, K. Okada | |
| Multiple-choice log-linear cognitive diagnostic model framework and its application | |
| B1648: F. Awad, L. Burk, T. Makovky | |
| Effectiveness's comparison of longitudinal imputation methods for wave nonresponse applied to LFS data, ICBS | |
| B1726: M. Alsabhi | |
| Statistical inference for the virtual age imperfect repair model | |
| A2041: W. Dai, T.L. Lai | |
| Combining extreme value theory with martingale regression in market risk analytics and portfolio management |
| Session EC813 | Room: Council room |
| Survival analysis II | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Stefanie Biedermann | Organizer: CFE-CMStatistics |
| B0533: S. Agami | |
| Estimation in the Cox survival regression model with covariate measurement error and a changepoint | |
| B0203: A. Al Luhayb | |
| Smoothed bootstrap method for double-censored data | |
| B0895: B. Vakulenko-Lagun | |
| Regression analysis with censored covariates in the presence of a cured fraction | |
| B1647: A.H. Jameel, C. Fallaize, J. Grevel, B. Chacko, C. Brignell, G. Stupfler | |
| Assessing patient benefit with semi-Markov multi-state models | |
| B1934: I. Sousa | |
| A joint model for multiple longitudinal responses with informative time measurement |
| Parallel session D: CFE | Saturday 17.12.2022 | 13:35 - 15:40 |
| Session CI019 (Special Invited Session) | Room: BH (S) 1.01 Lecture Theatre 1 |
| New advances in inference | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Indeewara Perera | Organizer: Indeewara Perera |
| A0179: G. Cavaliere, S. Goncalves, M. Nielsen | |
| Bootstrap inference in the presence of bias | |
| A0180: A. Rahbek, G. Cavaliere, T. Mikosch, F. Vilandt | |
| Asymptotics and inference for autoregressive conditional duration models | |
| A0259: J.C. Escanciano | |
| Extending the scope of inference about predictive ability to machine learning methods |
| Session CO128 | Room: BH (SE) 1.05 |
| Dynamic conditional score models | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Dario Palumbo | Organizer: Dario Palumbo, Roberto Casarin |
| A0511: G. Bormetti, F. Corsi | |
| A Lucas critique compliant SVAR model with observation-driven time-varying parameters | |
| A0918: E. DInnocenzo, A. Lucas | |
| Dynamic partial correlation models | |
| A1308: D. Palumbo, R. Casarin, F. Ravazzolo | |
| Dynamic combination and calibration of forecasts | |
| A1353: F. Campigli, F. Lillo, G. Bormetti | |
| Measuring the information content of trades in a time-varying setting | |
| A1375: A. Luati, P. Gorgi, C.S.A. Lauria | |
| On the optimality of score-driven models |
| A0273: K. Klieber, N. Hauzenberger, F. Huber, M. Marcellino | |
| Model specification for Bayesian neural networks in macroeconomics | |
| A0355: A. Stelzer, M. Pfarrhofer, F. Huber, M. Marcellino | |
| Nonparametric methods for measuring asymmetries in monetary policy transmission | |
| A0729: S. Davidson, D. Moccero | |
| The nonlinear effects of shocks to bank capital vulnerability in Euro area countries | |
| A1029: T. Zoerner, M. Boeck, A. Steshkova | |
| The impact of carry trade activity on the transmission of monetary policy | |
| A1933: P. Goulet Coulombe, M. Goebel | |
| What can be learned about the future |
| Session CO693 | Room: BH (SE) 2.10 |
| Latest developments in financial econometrics | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Roxana Halbleib | Organizer: Roxana Halbleib |
| A0236: V. Less, P. Sibbertsen | |
| A multivariate perturbation robust test against spurious long memory | |
| A0477: M. Grith, P. Santucci de Magistris, F. Violante, P. Vallarino | |
| Common factors in large panels of option prices | |
| A0501: J. Jasiak | |
| Finite sample performance of generalized covariance estimator | |
| A0718: E. Smetanina | |
| Multiple forecast comparisons in unstable environments and high dimensions | |
| A0798: E. Kazak, R. Halbleib, W. Pohlmeier | |
| Bagged value-at-risk forecast combination |
| Session CO398 | Room: BH (SE) 2.12 |
| Recent advances in quantitative finance | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Shixuan Wang | Organizer: Shixuan Wang |
| A1417: Z. Cui, B. Dong, W. Xu | |
| Implied willow tree method for the term structure of moments risk premia | |
| A1119: Y. Zhao, F. Kearney, H.L. Shang | |
| Intraday foreign exchange rate volatility forecasting: Univariate and multilevel functional GARCH models | |
| A0525: Y. Zhang, Z. Liu, B. Li | |
| Distinctly large eigenvalue with approximately diagonal eigenvector of covariance matrix | |
| A1185: J. Fu | |
| Does the less sophistication investors intended to prefer simple signals to choose mutual fund | |
| A0528: B. Li, Z. Liu, S. Wang, Y. Zhang | |
| Asset pricing model with functional principal component analysis |
| Session CC761 | Room: BH (SE) 1.02 |
| Forecasting | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Alessandra Amendola | Organizer: CFE |
| A1651: J. Kotlowski | |
| The role of central bank forecasts in the turbulent times | |
| A1874: V. Monschang, W. Bernd | |
| A procedure for upgrading linear-convex combination forecasts with an application to volatility prediction | |
| A2008: D. Pedregal, J.R. Trapero, E. Holgado | |
| Censored ExponenTial smoothing to solve lost-sales demand forecasting problems | |
| A1897: Y. Xu | |
| Forecasting the conditional Covariance: Using daily, intraday returns, or both |
| Session CC781 | Room: BH (SE) 1.06 |
| Financial modelling | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Douglas Hodgson | Organizer: CFE |
| A1304: L. Felix, L. Bai, A.E. Clark Peres, V. Gaggiato | |
| Dynamic comovement and spillover among global financial markets during Covid19: Evidence from wavelet coherence analysis | |
| A1453: W. Tarrant | |
| The Abelian sandpile model in financial crises | |
| A1504: A. Brou, R. Luger | |
| A simplified decomposition model for asset return predictability | |
| A1915: S. Chan | |
| An analysis of the return-volume relationship in decentralised finance (DeFi) | |
| A2020: Y. Zheng, S. Pybis | |
| Stock market volatility and expected returns |
| Session CC798 | Room: BH (SE) 2.09 |
| Inflation | Saturday 17.12.2022 13:35 - 15:40 |
| Chair: Leopold Soegner | Organizer: CFE |
| A1573: T. Prono | |
| Back to the past: Long memory properties (again) matter for inflation forecasting | |
| A1652: A. Halka | |
| Consumer price index differentials among Polish households | |
| A1810: S. Lhuissier, F. Tripier, A. Ortmans | |
| The risk of inflation dispersion in the Euro area | |
| A1945: L. Vaughan | |
| Testing hyperinflation data against Makochekanwa's model |
| Parallel session E: CMStatistics | Saturday 17.12.2022 | 16:10 - 17:50 |
| B0182: S. Hoermann, F. Jammoul | |
| Model diagnostics for discretely sampled functional data | |
| B1186: S. Subbarao, S. Basu | |
| Graphical models for nonstationary time series | |
| B1412: D. Matteson, H. Wu, S. Ryan | |
| Drift vs Shift: Decoupling trends and changepoint analysis |
| Session EO536 | Room: K0.16 |
| Modeling various data types with network structures | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Philip White | Organizer: Philip White |
| B0436: F. Sanna Passino, N. Heard | |
| Mutually exciting point process graphs for modelling dynamic networks | |
| B0497: J. Tang, D. Zimmerman | |
| Space-time covariance models on networks | |
| B0503: F. Bu, A. Aiello, J. Xu, A. Volfovsky | |
| Stochastic epidemic models on dynamic contact networks | |
| B0613: P. White | |
| Scalable warped directional traffic network models for traffic accident data |
| Session EO326 | Room: K0.19 |
| Modeling and computing for heterogeneous and clustered data | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Weixin Yao | Organizer: Weixin Yao |
| B0538: Y. Niu, D. Fan, Y. Peng | |
| Marginal accelerated failure time mixture cure model for clustered survival data | |
| B0688: B. Gruen, S. Fruehwirth-Schnatter, G. Malsiner-Walli | |
| Bayesian model-based clustering with the telescoping sampler | |
| B0819: A. Montanari, L. Anderlucci, S. Dallari | |
| Modelling heterogeneity in human gut microbiome: A clustering-based perspective | |
| B1984: M. Wu | |
| Adaptive distributed inference for multi-source massive heterogeneous data |
| Session EO619 | Room: K0.20 |
| ROC methods for the evaluation of biomarkers | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Leonidas Bantis | Organizer: Leonidas Bantis |
| B0342: D.K. To, G. Adimari, M. Chiogna | |
| Covariate adjustment methods for the evaluation of biomarkers in multi-class setting | |
| B0983: K. Young, L. Bantis | |
| Estimation and inference on the partial volume under the ROC surface with applications to pancreatic cancer | |
| B1086: A. Fanjul Hevia, J.-C. Pardo-Fernandez, W. Gonzalez-Manteiga | |
| Nonparametric methods for the comparison of ROC curves with covariate information | |
| B1140: J. Riou, P. Blanche | |
| Multiple comparisons of areas under the ROC curve |
| Session EO028 | Room: K0.50 |
| Advances in design of experiments | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: John Stufken | Organizer: Tim Waite |
| B0523: U. Groemping | |
| General Stratum Orthogonal Arrays (GSOAs): Constructions and properties | |
| B0842: L. Kang | |
| Locally optimal design for A/B tests in the presence of covariates and network dependence | |
| B0796: A. Overstall | |
| Gibbs optimal design of experiments | |
| B1265: S. Pozuelo Campos, V. Casero-Alonso, M. Amo-Salas | |
| Optimal designs for the detection and characterisation of hormesis in toxicological tests |
| Session EO182 | Room: K2.40 |
| Recent developments in functional data analysis | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Eliana Christou | Organizer: Eliana Christou |
| B0367: G. Cao, Z. Shang | |
| Deep neural network classifier for multi-dimensional functional data | |
| B0493: U. Beyaztas, M. Tez, H.L. Shang | |
| Robust functional quantile regression | |
| B1075: J. Di Iorio, M. Cremona, F. Chiaromonte | |
| An agglomerative hierarchical local clustering algorithm for functional motif discovery | |
| B1096: C.E. Lee, X. Zhang, X. Shao | |
| Testing conditional mean independence for functional data |
| Session EO563 | Room: K2.41 |
| Statistical methods for neuroimaging data | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Elizabeth Sweeney | Organizer: Elizabeth Sweeney |
| Session EO638 | Room: S0.03 |
| Spatial statistics and stochastic PDEs | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: David Bolin | Organizer: David Bolin |
| B0329: F. Lindgren, D. Bolin, E. Krainski, H. Rue, H. Bakka | |
| Non-separable diffusion-based spatio-temporal Gaussian fields | |
| B0874: D. Sanz-Alonso, R. Yang | |
| Finite element and graphical representations of Gaussian processes | |
| B0993: J. Wallin, D. Bolin, A. de Bustamante Simas | |
| Gaussian Whittle Matern fields on metric graphs | |
| B1556: L. Clarotto, D. Allard, T. Romary, N. Desassis | |
| The SPDE approach for spatio-temporal datasets with advection and diffusion: A matrix-free approach |
| B1367: V. Stoimenova, A. Staneva, D. Atanasov | |
| Algorithmic methods for parameter estimation in two-type branching processes | |
| B1421: A. Tchorbadjieff | |
| Simulative study of Markov branching processes derived from geometric reproduction of particles | |
| B1460: A. Vidyashankar | |
| Ancestral inference for age-dependent branching processes with immigration | |
| B1886: I.M. del Puerto, M. Gonzalez Velasco, C. Minuesa Abril, A. Vidyashankar | |
| Large deviation results for controlled branching processes with immigration |
| Session EO148 | Room: S0.13 |
| Statistical summits: Methodology and computing I | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Andriette Bekker | Organizer: JT Ferreira, Andriette Bekker |
| B1033: M. Gallaugher, E. Alamer, P. McNicholas | |
| Mixture modeling of mixed type data for clustering | |
| B1072: J. Van Niekerk, D. Rustand, E. Krainski, H. Rue | |
| Improved inference for LGM's using INLA | |
| B1133: A. Azzalini | |
| Some remarks about maximization of the likelihood function | |
| B1402: V. Melnykov | |
| Conditional mixture modeling |
| Session EO641 | Room: S-1.04 |
| Statistical models for complex dependent data | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Eardi Lila | Organizer: Eardi Lila |
| B0487: M. Kolar | |
| Latent multimodal functional graphical model estimation | |
| B0585: J.Y. Park, M. Fiecas | |
| CLEAN: Leveraging spatial autocorrelation in neuroimaging data in clusterwise inference | |
| B0746: A. Shojaie | |
| Estimation and inference for networks of multi-experiment point processes | |
| B1401: S. Basu | |
| Graphical models for stationary time series |
| Session EO713 | Room: S-1.06 |
| Recent advances in imaging statistics | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Shuo Chen | Organizer: Jian Kang |
| B0830: S. Chen, H. Lee | |
| Mediating role of neuroimaging data image-related cognitive decline | |
| B0920: S. Lee | |
| Semi-parametric independent component analysis in the time-frequency domain | |
| B1566: F. Jiang | |
| Time-varying functional connectivity features are strong predictors of Alzheimers disease | |
| B1586: A. Menacher, T. Nichols, C. Holmes, H. Ganjgahi | |
| Bayesian Bootstrap uncertainty quantification for spatial lesion regression modelling |
| Session EO450 | Room: S-1.27 |
| Statistical methods for wearable devices | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Jaroslaw Harezlak | Organizer: Jaroslaw Harezlak |
| B0761: J. Zou, C. Di, L. Natarajan | |
| A Riemann manifold model framework for longitudinal changes in physical activity patterns | |
| B0862: C. Tekwe | |
| Quantile regression with a mixture of function-valued and a scalar-valued covariate prone to classical measurement error | |
| B1152: J. Zhang, H. Shou, H. Li | |
| Mediation analysis with densities as mediators with an application to iCOMPARE trial | |
| B1777: C. Di, G. Wang, F. Han | |
| Robust functional principal components analysis with application to accelerometry data |
| Session EO612 | Room: S-2.23 |
| Platform trials for COVID-19 interventions | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Jonathan Schildcrout | Organizer: Jonathan Schildcrout |
| B1333: C. Lindsell | |
| Picking outcomes for outpatient platform trials in a pandemic | |
| B1386: J. Marion | |
| Designing an adaptive platform for an evolving pandemic: The PRINCIPLE trial | |
| B1178: T. Stewart | |
| Models for longitudinal ordinal outcomes | |
| B1170: M. Shotwell | |
| Summary outcomes in longitudinal clinical trials: Robustness to MNAR and Modeling Assumptions |
| Session EO340 | Room: S-2.25 |
| Statistical learning in practice | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Alejandro Murua | Organizer: Alejandro Murua |
| B1117: S. Perreault | |
| Statistical learning of cyclic autocorrelation functions with application to streamflow data modelling | |
| B0655: M.-H. Descary | |
| Functional trait locus mapping by functional data clustering | |
| B1076: N. Wicker, A. Broustet | |
| Decision surface Markov chain | |
| B1592: T. Chekouo | |
| A Bayesian group selection with compositional responses for analysis of tumor proportions and their genomic determinants |
| Session EO116 | Room: BH (S) 2.05 |
| Bayesian semi- and non-parametric methods I | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Andrea Cremaschi | Organizer: Andrea Cremaschi, Andres Barrientos, Bernardo Nipoti |
| B0653: M. De Iorio | |
| Repulsion, chaos and equilibrium in mixture models | |
| B1812: J. Griffin, M. Beraha | |
| Normalized latent measure factor models | |
| B0472: S. Deshpande | |
| A new BART prior for structured categorical inputs | |
| B1581: J. Bradley | |
| Exact Bayesian inference for a class of spatial generalized linear mixed effects models |
| Session EO404 | Room: Virtual R01 |
| Recent advances in Bayesian modeling and computation | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Marco Ferreira | Organizer: Marco Ferreira |
| B0734: M. Ferreira, S. Xu, J. Williams | |
| Bayesian analysis of GLMMs with nonlocal priors for genome-wide association studies | |
| B0876: S. Xu, M. Ferreira, E. Porter, C. Franck | |
| Objective Bayesian model selection for generalized linear mixed models | |
| B0992: J. Williams, S. Xu, M. Ferreira | |
| BGWAS: Bayesian variable selection in linear mixed models with nonlocal priors for genome-wide association studies | |
| B1172: T.C.O. Fonseca, M. Ferreira | |
| Smooth covariance functions for multiscale spatiotemporal models |
| Session EO230 | Room: Virtual R02 |
| Advances in high-dimensional statistics | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Yang Ning | Organizer: Yang Ning |
| B0831: Y. Ning | |
| Optimal and safe estimation for high-dimensional semi-supervised learning | |
| B1157: C. Ma, Y. Yang | |
| Optimal tuning-free convex relaxation for noisy matrix completion | |
| B1190: X. Li, M. Kosorok | |
| Functional individualized treatment regimes with imaging features | |
| B1228: J. Tao | |
| Estimation and inference for partially linear models with estimated outcomes using high-dimensional data |
| Session EO664 | Room: Virtual R03 |
| Advance in application of functional data analysis | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Haolun Shi | Organizer: Haolun Shi |
| Session EO512 | Room: Virtual R04 |
| Emerging statistical issues in overparameterized modeling | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Yoonkyung Lee | Organizer: Yoonkyung Lee |
| B0451: N. Ghosh, M. Belkin | |
| A universal trade-off between the model size, test loss, and training loss of linear predictors | |
| B0414: B. Luan, Y. Lee, Y. Zhu | |
| Predictive model degrees of freedom in linear regression | |
| B0552: Y. Xing, Q. Song, G. Cheng | |
| Benefit of interpolation in nearest neighbor algorithms | |
| B1676: P. Ju, X. Lin, N. Shroff | |
| On the Generalization Power of the Overfitted Three-Layer Neural Tangent Kernel Model |
| Session EO052 | Room: Virtual R05 |
| New approaches in high-dimensional time series modeling | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Abolfazl Safikhani | Organizer: Abolfazl Safikhani |
| B1838: S.Y. Samadi, W. Herath | |
| Dimension reduction in multivariate time series | |
| B1818: A. Safikhani | |
| Theoretical analysis of deep neural networks for temporally dependent observations | |
| B1732: Y. Zheng | |
| An interpretable and efficient infinite-order vector autoregressive model for high-dimensional time series | |
| B1778: D. Wang | |
| Optimal change point testing in high-dimensional regression time series |
| Session EO542 | Room: Virtual R06 |
| Robustness and related topics II | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Ana Maria Bianco | Organizer: Ana Maria Bianco, Graciela Boente |
| B0374: A. Martinez, N. Murrone | |
| Robust estimation based on B-splines with simultaneous variable selection for partially linear additive models | |
| B0564: L. Ventura, E. Bortolato | |
| Robust inference for non-inferiority studies | |
| B0825: M. Valdora, G. Boente | |
| Robust estimators for functional logistic regression | |
| B1328: S. Lopez Pintado | |
| On depths for noisy functional data: The quantile Integrated depth |
| Session EO720 | Room: Virtual R07 |
| Bayesian nonparametrics for causal inference: Part I | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Chanmin Kim | Organizer: Chanmin Kim |
| B0261: A. Oganisian, J. Roy | |
| Bayesian semiparametric model for sequential AML treatment decisions with informative timing | |
| B0666: Y. Ni | |
| Ordinal causal discovery | |
| B0735: A. Linero | |
| Avoiding highly-informative ``nonparametric'' priors | |
| B0873: C. Wang | |
| TEA prior: A Bayesian approach with application for adaptive platform trials having temporal changes |
| Session EO670 | Room: Virtual R08 |
| Statistical methods for massive or high-dimensional data | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Alexander Munteanu | Organizer: Alexander Munteanu |
| B0701: M. Derezinski | |
| Algorithmic Gaussianization through sketching: Converting data into sub-Gaussian random designs | |
| B0974: E. Pircalabelu, A. Artemiou | |
| High-dimensional sufficient dimension reduction through principal projections | |
| B0792: Z. Ding | |
| Scalable Bayesian $p$-generalized probit and logistic regression via coresets | |
| B1041: S. Omlor | |
| Bounding the width of neural networks via coupled initialization |
| Session EO386 | Room: K2.31 (Nash Lec. Theatre) |
| Weighting methods for causal inference and selection bias | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Shaun Seaman | Organizer: Shaun Seaman |
| B0828: S. Seaman, L. Su, S. Yiu | |
| Sensitivity analysis for calibrated inverse probability of censoring weighted estimators under non-ignorable dropout | |
| B0429: D. Viviano | |
| Dynamic covariate balancing: Estimating treatment effects over time | |
| B1173: M. Santacatterina, N. Kallus | |
| Optimal weighting for estimating treatment effects | |
| B1819: C. Hazlett | |
| Approximate balancing weighting for treatment effects: Justifications, choices, and fundamental limitations |
| Parallel session E: CFE | Saturday 17.12.2022 | 16:10 - 17:50 |
| Session CO206 | Room: BH (S) 2.02 |
| Dynamic analysis of cryptocurrency | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Joann Jasiak | Organizer: Joann Jasiak |
| A0433: P. Sadorsky, I. Henriques | |
| Forecasting cryptocurrency prices with machine learning: How important is market volatility | |
| A0500: C. Gourieroux | |
| Nonlinear forecasts and impulse responses for causal-noncausal (S)VAR models | |
| A0695: F. Giancaterini, A. Hecq, G. Cubadda | |
| Estimation of multivariate mixed causal and noncausal models: A review | |
| A1217: E. Inan, A. Djogbenou, J. Jasiak | |
| Double autoregressive time-varying coefficient model for stablecoin prices: An application to Tether |
| Session CO639 | Room: BH (S) 2.03 |
| High dimensional methods in tracking inflation and business cycles | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Andrew Butters | Organizer: Andrew Butters |
| A0391: L. Benzoni, A. Ajello, M. Schwinn, Y. Timmer, F. Vazquez-Grande | |
| Monetary policy, inflation outlook, and recession probabilities | |
| A1929: N. Hauzenberger, F. Huber, M. Marcellino, N. Petz | |
| Gaussian process vector autoregressions and macroeconomic uncertainty | |
| A1975: A. Butters, S. Brave | |
| Multi-sector business cycle accounting in a data-rich environment | |
| A2010: A. Villa | |
| Government debt management and inflation with real and nominal bonds |
| Session CO618 | Room: BH (SE) 1.01 |
| Regime switching models | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Malvina Marchese | Organizer: Malvina Marchese |
| A0240: R. Rrukaj | |
| Signal processing approach to forecasting seasonal load in electricity markets | |
| A1558: M. Marchese, I. Kyriakou, M. tamvakis, F. Di Iorio | |
| Structural change in asset correlations and macroeconomic fundamentals | |
| A1857: T. Lee, I. Moutzouris, N. Papapostolou, M. Fatouh | |
| Foreign exchange hedging using a regime-switching model | |
| A1883: P. Mousavi, J.P. Nielsen, I. Kyriakou, M. Scholz | |
| Forecasting benchmarks of long-term stock returns via machine learning |
| Session CO142 | Room: BH (SE) 1.02 |
| Business cycles and macroeconomic policy | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Laura Jackson Young | Organizer: Laura Jackson Young |
| A0858: L. Jackson Young, M. Owyang, A. Stewart, H. Le | |
| Constructing high-frequency measures of income and consumption inequality | |
| A0866: E. Kurt | |
| Asymmetric effects of monetary policy on firms | |
| A0982: I. Panovska, P. Barua Soni, A. Islam, S. Ramamurthy | |
| Macro forecasting with adaptive learning | |
| A1629: A. Guisinger, L. Jackson Young, M. Owyang | |
| Age and gender differentials in unemployment and hysteresis |
| Session CO470 | Room: BH (SE) 1.06 |
| Persistent time series | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Vivien Less | Organizer: Vivien Less, Philipp Sibbertsen |
| A0229: T. Hartl | |
| Fractional unobserved components models | |
| A0234: R. Halbleib, T. Dimitriadis, J. Polivka, S. Streicher | |
| Efficient realized variance estimation in time-changeddiffusion processes | |
| A0372: T. Flock, P. Sibbertsen | |
| Modelling daily power generation time series: Germany's transition towards renewable energies | |
| A1274: M. Karanasos | |
| Constrained QML estimation for multivariate asymmetric MEM with spillovers: The practicality of matrix inequalities |
| Session CO100 | Room: BH (SE) 2.05 |
| Bayesian methods for empirical macroeconomics | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Gary Koop | Organizer: Gary Koop |
| A0244: D. Gefang, S. Hall, G. Tavlas | |
| Fast two-stage variational Bayesian approach to estimating panel SAR models with unrestricted spatial weights matrices | |
| A0270: G. Potjagailo, D. Kohns | |
| A new Bayesian MIDAS approach for flexible and interpretable nowcasting | |
| A0283: T. Chernis | |
| Combining large numbers of density predictions with Bayesian predictive synthesis | |
| A0287: J. Mitchell, G. Koop, S. McIntyre, A. Raftapostolos | |
| Monthly GDP growth estimates for the U.S. states |
| Session CO332 | Room: BH (SE) 2.09 |
| Econometric forecasting | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Onno Kleen | Organizer: Onno Kleen, Alexander Glas |
| A1254: A. Tetereva, O. Kleen | |
| A forest full of risk forecasts for managing volatility | |
| A1299: A. Glas, J. Dovern, G. Kenny | |
| Testing for differences in survey-based density expectations: a compositional data approach | |
| A1359: M. Schick, C. Conrad | |
| Real-time nowcasting growth at risk | |
| A1824: R. Buse | |
| Forecasting performance of dynamic approaches for spillovers in networks |
| Session CO136 | Room: BH (SE) 2.10 |
| Machine learning in asset pricing | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Markus Pelger | Organizer: Markus Pelger |
| A0872: S.A. Li, V. DeMiguel, S. Bryzgalova, M. Pelger | |
| Asset-pricing factors with economic targets | |
| A1486: P. Zaffaroni | |
| Factor models for conditional asset pricing | |
| A1436: S. Bryzgalova, S. Kozak, M. Pelger | |
| Term structure of characteristic-sorted portfolios and multi-horizon investment | |
| A0848: H. Ma | |
| Conditional latent factor models via econometrics-based neural networks |
| Session CO306 | Room: BH (SE) 2.12 |
| Financial engineering | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Genevieve Gauthier | Organizer: Genevieve Gauthier |
| A0187: J.F. Begin, M. Augustyniak, A. Badescu, S.K. Jayaraman | |
| Long memory in option pricing: A fractional discrete-time approach | |
| A0195: F. Godin, J.-F. Begin | |
| Option pricing under stochastic volatility models with latent volatility | |
| A0264: R. Galarneau-Vincent, G. Gauthier, F. Godin | |
| Foreseeing the worst: Forecasting electricity DART spikes | |
| A0837: D. Amaya, F. Perez | |
| How does price discovery take place in the option market: Evidence from S\&P 500 index options |
| Session CO364 | Room: BH (S) 1.01 Lecture Theatre 1 |
| Recent advances in probabilistic forecasting | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Gael Martin | Organizer: Gael Martin |
| A0425: T. Fissler | |
| Evaluation of copula forecasts | |
| A0447: T. Dimitriadis, T. Gneiting, A. Jordan, P. Vogel | |
| Evaluating probabilistic classifiers: The triptych | |
| A0921: H. van Dijk | |
| Estimating federal funds rates: A regime-mixture approach | |
| A0506: G. Martin | |
| Solving the forecast combination puzzle |
| Session CC803 | Room: BH (SE) 1.05 |
| Realized volatility | Saturday 17.12.2022 16:10 - 17:50 |
| Chair: Edward Knotek | Organizer: CFE |
| A0731: E. Ugulava | |
| Long memory realised GAS model | |
| A1413: A. Teller, U. Pigorsch, C. Pigorsch | |
| Realized volatility forecasting using extreme gradient boosting | |
| A1664: H. Kawakatsu | |
| Revisiting the evidence for rough volatility in daily realized variances |
| Parallel session F: CMStatistics | Saturday 17.12.2022 | 18:05 - 19:20 |
| Session EO388 | Room: K0.16 |
| Statistical methods for constructing and analyzing networks (virtual) | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Simon Preston | Organizer: Alexander Petersen |
| B0357: Y. Zhou, H.-G. Mueller | |
| Network regression with graph Laplacians | |
| B0505: W. Li, D. Sussman, E. Kolaczyk | |
| Causal inference under network interference with noise | |
| B1433: S. Preston, K. Severn, I. Dryden | |
| Statistical approaches for networks and trees arising from natural language data |
| Session EO658 | Room: K0.18 |
| Advances in Bayesian methods to record linkage and survey methodology | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Jairo Fuquene | Organizer: Jairo Fuquene |
| B1510: A. Kaplan, I. Taylor, A. Kaplan, B. Betancourt | |
| Fast Bayesian record linkage for streaming data contexts | |
| B1618: B. Betancourt | |
| Microclustering for record linkage applications | |
| B1735: S. Watakajaturaphon | |
| A Bayesian approach to modeling the variances of estimates in small area estimation |
| Session EO572 | Room: K0.19 |
| Advances in Bayesian computations | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Bernardo Nipoti | Organizer: Riccardo Corradin |
| B0901: T. Moins, J. Arbel, A. Dutfoy, S. Girard | |
| Improving MCMC convergence diagnostic with a local version of R-hat | |
| B1384: A. Riva-Palacio | |
| Neutral to the right posterior computations | |
| B1294: Y. Raykov | |
| Robust inference in mixture models maximum mean discrepancy relaxations |
| Session EO579 | Room: K0.20 |
| Recent advances in causal mediation analysis | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Linbo Wang | Organizer: Linbo Wang |
| B1955: O. Dukes, A. Ghassami, I. Shpitser, E. Tchetgen Tchetgen | |
| Proximal mediation analysis | |
| B1952: F. Gao, F. Xia, K.C.G. Chan | |
| Defining and estimating principal stratum-specific natural mediation effects with semi-competing risks data | |
| B1950: Y. Li | |
| Feature identification on high-dimensional mediators using causal mediation tree model |
| Session EO632 | Room: K0.50 |
| Design of experiments | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Peter Goos | Organizer: David Woods |
| B0278: J. Godolphin | |
| Hierarchical identifiable saturated models | |
| B0929: A. Lanteri, C. Tommasi, J. Lopez-Fidalgo, S. Leorato | |
| Experimental designs to test for heteroscedasticity in a regression model | |
| B0948: M. Weese, D. Edwards, B. Smucker | |
| Response surface models: To reduce or not to reduce |
| Session EO587 | Room: K2.40 |
| Causal inference: Recent challenges and debates | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Enrico Ripamonti | Organizer: Enrico Ripamonti, Robert Platt |
| Session EO238 | Room: K2.41 |
| High-dimensional data analysis and spectral methods (virtual) | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Christopher McKennan | Organizer: Zhao Ren |
| B0241: S. Chen, Z. Ma | |
| Dataset matching and its applications in single-cell multi-omics | |
| B0870: R. Ma, X. Ding | |
| Learning low-dimensional nonlinear structures from high-dimensional noisy data: An integral operator approach | |
| B1160: Y. Yan, Y. Chen, J. Fan | |
| Inference for heteroskedastic PCA with missing data |
| Session EO573 | Room: S0.03 |
| Spatial and spatio-temporal statistics in urban and natural contexts | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Paolo Maranzano | Organizer: Paolo Maranzano |
| B0339: N. D Angelo, G. Adelfio, J. Mateu, O. Ottmar Cronie | |
| Local characteristics of functional marked point processes with applications to seismic data | |
| B0806: Q. Zou, M. Sester | |
| Gaussian process mapping with uncertainty measures for the urban building models | |
| B1268: A. Gilardi, R. Borgoni, J. Mateu | |
| Spatial statistical calibration for linear network data: The analysis of traffic volumes |
| Session EO282 | Room: S0.11 |
| Recent advancements in point process models | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Ganggang Xu | Organizer: Ganggang Xu |
| B0631: J. Moeller | |
| Statistical analysis of point patterns on linear networks | |
| B1046: R. Waagepetersen | |
| A $K-$function for inhomogeneous fiber patterns | |
| B1091: G. Xu, G. Fang, H. Xu, X. Zhu, Y. Guan | |
| Group network Hawkes process |
| Session EO272 | Room: S0.12 |
| New Bayesian approaches for variable selection | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Daniel Kowal | Organizer: Michele Guindani |
| Session EO438 | Room: S-1.01 |
| Finite population inference using ML and latent variable models | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Maria Giovanna Ranalli | Organizer: Maria Giovanna Ranalli |
| B1042: R. Varriale, M. Alfo | |
| Latent variable models and machine learning for prediction of employment status in Italy | |
| B0700: L.-C. Zhang | |
| Design-based ensemble learning for individual prediction in finite populations | |
| B1844: G. Bertarelli, M.G. Ranalli, M. Pratesi | |
| Multivariate small area estimation of educational poverty with latent variable models |
| Session EO426 | Room: S-1.06 |
| New alternatives to significance testing | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Simon Vandekar | Organizer: Simon Vandekar |
| B1155: K. Kang, K. Armstrong, S. Avery, M. McHugo, S. Heckers, S. Vandekar | |
| A single framework for the analysis of effect sizes in cross-sectional and longitudinal studies | |
| B1522: K. Kelley | |
| Accurate estimation of effect sizes: A sequential approach for scientific advancement | |
| B1700: J. Blume | |
| An introduction to second-generation p-values |
| Session EO420 | Room: S-1.27 |
| Advances in statistical neuroimaging and spatio-temporal modeling | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Rajarshi Guhaniyogi | Organizer: Rajarshi Guhaniyogi |
| B0845: M. Li, Z. Zeng, M. Li, M. Vannucci | |
| Bayesian image-on-scalar regression with a spatial global-local spike-and-slab prior | |
| B0853: I. Dinov, M. Velev, Y. Shen | |
| Quantum mechanics uncertainty, data science inference, and AI in complex time (kime) | |
| B1437: J. Kornak, K. Young, E. Friedman, R. Boylan | |
| Latest developments in Bayesian image analysis in Fourier space (BIFS) models |
| Session EO669 | Room: S-2.23 |
| Advances in mHealth methods | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Walter Dempsey | Organizer: Walter Dempsey |
| B1379: L. Valeri, C. Fowler, X. Cai | |
| Testing non-stationarity and quantifying associations in the presence of missing data in time series of mHealth studies | |
| B1951: P. Song | |
| Sleep classification with artificial synthetic imaging data using convolutional neural networks | |
| B1346: Z. Wu, M. Li, C. Shi, P. Fryzlewicz | |
| Reinforcement learning in possibly nonstationary environments |
| Session EO362 | Room: S-2.25 |
| Statistical and machine learning methods for analysis of EHR/RWD | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Emily Getzen | Organizer: Qi Long |
| B0546: X. Shi | |
| Automated harmonization of multi-institutional electronic health records data | |
| B0637: S. Haneuse | |
| Double sampling and semiparametric methods for informatively missing data | |
| B0880: E. Getzen, L. Ungar, D. Mowery, X. Jiang, Q. Long | |
| Mining for equitable health: Assessing the impact of missing data in electronic health records |
| Session EO568 | Room: Virtual R01 |
| Recent advances in stochastic models | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Anna Panorska | Organizer: Anna Panorska |
| B1995: A. Panorska, T. Kozubowski, F. Qeadan, A. Giri | |
| What can we learn from the skewed log-logistic model of the epidemic curve? | |
| B1997: A. Baxevani, D. Hristopoulos | |
| Kaniadakis functions beyond statistical mechanics: Power-law tails, and modified lognormal distribution | |
| B1839: K. Maraj-Zygmat | |
| Sample cross-covariance function for testing of bi-dimensional Gaussian processes |
| Session EO613 | Room: Virtual R02 |
| Combining clinical trials and observational study data | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Jonathan Schildcrout | Organizer: Jonathan Schildcrout |
| Session EO496 | Room: Virtual R04 |
| Statistical inference and explainable machine learning | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Ali Shojaie | Organizer: Ali Shojaie |
| B0620: B. Williamson, S. Shortreed, P. Gilbert, N. Simon, M. Carone | |
| Inference for model-agnostic longitudinal variable importance | |
| B0991: A. Hudson, M. van der Laan | |
| Nonparametric methodology for causal inference with continuous exposures | |
| B1675: B. Kim, R. Foygel Barber | |
| Black box tests for algorithmic stability |
| Session EO166 | Room: Virtual R05 |
| Statistics of extreme values | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Gilles Stupfler | Organizer: Gilles Stupfler |
| B0593: J. El Methni, S. Girard | |
| A refined extreme quantiles estimator of Weibull tail-distributions | |
| B0727: J. Lee | |
| Partial tail correlation for extremes | |
| B0938: N. Meyer, O. Wintenberger | |
| Multivariate sparse clustering for extremes |
| Session EO616 | Room: Virtual R06 |
| Recent developments in nonparametric statistics | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Shubhadeep Chakraborty | Organizer: Shubhadeep Chakraborty |
| B1693: R. Modarres | |
| A high dimensional dissimilarity measure | |
| B1756: R. Ceccato, R. Arboretti, E. Barzizza, L. Salmaso | |
| A multivariate permutation test for the analysis of C paired samples in the presence of multiple data types | |
| B2038: A. Steland | |
| Change-point testing of high-dimensional spectral density matrices |
| Session EO566 | Room: Virtual R07 |
| Data integration in survey sampling | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Saumen Mandal | Organizer: Mahmoud Torabi |
| B2024: C. Franco | |
| Combining surveys in small area estimation using area level model | |
| B2023: A. Erciulescu, J. Opsomer, B. Schneider | |
| Statistical data integration using multilevel models to predict employee compensation |
| Session EO637 | Room: K2.31 (Nash Lec. Theatre) |
| Inference under heterogeneity | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Gourab Mukherjee | Organizer: Gourab Mukherjee |
| B1978: B. Rava | |
| A burden shared is a burden halved: A fairness-adjusted approach to classification | |
| B1989: R. Mukherjee, K. Jiang, S. Sen, P. Sur | |
| A new central limit theorem for the augmented IPW estimator: variance inflation, cross-fit covariance and beyond | |
| B1991: G. Mukherjee | |
| A scalable dynamic bayesian mixture model for fine-grained marketing mix analysis of digital coupons |
| Session EC774 | Room: S0.13 |
| Methodological statistics | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Richard Guo | Organizer: CFE-CMStatistics |
| Session EC808 | Room: S-1.04 |
| Copulas | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Stefanie Biedermann | Organizer: CFE-CMStatistics |
| B0692: C. Blier-Wong | |
| On copulas constructed with Bernoulli and Coxian-2 distributions | |
| B0711: E. Marceau, H. Cossette, C. Blier-Wong | |
| Exchangeable FGM copulas | |
| B1999: R. Zimmerman, M. Lalancette | |
| A new family of smooth copulas with arbitrarily irregular densities |
| Parallel session F: CFE | Saturday 17.12.2022 | 18:05 - 19:20 |
| Session CO038 | Room: Virtual R03 |
| Regime change modeling I | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Willi Semmler | Organizer: Willi Semmler |
| A1472: F. Jawadi, N. Jawadi, A. Idi cheffou | |
| The COVID-19 pandemic and ethical stock markets | |
| A1176: L. Donayre, L. Loomer | |
| Regime-dependent health care employment dynamics during recessionary periods | |
| A1448: A. Lichtenberger | |
| Econometrics of the distributional effects and effectiveness of carbon taxes |
| Session CO454 | Room: Virtual R08 |
| Inflation dynamics | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Edward Knotek | Organizer: Edward Knotek |
| A1000: E. Knotek | |
| Greater than the sum of its parts: Aggregate vs. aggregated inflation expectations | |
| A1097: P. Kuang | |
| Central bank communication and house price expectations | |
| A1508: D. Georgarakos, M. Ehrmann, G. Kenny | |
| Credibility gains from communicating with the public: Evidence from the ECBs new monetary policy strategy |
| Session CO034 | Room: BH (SE) 1.01 |
| Advances in time series econometrics | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Martin Wagner | Organizer: Martin Wagner |
| A0519: S. Veldhuis, M. Wagner | |
| A fixed-b perspective on the Phillips-Ouliaris non-cointegration Z-tests | |
| A1418: M. Wagner, K. Reichold, M. Damjanovic, M. Drenkovska | |
| Sources and channels of nonlinearities and instabilities of the Phillips curve in the Euro area and its member states | |
| A1654: L. Soegner, M. Deistler, P. Gersing, C. Rust | |
| Mixed-frequency dynamic factor models |
| Session CO737 | Room: BH (SE) 1.05 |
| Econometric analysis of financial institutions | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Ekaterina Kazak | Organizer: Olga Kolokolova |
| A0218: O. Scaillet | |
| Evaluating hedge fund performance when models are misspecified | |
| A1227: J. Joenvaara, C. Lundblad, P. Howard, G. Brown | |
| Activist hedge fund performance | |
| A1728: N. Nolde | |
| Reverse stress testing and multivariate extremes |
| Session CO144 | Room: BH (SE) 1.06 |
| High-dimensional time series analysis and applications | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Tommaso Proietti | Organizer: Tommaso Proietti |
| A1052: A. Giovannelli, M. Lippi, T. Proietti | |
| Band-pass filtering with high-dimensional time series | |
| A1358: P. Poncela, E. Ruiz, A. de Juan | |
| An analysis of CO2 emissions in Spain using many macroeconomic predictors | |
| A1484: H.J. Ahn | |
| The dual U.S. labor market uncovered |
| Session CO731 | Room: BH (SE) 2.09 |
| Machine learning meets econometrics | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Edvard Bakhitov | Organizer: Edvard Bakhitov |
| A1278: B. Deaner | |
| Causal inference with proxy controls in high-dimensional linear models | |
| A1395: A. Sanchez Becerra | |
| Robust inference for the variance of the CATE in randomized experiments using machine learning | |
| A1547: K. Huynh, G. Lenhard | |
| Asymmetric autoencoders for factor-based covariance matrix estimation |
| Session CO140 | Room: BH (SE) 2.10 |
| Developments in risky asset returns decomposition methods | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Mohammad Jahan-Parvar | Organizer: Mohammad Jahan-Parvar |
| A1408: Y. Kitsul, S. Curcuru | |
| Asset valuations and distributions of returns: Cross-country perspective | |
| A0172: B. Knox | |
| A stock return decomposition using observables | |
| A0258: M. Jahan-Parvar | |
| Policy spillovers and asset prices: Evidence from the United States and euro area |
| Session CO458 | Room: BH (SE) 2.12 |
| Econometrics of art markets | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Douglas Hodgson | Organizer: Douglas Hodgson |
| A0185: D. Hodgson | |
| Creative innovation in golf course architecture, retrospective judgments of quality, and magazine golf course rankings | |
| A0212: C. Castiglione, D. Infante, M. Zieba | |
| Public support for performing arts: Efficiency and productivity gains in eleven European countries | |
| A0267: B. Dorpalen, T. Colwill | |
| The Economic valuation of the cultural services delivered by Belsay Hall: a choice modelling study |
| Session CO088 | Room: BH (S) 1.01 Lecture Theatre 1 |
| Sustainable finance | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Kris Boudt | Organizer: Monica Billio |
| A1621: S. Colonnello, M. Billio, I. Gufler | |
| Corporate delisting and investors' attention to climate risk | |
| A1742: C. Latino | |
| Surfing the green wave | |
| A1895: M. Costola, S. Battiston | |
| Does credit risk reflect climate transition risk: Evidence from the CDS market for the utility sector |
| Session CC799 | Room: BH (S) 2.03 |
| Electricity markets | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Gabriele Torri | Organizer: CFE |
| A0435: A. Puc, J. Janczura | |
| Risk measures forecasting for diversification of trading in electricity markets | |
| A1054: S. Sheybanivaziri, J. Andersson | |
| The coverage probability of forecast intervals in the presence of unpredictable and predictable spikes |
| Session CC764 | Room: BH (SE) 2.05 |
| Macroeconometrics I | Saturday 17.12.2022 18:05 - 19:20 |
| Chair: Mikkel Plagborg-Moller | Organizer: CFE |
| A0499: A. Meyer-Gohde | |
| Backward error and condition number analysis of linear DSGE solutions | |
| A1815: L. Fanelli, G. Cavaliere, G. Angelini | |
| Testing instrument validity in proxy-SVARs | |
| A0317: E. Wang, J.-M. Dufour | |
| Simultaneous inference for generalized impulse responses in VAR Models |
| Parallel session G: CMStatistics | Sunday 18.12.2022 | 08:15 - 09:55 |
| Session EO651 | Room: K0.16 |
| Goodness-of fit and model selection procedures | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Dimitrios Bagkavos | Organizer: Dimitrios Bagkavos, Apostolos Batsidis |
| B0567: M.D. Jimenez-Gamero, J. de Una-Alvarez | |
| Testing Poissonity of many populations | |
| B0563: P. Economou | |
| A new Gaussian mixture model clustering algorithm | |
| B0758: C. Meselidis, A. Karagrigoriou | |
| The modified ($\Phi$, $\alpha$)-power divergence family: The zero count case | |
| B0565: J. de Una-Alvarez | |
| Goodness-of-fit tests for regression models with a doubly truncated response |
| Session EO500 | Room: K0.50 |
| Design of experiments and applications | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Stella Stylianou | Organizer: Stella Stylianou, Stelios Georgiou |
| B0462: S. Stylianou | |
| Weighing matrices for Definitive screening designs | |
| B0463: S. Georgiou | |
| Egde designs from skew-symmetric supplementary difference sets | |
| B0868: A.S.S. Alamri | |
| Strategies to construct directly optimal and near-optimal symmetric paired choice experiments for main effects models | |
| B1783: T. Dharmaratne, A. De Livera, S. Georgiou, S. Stylianou | |
| Supersaturated design-based statistical methods for variable selection |
| Session EO576 | Room: K2.41 |
| Advances in joint mean–covariance models for multivariate data (virtual) | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Olcay Arslan | Organizer: Olcay Arslan |
| B0675: Y. Guney | |
| Joint modelling of location, scatter matrix and skewness of multivariate skew normal distribution | |
| B0822: S. Ozdemir, Y. Guney, O. Arslan | |
| Joint modeling of mean and scale covariance using empirical likelihood | |
| B0886: F. Gokalp Yavuz, Y. Guney, O. Arslan | |
| Variable selection in robust heteroscedastic models with autoregressive covariance structures using EM-type algorithm | |
| B1252: O. Arslan, F.Z. Dogru | |
| Parameter estimation of the partially linear models with skew heavy-tailed error distributions |
| Session EO672 | Room: S0.03 |
| Spatial and temporal modeling in the climate and environmental sciences | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Peter Craigmile | Organizer: Peter Craigmile |
| B0755: M. Nunes, E. McGonigle, R. Killick | |
| Recent developments in nonstationary time series modelling with application to the environmental sciences | |
| B0573: M. Niu | |
| Nonparametric regression on complex constrained domains | |
| B0516: E. Simpson, J. Wadsworth, T. Opitz | |
| Conditional modelling of spatio-temporal sea surface temperature extremes, with high-dimensional inference using INLA | |
| B0904: A. Sykulski, J. Grainger, P. Jonathan, K. Ewans | |
| Spectral analysis of multivariate time series with applications to ocean waves |
| Session EO236 | Room: S0.11 |
| Theory and computation in inference for stochastic processes | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Hiroki Masuda | Organizer: Hiroki Masuda |
| B0526: M. Uchida | |
| Estimation for linear parabolic SPDEs in two space dimensions based on high-frequency data | |
| B0598: L. Mercuri, A. Perchiazzo, E. Rroji | |
| A Hawkes model with CARMA(p,q) intensity | |
| B0905: T. Ogihara, Y. Uehara | |
| Local asymptotic normality for discretely observed jump-diffusion processes | |
| B1834: T. Suzuki, A. Nitanda, D. Wu, K. Oko | |
| Convergence of mean field gradient Langevin dynamics for optimizing two-layer neural networks |
| Session EO074 | Room: S0.13 |
| Projection pursuit: Applications | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Nicola Loperfido | Organizer: Nicola Loperfido |
| B1269: C. Franceschini, N. Loperfido | |
| Projection pursuit: An empirical tour | |
| B0923: M.Z. Spyropoulou, J. Griffin, J. Hopker | |
| Bayesian modelling of athletic performance | |
| B0823: E. Derezea, A. Kume | |
| Frequency estimation of irregularly sampled time series with red noise | |
| B1109: A. Berti, N. Loperfido, C. Franceschini | |
| Projection pursuit for bank data |
| Session EO704 | Room: S-1.01 |
| Advances in Hilbert statistics and application to distributional data | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Enea Bongiorno | Organizer: Alessandra Menafoglio, Enea Bongiorno |
| B0924: I. Pavlu, K. Hron | |
| Generalization of cell-wise outlier identification for probability density functions | |
| B1370: E.-M. Maier, S. Greven, A. Stoecker, B. Fitzenberger | |
| Additive density-on-scalar regression in Bayes Hilbert spaces with an application to gender economics | |
| B1646: I. Martinez-Hernandez | |
| Functional factor model for density functions |
| Session EO709 | Room: S-1.06 |
| Modeling complex data and interactions | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Alex Cucco | Organizer: Rosaria Ignaccolo |
| B0305: J. Belmont, C. Miller, M. Scott, C. Wilkie | |
| Flexible species distributions modelling for spatiotemporal opportunistic surveys data | |
| B0679: A.M. Di Brisco | |
| Hilbert regression model for complex responses | |
| B0786: E. Arnone, F. Ferraccioli, L. Finos, L. Sangalli | |
| Nonparametric density estimation over multidimensional domains | |
| B1077: S. Fontanella, L. Fontanella, A. Cucco, N. Pronello, P. Valentini | |
| Exploratory graph analysis for configural invariance assessment of a test |
| Session EO054 | Room: S-1.27 |
| Advances on models for time series and longitudinal data | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Sabrina Giordano | Organizer: Antonello Maruotti, Sabrina Giordano |
| B1432: T. Adam | |
| Multi-scale modelling of time series data using state-switching varying-coefficient stochastic differential equations | |
| B1549: F. Cortese, F. Pennoni, F. Bartolucci | |
| Maximum likelihood estimation of multivariate regime switching Student-t copula models | |
| B1771: M. Zenga, A. Marshall | |
| A comparative hierarchical analysis of financial literacy using three waves of PISA survey | |
| B1986: S. Mews | |
| Modelling longitudinal claims data using Markov-modulated marked Poisson processes |
| Session EO595 | Room: S-2.25 |
| Recent developments in learning theory | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Anirbit Mukherjee | Organizer: Anirbit Mukherjee |
| B0752: M. Colbrook, V. Antun, A. Hansen | |
| The difficulty of computing stable and accurate neural networks: On the barriers of deep learning \& Smale 18th problem | |
| B0764: D. Soudry | |
| Implicit Bias of the Step Size in over-parameterized models | |
| B1261: S. De | |
| The challenges of training models with differential privacy | |
| B1403: S. Kaski, M. Heinonen | |
| From differential learning to diffusion models |
| Session EO154 | Room: BH (S) 2.02 |
| Graphical Markov models II | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Monia Lupparelli | Organizer: Kayvan Sadeghi, Monia Lupparelli |
| B0597: D. Rossell, J. Jewson, P. Zwiernik, L. Battaglia, S. Hansen | |
| Graphical model inference with network-structured variables | |
| B1235: V. Vinciotti, E. Wit | |
| Hierarchical graphical modelling of count metagenomic data | |
| B0594: L. Paci, A. Colombi, R. Argiento, A. Pini | |
| Block structured Gaussian graphical models for spectrometric functional data | |
| B1741: R. Mohammadi | |
| Bayesian structure learning in high-dimensional graphical models |
| Session EO464 | Room: BH (S) 2.05 |
| Advances in variational approximations | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Luca Maestrini | Organizer: Luca Maestrini |
| B0284: D. Gunawan, R. Kohn, D. Nott | |
| Flexible variational Bayes based on a copula of a mixture | |
| B0745: K.-D. Dang, L. Maestrini | |
| Fitting structural equation models via variational approximations | |
| B1038: M. Bernardi, L. Maestrini, G. Livieri | |
| In mean and variance variable selection with variational approximations | |
| B1019: H. Xuan, L. Maestrini, C. Grazian, F. Chen | |
| Stochastic variational inference for heteroskedastic time series models |
| Session EO430 | Room: Virtual R02 |
| Clustering approaches for noisy data | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Matthieu Marbac | Organizer: Matthieu Marbac |
| B0776: C. Keribin, F. Antonazzo, C. Biernacki | |
| Frugal Gaussian clustering of huge imbalanced datasets through a bin-marginal approach | |
| B1116: C. Meneur, G. Dubois, S. Hanne-Poujade, M. Marbac, P. Martin, G. Stupfler | |
| Considering errors in ECG segmentation to improve racehorse arrhythmia detection | |
| B1149: A. Bouvet, M. Marbac, S. El Kolei, N. Bideau | |
| Swimming technical skills tracking using multivariate functional clustering of Inertial Measurement Unit data | |
| B1249: J.S. Tamo Tchomgui, J. Jacques, S. Chretien, G. FRAYSSE, V. BARRIAC | |
| Function-on-function mixture of experts' regression models |
| Session EO697 | Room: Virtual R04 |
| Dependence models for compound events | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Fabrizio Durante | Organizer: Fabrizio Durante |
| B0333: F. Palacios Rodriguez, E. Di Bernardino, M. Mailhot | |
| Rainfall interpolation in Canada by a smooth copula-based generalized extreme value approach | |
| B1503: R. Pappada, F.M.L. Di Lascio, A. Menapace | |
| AMH copula-based clustering of variables with application to district heating demand | |
| B0521: G. Salvadori | |
| The paradigmatic case of the Venice lagoon: A compound investigation and a stakeholder perspective | |
| B1163: G. Toulemonde, J.-N. Bacro, C. Gaetan, T. Opitz | |
| Construction of generalized Pareto vectors for flexible peaks-over-threshold modeling |
| Session EO216 | Room: BH (SE) 1.02 |
| Hawkes processes in finance | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Yoann Potiron | Organizer: Yoann Potiron |
| B0181: S. Yu, Y. Potiron | |
| Nonparametric estimation of Hawkes branching ratio with Ito semimartingale baseline | |
| B0202: Y. Potiron, O. Scaillet, S. Yu | |
| Estimation of integrated intensity in Hawkes processes with time-varying baseline | |
| B0253: J. Kwan, F. Chen, W. Dunsmuir | |
| Alternative asymptotic inference theory for a nonstationary Hawkes process | |
| B1954: V. Volkov, Y. Potiron | |
| Modelling low latency |
| Session EO708 | Room: Council room |
| Reliability and stochastics: Theory and applications | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Alexandros Karagrigoriou | Organizer: Alexandros Karagrigoriou |
| B1796: E. Votsi, S. Bouzebda | |
| Bootstrapped and kernel-type estimators of reliability indicators in semi-Markov processes | |
| B1814: A. Makrides, C. Meselidis, A. Karagrigoriou | |
| Reliability inference for actuarial-financial mathematics | |
| B1963: G. Damico, F. Petroni | |
| ROCOF of higher order for semi-Markov processes | |
| B1965: A. Karagrigoriou, I. Vonta, G. Papasotiriou, I. Mavrogiannis | |
| On the identification of the tail-type of distributions in reliability and actuarial science |
| Session EO600 | Room: Safra Lecture Theatre |
| Advances in flexible regression modelling | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Helen Ogden | Organizer: Helen Ogden |
| B0847: J. Einbeck, Y. Zhang | |
| Revisiting the mixture approach to mixed models: Thoughts on clustering and dimension reduction | |
| B1275: S. Greven, L. Steyer, A. Stoecker | |
| Elastic linear regression for curves in $R^d$ | |
| B1342: E. Dodd, J. Forster, P. W F Smith, J. Bijak | |
| Stochastic modelling and forecasting of mortality rates using a combination of semi-parametric and parametric models | |
| B1613: E. Dupont, S. Wood, N. Augustin | |
| Spatial confounding and spatial+ |
| Session EO310 | Room: K2.31 (Nash Lec. Theatre) |
| Modern directional statistics | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Andrea Meilan-Vila | Organizer: Andrea Meilan-Vila |
| B0790: C. Ley, S. Kato | |
| A copula model for multivariate circular data | |
| B0726: M. Alonso-Pena, I. Gijbels, R. Crujeiras | |
| Joint modeling of conditional mean and dispersion with a circular predictor | |
| B1355: A. Panzera, A. Gottard | |
| Some undirected graphical models for circular variables | |
| B0766: A. Meilan-Vila, E. Garcia-Portugues | |
| Nonparametric density estimation on the polysphere |
| Session EC789 | Room: K0.18 |
| Biostatistics | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Shaun Seaman | Organizer: CFE-CMStatistics |
| B0426: A. Sewak, T. Hothorn | |
| Transformation models for ROC analysis | |
| B1677: S. Yuki, Y. Matsui, Y. Terada, H. Yadohisa | |
| Estimation of tissue profiles from blood RNA-seq based on latent Dirichlet allocation | |
| B1666: L. Servius, D. Pigoli, J. Ng, F. Fraternali | |
| Comparing classification methods and their generalisability on antibody sequences | |
| B1757: M. Baccini, A. Lachi, C. Viscardi, G. Cereda, G. Carreras | |
| A compartmental model for smoking habits in Tuscany (Italy) |
| Session EC757 | Room: K0.19 |
| High-dimensional statistics | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Zeng Li | Organizer: CFE-CMStatistics |
| B1821: E. Gautherat, P. Bertail, E.M. Issouani | |
| Exponential bounds for regularized Hotelling statistics in high dimension | |
| B1927: S.-Y. Yin | |
| Inference on three-pass regression filter with high-dimensional target variables | |
| B1994: S. Choi, G. Park | |
| Densely connected sub-gaussian linear structural equation model learning via l1- and l2-regularized regressions | |
| B0728: S. Takeishi | |
| A shrinkage likelihood ratio test for high-dimensional subgroup analysis with a logistic-normal mixture model |
| Session EC811 | Room: K0.20 |
| Extreme values | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Stephane Girard | Organizer: CFE-CMStatistics |
| B0358: M. Souto de Miranda, M.C. Miranda, I. Gomes | |
| On runs estimator of the extremal index: Dealing with clusters of exceedances with atypical dimensions | |
| B1894: A. Khorrami Chokami, M. Kratz | |
| Joint asymptotic behavior of maxima over subsets of concomitants in the extremal dependence framework | |
| B1877: M. Neves, C. Cordeiro | |
| Time series prediction and extreme events | |
| B2002: Y. Gong, P. Zhong, T. Opitz, R. Huser | |
| Partial tail correlation coefficient applied to extremal network learning |
| Session EC810 | Room: S0.12 |
| Robust statistics and depth functions | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Sara Taskinen | Organizer: CFE-CMStatistics |
| B0543: B. Brune, I. Ortner, P. Filzmoser | |
| Robust, rank-based estimation of mixed effects models | |
| B1985: T. Servotte, T. Verdonck, J. Raymaekers | |
| Smart initialisation and approximate loss function for robust regression | |
| B1763: R. Valla, P. Mozharovskyi, F. d Alche-Buc | |
| Anomaly component analysis (ACA) | |
| B1811: J. Guerin, P. Mozharovskyi | |
| On polynomial-time algorithms for data depths |
| Session EC814 | Room: S-1.04 |
| Variable selection | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Asaf Weinstein | Organizer: CFE-CMStatistics |
| B1717: M. ONeill, K. Burke | |
| Distributional regression models with automatic variable selection | |
| B0514: L. Kaufmann, M. Kateri | |
| Simultaneous variable selection and fusion of categorical covariates levels in penalized logistic regression | |
| B1487: H. Lee, J. Kim | |
| Gene selection using generalized linear measurement error models | |
| B1847: P. Jaskova, M. Templ, K. Hron, J. Palarea-Albaladejo | |
| Sparse pairwise logratio variable selection for high-dimensional compositional data |
| Session EC385 | Room: S-2.23 |
| Multivariate statistics | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Bettina Gruen | Organizer: CFE-CMStatistics |
| B0445: T. Welz, W. Viechtbauer, M. Pauly | |
| Cluster-robust estimators for multivariate mixed-effects meta-regression | |
| B1544: K. Sakamoto, H. Yadohisa | |
| Supervised dimensionality reduction method for heterogeneous sources data | |
| B1560: V. Nesrstova, P. Jaskova, I. Pavlu, K. Facevicova, K. Hron | |
| Analysis of multifactorial relative data | |
| B1615: K. Oi, S. Yuki, K. Tanioka, H. Yadohisa | |
| Two-mode cluster elastic net |
| Parallel session G: CFE | Sunday 18.12.2022 | 08:15 - 09:55 |
| Session CO104 | Room: BH (S) 2.03 |
| Time series econometrics | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Josu Arteche | Organizer: Antonio Montanes, Josu Arteche |
| A1035: J. Arteche | |
| Local Whittle estimation in time varying long memory series | |
| A1101: C. Velasco, W. Jin | |
| Directional predictability tests | |
| A0304: E. Ruiz, V. Rodriguez-Caballero, G. Gonzalez-Rivera | |
| Modelling and forecasting minimum and maximum temperatures in the Iberian Peninsula | |
| A1576: A. Montanes | |
| Seasonal data and global warming |
| Session CO617 | Room: Virtual R01 |
| Bayesian analysis of finance and macroeconomics | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Toshiaki Watanabe | Organizer: Toshiaki Watanabe |
| A0867: T. Kano | |
| Posterior inferences on incomplete structural models: The minimal econometric interpretation | |
| A0940: T. Sekine | |
| Individual trend inflation | |
| A1048: M. So | |
| Bayesian estimation of systemic risk in financial markets with dynamic networks | |
| A1161: J. Nakajima, T. Watanabe | |
| High-frequency realized stochastic volatility model with the generalized hyperbolic skew Student's t-distribution |
| Session CO547 | Room: Virtual R03 |
| New methods in multivariate Bayesian modeling | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Annika Camehl | Organizer: Annika Camehl, Tomasz Wozniak |
| A1851: B. Wong | |
| Understanding trend inflation through the lens of the goods and services sectors | |
| A1853: A. Camehl, D. Fok, K. Gruber | |
| A general Bayesian approach to multiple-output quantile regression | |
| A1858: F. Shang | |
| Partial identification of heteroskedastic structural VARs: Theory and Bayesian inference | |
| A1863: T. Wozniak | |
| Verifying sources of identification in structural VARs using the BETEL framework |
| Session CO168 | Room: BH (SE) 1.01 |
| Structural information in estimating asset pricing models | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Diego Ronchetti | Organizer: Diego Ronchetti |
| A0260: H. Guo | |
| Earnings extrapolation and predictable stock market returns | |
| A0774: I. Kalaitzoglou, H.D. NGO, E. GALARIOTIS | |
| Asymmetric information, information life span, and lead-lag effects on a multi-asset lagged adjustment price dynamics | |
| A1247: B. Claassen, D. Ronchetti | |
| Structural estimation of nonlinear rational expectations models with recursive preferences | |
| A1722: J. Tinang, N. Meddahi | |
| GMM estimation of the long run risks model |
| Session CO460 | Room: BH (SE) 1.05 |
| Topics in applied econometrics | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Emese Lazar | Organizer: Emese Lazar |
| A1860: A.G. Gretener, M. Haas, M. Paolella | |
| Copula-based multivariate mixture normal GARCH | |
| A1688: S. Qi, E. Lazar, R. Tunaru | |
| Cross-sectional variation of forward equity risk premium | |
| A0634: A. Stancu, C. Wese Simen, D. Avino | |
| Option implied discount rates | |
| A0338: E. Lazar, J. Pan, S. Wang | |
| Measuring climate risk in finance |
| Session CO528 | Room: BH (SE) 2.05 |
| Advances in quantitative finance and insurance | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Asmerilda Hitaj | Organizer: Asmerilda Hitaj |
| A1262: I. Peri | |
| Lambda quantile regression and its application to finance | |
| A0467: A. Barbiero | |
| Evaluating compound sums through Panjer's formula and discretization of continuous random distributions | |
| A0522: E. Mastrogiacomo, G. Crespi | |
| Qualitative robustness of set-valued value-at-risk | |
| A0386: A. Hitaj | |
| ALM under distributional uncertainty: From DSP to DRO optimal pension fund management |
| Session CO132 | Room: BH (SE) 2.09 |
| MIDAS and zombies in macroeconomics | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Etsuro Shioji | Organizer: Etsuro Shioji |
| A0765: H. Morita | |
| Forecasting GDP growth using stock returns in Japan: A factor-augmented MIDAS approach | |
| A0875: M. Shintani | |
| Nowcasting Japanese GDP using text data and machine learning | |
| A1118: P. Schnattinger, M. Hamano, F. Zanetti | |
| Structural determinants of credit market tightness and the zombie firm share | |
| A0768: E. Shioji | |
| Responses of households' expected inflation to oil prices and the exchange rate: Evidence from daily data |
| Session CO138 | Room: BH (SE) 2.10 |
| Recent advances in financial econometrics and empirical asset pricing | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Yuqian Zhao | Organizer: Yuqian Zhao |
| A1148: S. Lu, L. Horvath, Z. Liu, V. Yao | |
| Monitoring the housing market in real-time with high-dimensional predictors | |
| A0537: S. Wang, L. Horvath, Z. Liu, Y. Zhan | |
| Change point detection in the distribution of errors in dynamic linear models | |
| A0550: L. Symeonidis, A. Stancu, C. Wese Simen, L. Zhao | |
| The dynamics of storage costs | |
| A1089: A. Hassanniakalager | |
| A Knockoff filter approach to asset allocation |
| Session CO742 | Room: BH (SE) 2.12 |
| Climate change econometrics and financial markets | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Luca De Angelis | Organizer: Luca De Angelis |
| A1609: R. Gourdel | |
| Bayesian augmentation for financial network stability and climate stress testing | |
| A1987: F. Parla, A. Cipollini | |
| Temperature and growth: A panel mixed frequency VAR analysis using NUTS2 data | |
| A1789: G. Angelini, L. De Angelis | |
| Identification of climate risk shocks: A proxy-SVAR approach | |
| A1861: L. De Angelis, I. Monasterolo | |
| Now you see it, now you do not: Pricing of climate risk and confusion in stock markets |
| Session CO322 | Room: BH (S) 1.01 Lecture Theatre 1 |
| Cryptocurrency price dynamics | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Julien Chevallier | Organizer: Julien Chevallier |
| A0257: M. Froemmel, N. Deprez | |
| Are simple technical trading rules profitable in Bitcoin markets? | |
| A0250: J. Owusu-Amoako, K. Dunbar | |
| Hedging the extreme risk of cryptocurrency | |
| A0302: J. Chevallier | |
| Safe assets during Covid-19: A portfolio management perspective | |
| A0404: J.M. Carbo Martinez, S. Gorjon Rivas | |
| Application of machine learning models and interpretability techniques to identify the determinants of bitcoin price |
| Session CC748 | Room: BH (SE) 1.06 |
| Financial econometrics II | Sunday 18.12.2022 08:15 - 09:55 |
| Chair: Vincenzo Candila | Organizer: CFE |
| A0356: A. Monteiro, A. Santos | |
| A comparison of probabilities of default inferred from option prices and credit default swaps | |
| A0411: M. Kerkemeier, J. Beckmann, R. Kruse-Becher | |
| Regime-specific exchange rate predictability | |
| A0300: O. Fernandez, J. Crespo Cuaresma | |
| Explaining long-term bond yields synchronization dynamics in Europe | |
| A1836: B. Sanhaji | |
| Nonlinear scalar BEKK |
| Parallel session H: CMStatistics | Sunday 18.12.2022 | 10:25 - 12:05 |
| Session EI013 (Special Invited Session) | Room: Safra Lecture Theatre |
| Grand challenges and advances in Bayesian computation | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: David Rossell | Organizer: David Rossell |
| B0170: H. Rue | |
| Bayesian inference with R-INLA: The road ahead | |
| B0171: C. Andersson Naesseth | |
| Monte Carlo and variational methods: Bridging the gap | |
| B0188: C. Oates, F.-X. Briol, T. Matsubara, J. Knoblauch | |
| Robust generalised Bayesian inference for intractable likelihoods |
| Session EO082 | Room: K0.16 |
| Statistical modelling of network data | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Goeran Kauermann | Organizer: Goeran Kauermann |
| B0968: C. Fritz, G. Kauermann, M. Mehrl, P. Thurner | |
| All that glitters is not gold: Relational events models with spurious events | |
| B1039: T. Peixoto | |
| Disentangling homophily, community structure and triadic closure in networks | |
| B1296: N. Friel | |
| Assessing competitive balance in the English Premier League for over forty seasons using a stochastic block model | |
| B1790: A. Gandy | |
| Sampling from weighted network models when aggregate information is available |
| Session EO599 | Room: K0.18 |
| Quantile methods and applications | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Jayeeta Bhattacharya | Organizer: Jayeeta Bhattacharya |
| B0256: S. Hubner | |
| Uniform inference for conditional deconvolution estimation | |
| B0265: K. Yu | |
| Renewable quantile regression analysis of streaming data | |
| B0348: J. Olmo, G. Montes-Rojas, A. Galvao, L. De Castro | |
| Elicitation of elasticity of intertemporal substitution, risk and time preferences | |
| B0890: J. Bhattacharya | |
| Asymptotic normality of quantile regression with generated variables |
| Session EO056 | Room: K0.19 |
| Graphical Markov models I | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Monia Lupparelli | Organizer: Kayvan Sadeghi, Monia Lupparelli |
| B0928: A. Roverato, D.N. Nguyen | |
| On model selection of colured Gaussian graphical models for paired data | |
| B1349: S. Bongers, P. Forre, J. Mooij | |
| Foundations of structural causal models with cycles and latent variables | |
| B0390: T.K.H. Nguyen, M. Chiogna | |
| Structure learning of undirected graphical models for count data | |
| B1738: L. Solus | |
| Algebraic and combinatorial methods for causal model representation and selection |
| Session EO490 | Room: K0.20 |
| Statistical analysis in non-Euclidean spaces | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Xianzheng Huang | Organizer: Xianzheng Huang |
| B0427: C.C. Taylor, M. Di Marzio, S. Fensore | |
| Handling errors in circular data | |
| B0623: Z. Yu | |
| Elliptically symmetric distributions for directional data of arbitrary dimension | |
| B0878: J. Scealy | |
| Directions old and new: Palaeomagnetism and Fisher meet modern statistics | |
| B1672: I. Dryden | |
| Principal nested shape subspace analysis of molecular data |
| Session EO636 | Room: K0.50 |
| High dimensional data analytics: Tools, tricks, tips and pitfalls | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Farrukh Javed | Organizer: Farrukh Javed, Ejaz Ahmed |
| B0419: M. Qasim, K. Mansson | |
| The penalized instrumental variables methods for many invalid instruments | |
| B1238: R. Ahmad | |
| Some tests of hypotheses for high-dimensional linear models | |
| B1805: H. Wu, K. Podgorski | |
| Efficient inversion of sparse positive definite matrices based on the dyadic orthogonalization algorithm | |
| B1938: F. Javed, T. Bodnar, G. Alfelt, J. Tyrcha | |
| Singular conditional autoregressive Wishart model for realized covariance matrices |
| Session EO062 | Room: K2.40 |
| Recent advances in functional data analysis | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Uche Mbaka | Organizer: Michelle Carey |
| B1947: U. Mbaka, M. Carey | |
| Functional covariance estimation for partially observed functional data | |
| B1966: M. Carey, C. Genest, J. Ramsay | |
| Sparse estimation within the Pearson system, with an application to financial market risk | |
| B0456: E. Gunning, G. Hooker | |
| Principal differential analysis: A review with extensions | |
| B1896: C.L. Urbano Leon, M. Escabias, A.M. Aguilera | |
| A functional logistic regression model with non-independent functional variables |
| Session EO646 | Room: K2.41 |
| Advances in statistical modeling with neural networks | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: David Ruegamer | Organizer: David Ruegamer |
| B0327: R. Majumder, B. Reich, B. Shaby | |
| Approximating spatial extreme value processes with deep learning | |
| B1128: C. Kolb, D. Ruegamer | |
| Sparse regularization of neural networks using a Hadamard parametrization-based optimization transfer approach | |
| B1363: D. Dold, O. Duerr, B. Sick, D. Ruegamer | |
| Uncertainty quantification in semi-structured distributional regression models | |
| B0694: L. Kook, A. Goetschi, P.F. Baumann, T. Hothorn, B. Sick | |
| Ensembling deep transformation models |
| Session EO446 | Room: S0.03 |
| Branching processes: Theory, computation and applications II | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Ines M del Puerto | Organizer: Ines M del Puerto, Miguel Gonzalez Velasco |
| B1387: E. Yarovaya | |
| Martingale method for studying branching random walks | |
| B1856: P. Martin-Chavez, M. Gonzalez Velasco, I.M. del Puerto | |
| Weak convergence results in the class of controlled branching processes | |
| B1855: M. Gonzalez Velasco, P. Martin-Chavez, I.M. del Puerto | |
| Sequential MCMC methods for controlled branching processes | |
| B1258: M. Slavtchova-Bojkova, V. Simeonova | |
| Modeling for coronavirus pandemic: A comparative research |
| Session EO436 | Room: S0.11 |
| Asymptotic theory applied to statistical computation and simulation | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Nakahiro Yoshida | Organizer: Nakahiro Yoshida |
| B0644: H. Masuda, Y. Uehara | |
| Quasi-likelihood inference for Student-Levy regression | |
| B0989: I. Muni Toke | |
| Markov-switching Hawkes processes for high-frequency trade data | |
| B1218: M. Kurisaki | |
| Parameter inference for partially observed linear SDEs with discrete observations | |
| B1192: H. Yamagishi, N. Yoshida | |
| Order estimate of functionals related to fBm and asymptotic expansion of variation of fractional SDE |
| Session EO580 | Room: S0.12 |
| Distributional model validation | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Bruno Ebner | Organizer: Bruno Ebner |
| B1374: Y. Swan, B. Ebner | |
| Stein goodness-of-fit tests for a new family of distributions | |
| B1169: B. Milosevic, D. Aleksic | |
| Testing multivariate normality in the presence of missing data | |
| B1475: J. Allison, J. Visagie, E. Bothma | |
| Nonparametric distribution function estimation and goodness-of-fit testing | |
| B1482: , B. Ebner, F. Nestmann | |
| Stein characterizations of non-normalized discrete probability distributions and their applications in statistics |
| Session EO498 | Room: S0.13 |
| Statistics of high-frequency data I | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Carsten Chong | Organizer: Carsten Chong |
| B0605: Y. Ait-Sahalia, J. Fan, L. Xue, Y. Zhou | |
| How and when are high-frequency stock returns predictable | |
| B0448: Y. Ding, Y. Li, G. Liu, X. Zheng | |
| Stock co-jump networks | |
| B1474: J. Jacod, H. Lin, V. Todorov | |
| Systematic jump risk |
| Session EO130 | Room: S-1.06 |
| Recent advances in clustering of mixed-type data | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Marta Nai Ruscone | Organizer: Daniel Fernandez, Marta Nai Ruscone |
| B1491: M. van de Velden, C. Cavicchia, A. Iodice D Enza, A. Markos | |
| Mixed data distances | |
| B1708: G. Szepannek, R. Aschenbruck | |
| Recent results in validating and benchmarking mixed-type clustering | |
| B0930: R. Fuchs, D. Pommeret, S. Stocksieker, C. Viroli | |
| MDGMM and MIAMI: Towards flexible and interpretable models for mixed data | |
| B1542: M. Markatou | |
| Clustering mixed-type data via the KAMILA algorithm |
| Session EO660 | Room: S-1.27 |
| Latent variable models for complex data structures | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Silvia Cagnone | Organizer: Silvia Bianconcini, Silvia Cagnone |
| B0800: F. Wallentin | |
| Generalized linear factor score regression with different methods | |
| B1276: M. Iannario | |
| Modelling ``don't know'' responses in multi Item Latent Trait Models | |
| B1314: L. Brusa, F. Bartolucci, F. Pennoni | |
| Alternative methods for parameter estimation in discrete latent variable models | |
| B1369: S. Giordano, R. Colombi | |
| Markov switching stereotype logit models with two latent indicators for longitudinal ordered data |
| Session EO701 | Room: S-2.25 |
| The Stein method and statistics | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Robert Gaunt | Organizer: Robert Gaunt |
| B1243: A. Fischer, G. Reinert, R. Gaunt, Y. Swan | |
| Normal approximation for the posterior in exponential families | |
| B0658: R. Gaunt | |
| Wasserstein distance error bounds for the normal approximation of the maximum likelihood estimator | |
| B1962: E. Azmoodeh | |
| Stein method, algebra and statistics | |
| B0401: C. Nemeth | |
| Tuning-free Stein variational gradient descent |
| Session EO558 | Room: BH (S) 2.02 |
| Dependency in Bayesian mixture models and beyond | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Jim Griffin | Organizer: Alessandra Guglielmi |
| B0485: F. Quintana, G. Page, M. Heiner | |
| A marginalization approach to local regression and clustering with variable-dimension covariates | |
| B0576: G. Malsiner-Walli | |
| Capturing correlated clusters using mixtures of latent class models | |
| B1179: R. Corradin, F. Camerlenghi, A. Ongaro | |
| Mixtures of normalized nested compound random measures and their application | |
| B1404: M. Beraha | |
| Transformed scaled process priors for generalized Indian Buffet processes |
| Session EO677 | Room: BH (S) 2.05 |
| Developments and applications of Approximate Bayesian Computation | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Veronica Ballerini | Organizer: Veronica Ballerini |
| B1657: A. Lachi, C. Viscardi, M. Baccini | |
| ABC in a compartmental model for smoking habit dynamics | |
| B1679: D. Di Cecco, A. Tancredi | |
| Species abundance estimation in the presence of record linkage errors: An ABC approach | |
| B1718: C. Viscardi, D. Prangle | |
| Likelihood-free transport Monte Carlo | |
| B1724: E. Bortolato, L. Ventura | |
| Box-ABC for likelihood-free inference |
| Session EO220 | Room: Virtual R01 |
| Advances in functional data analysis and nonparametric regression | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Yuko Araki | Organizer: Yuko Araki |
| B1520: E. Cui, L. Xiao, C. Crainiceanu, R. Li | |
| Fast multilevel functional principal component analysis | |
| B1521: M. Imaizumi | |
| Sup-norm convergence of deep network estimator for nonparametric regression with corrected adversarial training | |
| B1553: Y. Terada, M. Sasaki | |
| On weak convergence of recovered functional data | |
| B1888: Y. Araki | |
| Functional mediation analysis with model selection |
| Session EO597 | Room: Virtual R02 |
| Innovative approaches for unsupervised classification methods | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Carlo Cavicchia | Organizer: Carlo Cavicchia |
| B0791: A. Cappozzo, F. Ieva, G. Fiorito | |
| An EM algorithm for penalized mixed-effects multitask learning: A general framework for regularizing MLM Models | |
| B1366: R. Giubilei | |
| Density-peak clustering of graphs | |
| B1297: A. Iodice D Enza, C. Tortora, F. Palumbo | |
| Mixed-type data spectral clustering with variable specific distances | |
| B0893: C. Cavicchia | |
| Mixed data convex clustering |
| Session EO086 | Room: BH (SE) 2.05 |
| Advances in Bayesian computation techniques I | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Siew Li Linda Tan | Organizer: Siew Li Linda Tan |
| B0917: K. Lee | |
| Bayesian inference for partial orders | |
| B1022: L. Maestrini | |
| Fast and accurate variational inference in mixed models | |
| B0738: Y. Wang, V. Rockova | |
| Adversarial Bayesian simulation | |
| B1849: K. Hijikata, M. Oka, K. Yamaguchi, K. Okada | |
| The development of ``variationalDCM'' an R package performing variational Bayesian estimation for DCMs |
| Session EO665 | Room: Council room |
| Advances and challenges in accelerated life testing | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Maria Kateri | Organizer: Nikolay Nikolov, Maria Kateri |
| B0621: A. Dembinska, K. Jasinski | |
| Maximum likelihood inference based on censored samples from the geometric distribution | |
| B0222: S. Albalwy, F. Coolen, J. Cumming | |
| Imprecise statistical inference based on the log-rank test for step stress accelerated life testing data | |
| B0778: N. Nikolov, M. Kateri | |
| Maximum product of spacings estimator for simple step-stress model with Weibull lifetimes | |
| B0712: Y. Lu, M. Kateri | |
| Simple heterogeneous step-stress accelerated life testing model for lithium-ion battery aging |
| Session EO110 | Room: K2.31 (Nash Lec. Theatre) |
| Advancements in spatial and spatio-temporal models | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Maria Michela Dickson | Organizer: Maria Michela Dickson |
| B0965: D. Giuliani, M.M. Dickson, G. Espa, F. Santi | |
| Identifying geographical configurations of industries by regional concentration and spatial polarization | |
| B1181: A. Cartone, L. Di Battista, P. Postiglione | |
| Spatial quantile regression for modelling the impact of digital transformation on European regional economic growth | |
| B1284: C. Fronterre, E. Giorgi | |
| Joint geostatistical modelling of lymphatic filariasis antigenaemia and microfilariae prevalence | |
| B1385: M. Kesina, P. Egger | |
| Dynamic probit models with network interdependence and unobserved heterogeneity |
| Session EC771 | Room: S-1.04 |
| Computational statistics I | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Jonathan Crook | Organizer: CFE-CMStatistics |
| B1551: M. Bee | |
| Approximate maximum likelihood estimation of the lognormal-GPD model with dynamic weights | |
| B1569: Y. Iguchi, A. Beskos, M. Graham | |
| Numerical schemes for effective calibration of elliptic and hypo-elliptic diffusions | |
| B1660: P.W. Reyes, I.I. Gauran, E. Barrios, H. Ombao | |
| Correlation-adjusted simultaneous testing among small-sized groups in high-dimensional DNA methylation data | |
| B1739: M. Stapper | |
| RandomVariables.jl: A Julia package for random variables, transformations and probabilities |
| Session EC788 | Room: S-2.23 |
| Machine learning | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Andriette Bekker | Organizer: CFE-CMStatistics |
| B1511: D. Schalk, B. Bischl, D. Ruegamer | |
| Accelerated componentwise gradient boosting using efficient data representation and momentum-based optimization | |
| B1557: F.L. Wollbraaten | |
| Temporal event boosting: Gradient boosting applied to conditional intensity models | |
| B1910: I.D. Ha, K. Burke, Y. Lee | |
| Understanding deep neural network via statistical regression modelling approaches |
| Session EC829 | Room: BH (S) 2.03 |
| MCMC algorithms | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Radu Craiu | Organizer: CFE-CMStatistics |
| B0944: M. Maama | |
| Bayesian parameter inference estimation for partially observed fractional Brownian motion | |
| B0376: G. Sofronov, S. Shen | |
| A Markov chain Monte Carlo algorithm for change-point detection in nanopore sequencing data | |
| B1513: K. Bakas, J. Kornak, H. Ombao | |
| MCMC approach on Bayesian image analysis in Fourier space | |
| B1866: J. Park, T. Choi | |
| Bayesian semiparametric copula estimation using an infinite mixture of Gaussian copulas. |
| Session EP001 | Room: Posters Virtual Room 1 |
| Poster session I (only virtual) | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Cristian Gatu | Organizer: CFE-CMStatistics |
| Parallel session H: CFE | Sunday 18.12.2022 | 10:25 - 12:05 |
| Session CO096 | Room: S-1.01 |
| Risk analysis and assessment in economics and finance | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Alessandra Amendola | Organizer: Carlos Trucios, Alessandra Amendola |
| A0638: H. Raubenheimer, R. de Jongh, M. Gericke | |
| Combining historical data sources in operational risk capital estimation | |
| A1034: A. Amendola, L. Aldieri, V. Candila | |
| The impact of ESG scores on tails risk measures | |
| A1327: I. Chronopoulos, L. Giraitis, G. Kapetanios | |
| Choosing between persistent and stationary volatility | |
| A1882: D. Lacava, G. Gallo, E. Otranto | |
| Volatility jumps and the classification of monetary policy announcements |
| Session CO396 | Room: Virtual R03 |
| Modelling financial markets | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Menelaos Karanasos | Organizer: Menelaos Karanasos |
| A1312: S. Yfanti, M. Karanasos, J. Wu | |
| Short- and long-run cross-country sustainability interdependences | |
| A1488: B. Chen, Y. Karavias, M. Barassi | |
| Group patterns in income inequality and economic growth | |
| A1348: A. Vivian, M. Wohar | |
| Can return forecasts enhance international asset allocation: Evidence from the sum of the parts approach | |
| A1425: A. Kartsaklas, A. Almajali | |
| Time-varying connectedness between the US futures markets and the macroeconomy |
| Session CO520 | Room: Virtual R04 |
| Data analysis tools for Bayesian inference | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Catherine Forbes | Organizer: Catherine Forbes |
| A1324: C. Forbes | |
| Assessing the sensitivity of a Youden posterior to extremes in the classification variable | |
| A1248: C.H. Lei | |
| Bayesian case influence analysis for spatial autoregressive model | |
| A1230: E. Kim, S. MacEachern, M. Peruggia | |
| Regularized exponentially tilted empirical likelihood for Bayesian inference |
| Session CO080 | Room: BH (SE) 1.01 |
| Advances in time series methods | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Massimiliano Caporin | Organizer: Massimiliano Caporin |
| A0326: L. Grossi, F. Lisi, F. Quaglia | |
| Cost-at-Risk estimation on the Italian ancillary services market | |
| A0449: T. Di Fonzo, D. Girolimetto | |
| Point and probabilistic forecast reconciliation for general linearly constrained multiple time series | |
| A0308: M. Girardi, M. Caporin | |
| Conditional autoregressive G model for common factor detection in the stock market | |
| A0323: M. Caporin, G. Storti | |
| Penalized CAW, forecast error variance decompositions and systemic risk measurement |
| Session CO738 | Room: BH (SE) 1.02 |
| Commodities: Pricing and trading | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Ana-Maria Fuertes | Organizer: Ana-Maria Fuertes |
| A0366: C. Frau, V. Fanelli | |
| Seasonality in commodity prices: New approaches for pricing plain vanilla options | |
| A1515: M. Joets, C. Brunetti, V. Mignon | |
| Reasons behind words: Causes and consequences of OPEC narratives | |
| A1604: E. Eyiah-Donkor, J. Cotter, V. Poti | |
| Cross-market return predictability, commodity and capital market integration | |
| A0361: A.-M. Fuertes, J. Miffre, A. Fernandez-Perez | |
| Commodity hedging: Traditional or Selective |
| Session CO546 | Room: BH (SE) 1.05 |
| Advances in climate and energy economics | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Felix Kapfhammer | Organizer: Jamie Cross |
| A1597: C. Martinez Hernandez, M. Ciccarelli, F. Kuik | |
| The asymmetric effects of weather shocks on euro area prices | |
| A2014: F. Kapfhammer | |
| The economic consequences of effective carbon taxes | |
| A1530: N. Kaneda, H. Sakaji | |
| Economic narrative processing in the case of climate change | |
| A1678: J. Gohier, T. Soler | |
| Green factor: Quantifying equity returns' climate risk using green active fund allocations |
| Session CO106 | Room: BH (SE) 1.06 |
| Factor and GARCH models | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Niklas Ahlgren | Organizer: Niklas Ahlgren |
| A0749: A. Jach, J. Antell | |
| Reassessing the evidence on factor and portfolio premia | |
| A0812: G. Sucarrat, R. Sandberg | |
| Robust Estimation and inference for time-varying unconditional volatility | |
| A0970: N. Ahlgren, A. Back, T. Terasvirta | |
| Testing the ATV-GARCH model | |
| A1337: A. Back | |
| A structurally motivated stochastic volatility model for equity returns |
| Session CO736 | Room: BH (SE) 2.09 |
| Recent developments in personal credit risk modelling | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Bart Baesens | Organizer: Wouter Verbeke, Bart Baesens |
| A0722: M. Reusens, K. Korangi, S. vanden Broucke, C. Mues, C. Bravo, B. Baesens | |
| Predicting credit rating migrations by combining financial, market, and textual data | |
| A0919: C. Bockel-Rickermann | |
| A causal perspective on managing credit risk | |
| A1826: M. Oskarsdottir, C. Bravo, C. Mues, K. Korangi, S. Zandi | |
| Credit scoring with dynamic multilayer graph neural networks | |
| A2007: M. Geerts, J. De Weerdt, S. vanden Broucke | |
| Geolocation-aware credit risk modeling |
| Session CO076 | Room: BH (SE) 2.10 |
| Topics in financial econometrics | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Leopold Soegner | Organizer: Leopold Soegner |
| A1545: C. Oetjen | |
| Index insurance and catastrophe bonds for coping with agriculture risk in a multi-region setting | |
| A1644: J. Sass, D. Westphal | |
| Convergence of optimal strategies in a continuous-time financial market with model uncertainty on the drift | |
| A1655: B. Koval, L. Soegner, S. Fruehwirth-Schnatter | |
| Bayesian reconciliation of the return predictability | |
| A1850: I. Fortin, J. Hlouskova | |
| Nowcasting the Austrian economy with mixed-frequency VAR models | |
| A2042: P. Gersing | |
| About the parameterisation of hypertall transfer functions |
| Session CO694 | Room: BH (SE) 2.12 |
| Anomaly detection and forecasting using machine learning methods | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Artem Prokhorov | Organizer: Artem Prokhorov |
| A0252: F. Cheng, A. Panagiotelis, R. Hyndman | |
| Anomaly detection with kernel density estimation on manifolds | |
| A1957: A. Prokhorov, H. Leung, R. James | |
| A machine learning attack on illegal trading | |
| A1980: P. Montero Manso | |
| Big machine learning models that learn to estimate and forecast a class of autoregressive processes | |
| A1870: A. Skrobotov, A. Prokhorov | |
| Stochastic frontier analysis for (co)integrated panels |
| Session CO084 | Room: BH (S) 1.01 Lecture Theatre 1 |
| Modelling economic and financial time series | Sunday 18.12.2022 10:25 - 12:05 |
| Chair: Gianluca Cubadda | Organizer: Gianluca Cubadda, Alain Hecq |
| A0780: A. Hecq | |
| Detecting common bubbles in multivariate mixed causal-noncausal models | |
| A0781: G. Cubadda, M. Mazzali | |
| The vector error correction index model: Representation and statistical inference | |
| A0912: T. del Barrio Castro | |
| Testing for the cointegration rank between periodically integrated processes | |
| A1330: M. Ternes, A. Hecq, I. Wilms | |
| Hierarchical regularizers for reverse unrestricted MIDAS |
| Parallel session I: CMStatistics | Sunday 18.12.2022 | 13:35 - 15:15 |
| Session EO554 | Room: K0.16 |
| Advances in network data analysis | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Sharmodeep Bhattacharyya | Organizer: Sharmodeep Bhattacharyya |
| B0490: A.Y. Zhang | |
| Leave-one-out singular subspace perturbation analysis for spectral clustering | |
| B0756: S. Chandna, S. Janson, S. Olhede | |
| A framework for modelling multiplex networks | |
| B1350: O.H. Madrid Padilla | |
| Change point localization in dependent dynamic nonparametric random dot product graphs | |
| B1431: P. Rubin-delanchy | |
| The manifold hypothesis for graphs |
| Session EO649 | Room: K0.19 |
| Recent development in mediation analysis | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Yeying Zhu | Organizer: Yeying Zhu |
| B0211: L. Liu | |
| HIMA2: High dimensional mediation analysis and its application to epigenome-wide DNA methylation data | |
| B0646: Q. Wang, Y. Zhu, X. Cai | |
| Variable selection for mediation analysis with latent factors via group-wise penalization | |
| B0736: X. Cai, Y. Zhu, Y. Huang | |
| Comparisons of inference methods in high-dimensional mediation analysis | |
| B1204: Y.-T. Huang | |
| Surrogate marker assessment using mediation analyses in a case-cohort design |
| Session EO488 | Room: K0.20 |
| Statistical methods for missing data and measurement error | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Baojiang Chen | Organizer: Baojiang Chen |
| B0591: L.-P. Chen, G. Yi | |
| Variable selection and estimation for the average treatment effect with error-prone confounders | |
| B0661: M. Daniels | |
| Dirichlet process mixture models for the analysis of repeated attempt designs | |
| B0686: B. Chen, A. Yuan, J. Qin | |
| A calibration method to stabilize the estimation in missing data and causal inference | |
| B0954: J. Zhao | |
| Statistical Exploitation of Unlabeled Data in Semi-Supervised Learning under High Dimensionality |
| Session EO422 | Room: K0.50 |
| Recent advances in nonparametric methods | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Bojana Milosevic | Organizer: Bodhisattva Sen |
| B1132: A. Auddy, M. Yuan | |
| Computational and statistical limits in high dimensional independent component analysis | |
| B1199: R. Patra, S. Mukherjee | |
| Least-squares estimation of a quasiconvex regression function | |
| B1773: M. Avella-Medina, R. Davis, G. Samorodnitsky | |
| Kernel PCA for multivariate extremes | |
| B0183: S. Chatterjee | |
| Pointwise error bounds for fused lasso |
| Session EO703 | Room: K2.40 |
| Statistical methods in brain imaging | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Hernando Ombao | Organizer: Donatello Telesca |
| B0964: A. Scheffler, R. Guhaniyogi, R. Gutierrez | |
| Bayesian multi-object data integration in the study of primary progressive aphasia | |
| B1415: S. Guha | |
| Supervised modeling of multiple networks for multimodal neuroimaging data | |
| B1440: D. Senturk, D. Telesca, C. Sugar, M. Dong | |
| A functional model for studying common trends across trial time in eye-tracking experiments | |
| B1885: M. Fiecas | |
| Hidden Markov and semi-Markov Models for dynamic connectivity analysis in resting-state fMRI |
| Session EO176 | Room: K2.41 |
| Random matrix theory and its applications | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Yanrong Yang | Organizer: Zhigang Bao |
| B0762: X. Ding | |
| Optimal and adaptive shrinkage estimators for general large covariance and precision matrices | |
| B0877: Z. Li, C. Wang, Q. Wang | |
| On eigenvalues of a high-dimensional Kendalls rank correlation matrix with dependence | |
| B1055: Y. Yang, H. Xiao Han | |
| Spiked eigenvalues of high-dimensional sample autocovariance matrices: CLT and applications | |
| B1124: J. Wang, T. Ke | |
| Optimal network community inference under severe degree heterogeneity |
| Session EO584 | Room: S0.03 |
| Spatial transcriptomics data modeling and analysis | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Qiwei Li | Organizer: Qiwei Li |
| B1830: K. Coleman, J. Hu, D. Zhang, M. Li | |
| Spectral clustering using gene expression and histology identifies disease-relevant spatial domains in SRT | |
| B1922: B. Song, Y. Wang, S. Wang, M. Chen, Y. Xie, G. Xiao, L. Wang, T. Wang | |
| SPROD: De-noising spatial transcriptomics data based on position and image information | |
| B1923: Q. Li, X. Jiang, G. Xiao, L. Xu | |
| iIMPACT: Integrating image and molecular-based profiles to analyze and cluster spatial transcriptomics data | |
| B1784: A. De Livera, T. Speed, A. Salim | |
| RUV statistical methods based on generalised linear models for omics data |
| Session EO594 | Room: S0.13 |
| Modal inference | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Rosa Crujeiras | Organizer: Jose Ameijeiras-Alonso, Rosa Crujeiras |
| B0827: F. Ferraccioli, G. Menardi | |
| Nonparametric test for density modes | |
| B1049: G. Menardi, M. Rudelli, L. Greco | |
| On robustness issues in modal clustering | |
| B1625: Y.-C. Chen | |
| Mode and ridge detection on a sphere | |
| B1791: P. Saavedra-Nieves, R. Crujeiras | |
| Estimating the number of directional clusters from density-based methods |
| Session EO324 | Room: S-1.01 |
| Text analysis for complex data | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Annamaria Bianchi | Organizer: Annamaria Bianchi |
| B1085: P. Daas | |
| Using web site text to identify different types of companies | |
| B1668: J. Gweon | |
| Automated classification for open-ended questions with BERT | |
| B1859: C. Salvatore, A. Bianchi, S. Biffignandi | |
| Unstructured textual data and composite indicators construction | |
| B1602: M. Bruno, E. Catanese | |
| Robust and consistent estimation of word embeddings for Italian tweets |
| Session EO745 | Room: S-1.04 |
| Recent advances in copula regression | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Guillermo Briseno Sanchez | Organizer: Paul Bach, Nadja Klein |
| B0466: C. Czado | |
| Vine copula based structural equation models | |
| B0833: R. Craiu, R. Zimmerman, V. Leos Barajas | |
| Copula modelling of serially correlated multivariate data with hidden structures | |
| B0813: G. Briseno Sanchez, A. Groll | |
| Bivariate mixed outcome-survival additive regression | |
| B1279: S. Maxand, N. Klein | |
| Multivariate structural distributional time series |
| Session EO598 | Room: S-1.06 |
| Mixture modelling | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Sollie Millard | Organizer: Sollie Millard |
| B0344: W. Yao | |
| A unified tool for the root selection and the hypothesis testing for mixture models | |
| B0586: S. Skhosana, S. Millard, F. Kanfer | |
| A one-step backfitting algorithm for estimating the semi-parametric mixture of partial linear models | |
| B1357: S.M. Salehi, F. Boroumand, H. Doosti, M.T. Shakeri | |
| Nonparametric tilted regression estimation | |
| B1424: J. Ferreira | |
| A fresh consideration for the mode within a mixture context |
| Session EO741 | Room: S-1.27 |
| Testing independence in high-dimensional statistics | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Din Chen | Organizer: Din Chen |
| B0351: C. Coelho | |
| A likelihood ratio test for independence and a test of fit for the multivariate linear model for high-dimensional data | |
| B0489: K. Zhang, Z. Zhao, W. Zhou | |
| BEAUTY powered BEAST | |
| B0510: Z. Zhao, X. Xing | |
| Model-free multiple testing using mirror statistics (MMM) | |
| B0693: W. Zhou, D. Ghosh, A. Ellingworth | |
| A data adaptive rank-based procedure for assessing reproducibility of high-throughput experiments |
| Session EO120 | Room: S-2.23 |
| Topics in dimension reduction | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Tatyana Krivobokova | Organizer: Tatyana Krivobokova |
| B0732: P. Kramlinger, U. Schneider, T. Krivobokova | |
| Uniformly valid inference based on the Lasso in linear mixed models | |
| B0793: G. Finocchio, T. Krivobokova | |
| Iterative regularization methods for ill-posed generalized linear models | |
| B1059: E. Bura, L. Forzani, R. Garcia Arancibia, P. Llop, D. Tomassi | |
| Sufficient reductions in regression with mixed predictors | |
| B1250: P. Serra, A. Vegelien | |
| A fresh look at sparse quantile regression |
| Session EO668 | Room: BH (S) 2.02 |
| Structured prior distributions for complex models | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Sarah Elizabeth Heaps | Organizer: Sarah Elizabeth Heaps |
| B1782: L. Kennedy | |
| Challenges and successes with structured prior modelling in survey adjustment | |
| B1074: S. Legramanti, D. Durante, D. Dunson | |
| Bayesian cumulative shrinkage for infinite factorizations | |
| B0713: R.P. Ghosh, B. Mallick, M. Pourahmadi | |
| Bayesian estimation of correlation matrices of longitudinal data | |
| B0384: S.E. Heaps | |
| Structured prior distributions for the covariance matrix in latent factor models |
| Session EO743 | Room: BH (S) 2.03 |
| Bayesian and robust insights in data analysis and classification | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Miguel de Carvalho | Organizer: Vanda Lourenco |
| B1253: V. Inacio | |
| Bayesian nonparametric inference for the overlap coefficient: Application to disease diagnosis | |
| B1309: A. Svetlosak, M. de Carvalho, G. Martos | |
| A parallelizable model-based approach for marginal and multivariate clustering | |
| B1142: A. Posekany | |
| Modeling residuals with mixtures of Gaussian with non-Gaussian components for robustness and outlier detection | |
| B1619: N. Sartori, E. Ruli, L. Ventura | |
| Robust approximate Bayesian inference |
| Session EO625 | Room: BH (S) 2.05 |
| Computations and methods in Bayesian nonparametrics | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Mario Beraha | Organizer: Federico Camerlenghi |
| B0665: A. Barrientos, M. Jauch, V. Pena, D. Matteson | |
| Mixture representations for likelihood ratio ordered distributions | |
| B0677: A. Zito, T. Rigon, D. Dunson | |
| Inferring taxonomic placement from DNA barcoding aiding in discovery of new taxa | |
| B0889: L. Ghilotti, M. Beraha, A. Guglielmi | |
| Bayesian clustering of high-dimensional data via latent repulsive mixtures | |
| B1203: B. Franzolini, M. De Iorio | |
| Bayesian nonparametric multilayer clustering of longitudinal data |
| Session EO631 | Room: Virtual R01 |
| Statistical advances in biomedical research | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Bingxin Zhao | Organizer: Bingxin Zhao |
| Session EO526 | Room: Virtual R02 |
| Recent advances in statistical inference | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Monika Bhattacharjee | Organizer: Monika Bhattacharjee |
| B0562: A. Chattopadhyay, E. Cohn, J. Zubizarreta | |
| One-step weighting for the generalization of causal inference | |
| B0580: M. Bhattacharjee | |
| Asymptotics of large autocovariance matrices | |
| B1368: A. Ganguli | |
| Detection of intervention effects on time series | |
| B1233: N. Chakraborty, M. Bhattacharjee, H.L. Koul | |
| Weighted $l_1$-penalized corrected quantile regression for high-dimensional temporally dependent measurement errors |
| Session EO633 | Room: Virtual R03 |
| Counterfactual analysis and optimal policy | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Jiaying Gu | Organizer: Jiaying Gu |
| B1639: S. Sakaguchi | |
| Policy learning for optimal dynamic treatment regimes with observational data | |
| B1658: K. Yata | |
| Optimal decision rules under partial identification | |
| B1686: T. Russell, J. Gu, T. Stringham | |
| Counterfactual identification and latent space enumeration in discrete outcome models | |
| B1780: L. Sun | |
| Empirical welfare maximization with constraints |
| Session EO552 | Room: Virtual R04 |
| Novel methods in microbiome data analysis | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Anna Plantinga | Organizer: Anna Plantinga |
| Session EO628 | Room: Virtual R05 |
| Recent developments in survival analysis | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Chi Hyun Lee | Organizer: Chi Hyun Lee |
| B0952: D. Pak, J. Ning, R. Kryscio, Y. Shen | |
| Evaluation of the natural history of disease by combining incident and prevalent cohorts: Application to the Nun Study | |
| B0960: W. Li, M. Rahbar, S. Savitz, J. Zhang, S. Lundin, A. Tahanan, J. Ning | |
| Regression analysis of multivariate recurrent event data allowing time-varying dependence | |
| B1340: Y. Zhao | |
| A mixture model for estimating the risk of prostate cancer progression in active surveillance | |
| B1400: C.H. Lee, W. Li, Y. Shen, J. Ning | |
| Estimating time-varying treatment effects on restricted mean survival time in large patient databases |
| Session EO671 | Room: Virtual R06 |
| Advances in generative modelling | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Susan Wei | Organizer: Susan Wei |
| B1079: L. Hodgkinson, C. van der Heide, F. Roosta, M. Mahoney | |
| Monotonicity and double descent in uncertainty estimation with Gaussian processes | |
| B1389: T. Hu, W. Luo, H. Jiang, J. Sun, Z. Li, Z. Zhang | |
| Training energy-based models with diffusion contrastive divergence | |
| B1464: A. Bhattacharya, D. Pati, Y. Yang | |
| On the convergence of coordinate ascent variational inference | |
| B0318: T. Broderick | |
| Black box variational inference with a deterministic objective: Faster, more accurate, and even more black box |
| Session EO538 | Room: Virtual R07 |
| Statistical analysis of complex dependent data | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Weichi Wu | Organizer: Weichi Wu |
| B0802: S.S. Dhar, S. Bhar | |
| Test for independence of infinite dimensional random elements | |
| B0820: P. Bagchi | |
| Adaptive frequency band analysis for functional time series | |
| B0913: Z. Zhou, Y. Cui | |
| Simultaneous inference for time series functional linear regression | |
| B0941: L. Bai, W. Wu | |
| Time-varying correlation network analysis of non-stationary multivariate time series with complex trends |
| Session EO494 | Room: Virtual R08 |
| Novel statistical developments for economics and finance | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Ramses Mena | Organizer: Ramses Mena |
| B0670: C.F. Selva Ochoa | |
| Stock market clustering methods | |
| B1066: C. Nava, M.G. Zoia, M.D. Braga | |
| Kurtosis-based risk parity: Methodology, portfolio effects and properties | |
| B0839: C.E. Rodriguez, S. Walker | |
| Copula particle filters | |
| B1833: I. Naumkin, R. Mena | |
| On the mean of log-returns random distributions |
| Session EO124 | Room: BH (SE) 1.02 |
| Applications of data science in causal inference, imaging, and finance | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Stan Finkelstein | Organizer: Roy Welsch |
| B0859: R.-I. Cobzaru, R. Welsch, S. Finkelstein, Z. Shahn, K. Ng | |
| Sensitivity analysis for violations of proximal identification assumptions | |
| B1151: M. Pittavino, G. Lideikyte Huber | |
| What are the projections of donations and wealthier people: New forecasts for the tax incentives in the canton of Geneva | |
| B1420: J. Zou, R. Welsch, F. Xing | |
| Portfolio construction using robust NLP incorporating noisy social media text | |
| B1219: A. AlShehhi | |
| Machine learning for Alzheimer's patients stratification and target identification |
| Session EO050 | Room: BH (SE) 1.05 |
| Robust causal inference in biology and economics | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Zijian Guo | Organizer: Zijian Guo |
| Session EO642 | Room: Council room |
| New developments in censored and truncated data | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Rebecca Betensky | Organizer: Rebecca Betensky |
| B1531: E. Parner | |
| Regression analysis for censored and truncated event data using pseudo-observations | |
| B1705: J. Qian, R. Betensky, J. Hou | |
| Nonparametric and semiparametric estimation with sequentially truncated survival data | |
| B1734: R. Betensky, J. Qian | |
| Transformation methods for smoothed estimation from interval-censored data | |
| B1720: C. Moreira | |
| Statistical methods for doubly truncated data |
| Session EO557 | Room: Safra Lecture Theatre |
| Statistical inference on functional time series | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Siegfried Hoermann | Organizer: Siegfried Hoermann |
| B0263: N. Salish, S. Otto | |
| Dynamic factor model for functional time series: Identification, estimation, and prediction | |
| B0950: M. Kim, G. Rice, P. Kokoszka | |
| White noise testing for functional time series | |
| B1315: T. Kuenzer | |
| Estimation of functional ARMA models | |
| B1684: V. Characiejus, S. Hoermann, C. Cerovecki | |
| The maximum of the periodogram of a sequence of functional data |
| Session EO068 | Room: K2.31 (Nash Lec. Theatre) |
| Innovative and practical strategies in causal inference | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Andrew Spieker | Organizer: Andrew Spieker |
| B0235: C. Lupton-Smith, E. Stuart | |
| Combining experimental and non-experimental data to examine treatment effect heterogeneity | |
| B0698: J. Hill, G. Perrett | |
| thinkCausal: A tool to help researchers learn while they do | |
| B0981: N. Illenberger, N. Mitra | |
| An influence function based instrumental variable estimator of censored medical costs | |
| B2000: A. Levis, M. Bonvini, Z. Zeng, L. Keele, E. Kennedy | |
| Robust covariate-assisted bounds in instrumental variable designs |
| Session EC824 | Room: K0.18 |
| Statistics for images and brain signals | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Brenda Betancourt | Organizer: CFE-CMStatistics |
| B1580: H. Wu, M. Knight, H. Ombao | |
| Cross-scale dependence based on multi-resolution analysis of multivariate time series with application to EEG data | |
| B1871: P.V. Redondo, R. Huser, H. Ombao | |
| Tail transfer entropy: A new extremal dependence measure for studying connectivity in a brain network | |
| B1944: H. Zhang | |
| Unbiased and robust analysis of co-localization in super-resolution images | |
| B1485: G.C. Granados Garcia, R. Prado, H. Ombao | |
| Decomposition of multivariate brain signals in multi-subject replicated setting |
| Session EC819 | Room: S0.11 |
| Statistics and econometrics modelling and applications | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Philipp Otto | Organizer: CFE-CMStatistics |
| B1795: S. Montagna, R. Argiento, C. Berloco | |
| Bayesian spatio-temporal methods: an application to forecasting short-term defaults of firms in a commercial network | |
| B0915: J. C-Rella, R. Cao, J. Vilar Fernandez | |
| Amount-dependent fraud detection considering aggregated losses | |
| B1799: D. Schulz, Y. Feng, T. Gries, S. Letmathe | |
| The smoots Package in R for semiparametric modeling of trend stationary time series | |
| B1671: W. Cai, J.-M. Dufour | |
| Statistical inference for multivariate linear regression models with stochastic volatility |
| Parallel session I: CFE | Sunday 18.12.2022 | 13:35 - 15:15 |
| Session CI017 (Special Invited Session) | Room: BH (S) 1.01 Lecture Theatre 1 |
| Recent advances in quantile regression | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Carlos Lamarche | Organizer: Carlos Lamarche |
| A0176: R. Koenker | |
| Hotelling tubes, confidence bands and conformal inference | |
| A0177: Z. Qu, J. Yoon, P. Perron | |
| Inference on quantile processes in partially linear models with applications to the impact of unemployment benefits | |
| A0178: A. Galvao | |
| Unconditional quantile partial effects via conditional quantile regression |
| Session CO605 | Room: S0.12 |
| Robust estimation in stochastic frontier models | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Ian Wright | Organizer: Christopher Parmeter |
| A0220: O. Badunenko, D. Henderson | |
| Production analysis with asymmetric noise | |
| A0689: I. Wright, W. Horrace, C. Parmeter | |
| On asymmetry and quantile estimation of the stochastic frontier model | |
| A0892: G. Bonanno, F. Domma, C. Mastromarco | |
| Income stochastic frontiers: Methodological advances for income inequalities investigations | |
| A0977: A. Stead, P. Wheat, W. Greene | |
| Distributional assumptions and the sensitivity of stochastic frontier efficiency predictions |
| Session CO208 | Room: BH (SE) 1.01 |
| Advances in semiparametric models for panel data | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Daniel Henderson | Organizer: Daniel Henderson |
| A1007: T. Wang, T. Wang, F. Yao | |
| Recasting investment efficiency in China: A semiparametric stochastic efficiency investment panel model | |
| A1001: X. Huang | |
| Functional-coefficient regression models for panel data | |
| A0217: A. Soberon, A. Musolesi, J.M. Rodriguez-Poo | |
| Efficient estimation of a semiparametric panel data model with common factors and spatial dependence | |
| A0926: D. Henderson, C. Parmeter, A. Soberon | |
| Estimation and inference for varying-coefficient multidimensional fixed-effects panel data models |
| Session CO042 | Room: BH (SE) 2.05 |
| Regime change modeling II (virtual) | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Giovanni Di Bartolomeo | Organizer: Willi Semmler |
| A1339: M. Kuhn, S. Wrzaczek | |
| Modelling resilience to environmental shocks | |
| A1398: W. Semmler, I. Tahri, J. Braga | |
| Green transition, investment horizon, and dynamic portfolio decisions | |
| A1407: I. Tahri | |
| Sustainable investment under inflation and interest rate risks | |
| A0869: G. Di Bartolomeo, E. Beqiraj, G. Ciccarone | |
| The U.S. economic dynamics and inflation persistence: A regime-switching perspective |
| Session CO424 | Room: BH (SE) 2.09 |
| Contemporary issues in modelling and forecasting inflation | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Svetlana Makarova | Organizer: Wojciech Charemza, Svetlana Makarova |
| A0208: F. Loria | |
| Inflation at risk | |
| A0381: K. Kotze | |
| Big data forecasting of South African inflation | |
| A0437: T. Soussi, M. Medeiros, E.C.M. Schutte | |
| Global inflation forecasting: Benefits from machine learning methods | |
| A0452: L. Uuskula, D. Gabrielyan | |
| Inflation expectations and consumption with machine learning |
| Session CO146 | Room: BH (SE) 2.10 |
| Parameter uncertainty in portfolio optimization and asset pricing | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Nathan Lassance | Organizer: Nathan Lassance |
| A0215: R. Vanderveken, N. Lassance, F. Vrins | |
| On the optimal combination of naive and mean-variance portfolio strategies | |
| A0547: X. Wang, R. Kan, X. Zheng | |
| In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models | |
| A1699: N. Lassance, A. Martin-Utrera | |
| Shrinking against sentiment: Exploiting behavioral biases in portfolio optimization | |
| A0555: T. Bodnar, N. Parolya, E. Thorsen | |
| Dynamic shrinkage estimation of the high-dimensional minimum-variance portfolio |
| Session CO400 | Room: BH (SE) 2.12 |
| Statistical analysis of climate data | Sunday 18.12.2022 13:35 - 15:15 |
| Chair: Liudas Giraitis | Organizer: Liudas Giraitis |
| A1044: T. Proietti, A. Giovannelli | |
| The predictability of sea surface temperatures in El Nino regions | |
| A1073: J. Gonzalo, L. Gadea | |
| Climate change heterogeneity: A new quantitative approach | |
| A1088: A.C. Cebrian, J. Castillo-Mateo, J. Asin | |
| Nonparametric tests based on records to detect trends in the upper tail of climate series | |
| A1154: L. Giraitis, F. Marotta | |
| Estimation of cyclical time series with application to climate data |
| Parallel session J: CMStatistics | Sunday 18.12.2022 | 15:45 - 17:00 |
| Session EV772 | Room: Virtual R06 |
| Computational statistics | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Aaron Scheffler | Organizer: CFE-CMStatistics |
| B0346: J. Park | |
| Simulation-based inference for high dimensional implicit models and application to partially observed processes | |
| B1907: A. Sharp, R. Browne | |
| Component contribution maximization: An estimation approach for stochastic expectation-maximization | |
| B1633: R.-M. Kruse, B. Saefken, T. Kneib | |
| Assessment and calculation of model complexity of deep neural networks |
| Session EO712 | Room: K0.16 |
| Advances in multiple network data analysis | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Jesus Arroyo | Organizer: Jesus Arroyo |
| B0607: N. Josephs | |
| Communication network dynamics in a large organizational hierarchy | |
| B0611: S. Bhattacharyya, S. Chatterjee, S.S. Mukherjee | |
| Dependent structures in network data | |
| B0703: V. Lyzinski, A. Saxena | |
| Lost in the shuffle: Testing power in the presence of errorful network vertex labels |
| Session EO634 | Room: K0.18 |
| Bayesian nonparametrics for causal inference: Part II | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Arman Oganisian | Organizer: Arman Oganisian |
| B0431: J. Antonelli | |
| Understanding the spillover effects of the air pollution mixture using mobility data | |
| B0730: C. Kim | |
| A Bayesian nonparametric approach for principal causal effects | |
| B1105: Y. Xu, J. Kim, A. Shah, S. Zeger | |
| Causal framework for subgroup treatment evaluation using multivariate generalized mixed effect models |
| Session EO705 | Room: K0.20 |
| Advances in extreme value statistics | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Ioannis Papastathopoulos | Organizer: Ioannis Papastathopoulos |
| B1697: O. Pasche, S. Engelke | |
| Neural networks for extreme quantile regression with an application to forecasting flood risk | |
| B1961: C. Murphy-Barltrop | |
| Modelling non-stationarity in asymptotically independent extremes | |
| B1973: E. DArcy, J. Tawn | |
| An improved method for extreme sea level estimation |
| Session EO607 | Room: K2.40 |
| Recent developments in unlinked regression | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Fadoua Mohr | Organizer: Fadoua Mohr |
| B1525: M. Slawski, B. Sen | |
| Permuted and unlinked monotone regression in $\mathbb{R}^d$: An approach based on mixture modeling and optimal transport | |
| B1624: M. Azadkia, F. Balabdaoui | |
| Linear regression with unmatched data: A deconvolution perspective | |
| B1788: C. Durot, F. Balabdaoui, C. Doss | |
| Unlinked monotone regression |
| Session EO549 | Room: K2.41 |
| Theory and methods in high dimensional `omic' data | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Christopher McKennan | Organizer: Christopher McKennan |
| B1120: X. Zhu | |
| Modeling regulatory network topology improves genome-wide analyses of complex human traits | |
| B1362: J. Wang, C. McKennan, M. Cai, W. Chen | |
| Robust and accurate estimation of cellular fractions from tissue omics data via ensemble deconvolution | |
| B1779: R. Dai, C. Zheng | |
| FDR controlled multiple testing for union null hypotheses: A knockoff-based approach | |
| B2037: S. Ma, H. Li | |
| Tensor decomposition of longitudinal microbiome data |
| Session EO342 | Room: S0.03 |
| Spatial data science | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Philipp Otto | Organizer: Philipp Otto |
| B0556: I. Marques, P. Wiemann | |
| A Bayesian perspective on spatial+ | |
| B0987: P. Maranzano | |
| ARPALData: An R package to retrieve and analyze air quality and weather data for Lombardy | |
| B1100: P. Wiemann, I. Marques, T. Kneib | |
| Developing spatial multi-resolution models for forestry data with Liesel |
| Session EO260 | Room: S0.11 |
| Bayesian semi- and non-parametric methods III | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Andres Barrientos | Organizer: Andrea Cremaschi, Andres Barrientos, Bernardo Nipoti |
| B1125: F. Panero, F. Caron, J. Rousseau | |
| Sparse spatial random graphs | |
| B0985: A. Murua, F. Quintana | |
| A semiparametric Bayesian model for biclustering | |
| B1021: A. Jara | |
| A class of random Bernstein copula models |
| Session EO626 | Room: S0.12 |
| Recent developments in robust model selection | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Luca Insolia | Organizer: Luca Insolia |
| B1493: D. Kepplinger | |
| Robust variable selection and estimation via adaptive elastic net S-estimators for linear regression | |
| B0400: I. Kalogridis | |
| Robust thin plate splines for multivariate spatial smoothing | |
| B0627: S.-Y. Park, B. Seo | |
| Robust variable selection in semiparametric regression modeling |
| Session EO502 | Room: S0.13 |
| Statistics of high-frequency data II | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Carsten Chong | Organizer: Carsten Chong |
| B0464: M. Podolskij | |
| Estimation of path dependent functionals under high frequency sampling | |
| B0619: V. Todorov, C. Chong, V. Todorov | |
| Short-time expansion of characteristic functions in a rough volatility setting with applications | |
| B0200: C. Chong | |
| When frictions are fractional: Rough noise in high-frequency data |
| Session EO620 | Room: S-1.01 |
| Clustering of complex data structures | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Maria Brigida Ferraro | Organizer: Maria Brigida Ferraro |
| B0306: A. Lopez Oriona, J. Vilar, P. Montero-Manso | |
| Time series clustering based on prediction accuracy of global forecasting models | |
| B0779: C. Biernacki | |
| Impact of missing data on mixtures and clustering | |
| B1159: C. Rampichini | |
| Deep clustering: A new clustering method in the sequential approach |
| Session EO186 | Room: S-1.04 |
| Marginal and conditional inference for dependent data | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Glen McGee | Organizer: Glen McGee |
| B0441: A. Stringer, G. McGee | |
| Marginal additive models: Simultaneous marginal and conditional non-linear regression for cluster-correlated data | |
| B0444: T. Hothorn, L. Barbanti | |
| A transformation perspective on marginal and conditional models | |
| B1078: P. Craigmile | |
| A class of generalized linear mixed models adjusted for marginal interpretability |
| Session EO662 | Room: S-1.06 |
| Advances in nonparametric control charts | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Manuela Cazzaro | Organizer: Manuela Cazzaro, Claudio Giovanni Borroni |
| B0310: P. Qiu | |
| Transparent sequential learning for nonparametric sequential process monitoring | |
| B0818: G. Pandolfo, C. Iorio, M. Staiano, M. Aria, R. Siciliano | |
| Multivariate control charts based on the $L^p$ depth | |
| B0721: C.G. Borroni, M. Cazzaro, P.M. Chiodini | |
| A novel approach to the change-point methodology in nonparametric control charts |
| Session EO150 | Room: S-1.27 |
| Model-free inference | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Asaf Weinstein | Organizer: Asaf Weinstein |
| B1992: Y. Romano | |
| Risk control for online learning models | |
| B0997: C.-Y. Yang, L. Lei, N.P.M. Ho, W. Fithian | |
| BONuS: Multiple multivariate testing with a data-adaptive test statistic | |
| B2016: S. Bates | |
| Learn then test: Calibrating predictive algorithms to achieve risk control |
| Session EO518 | Room: S-2.23 |
| Advances in statistical methods for bounded data | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Agnese Maria Di Brisco | Organizer: Agnese Maria Di Brisco |
| B0271: M. Tsagris | |
| Non-parametric regression models for compositional data | |
| B0740: S. Ferrari, F.F. Queiroz | |
| Power logit regression for modeling bounded data | |
| B0973: R. Ascari, A. Giampino | |
| A generalization of the latent Dirichlet allocation |
| Session EO716 | Room: S-2.25 |
| Recent advances in learning under distribution shifts | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Yao Li | Organizer: Yuekai Sun |
| B0223: K. Wang, Y. Duan | |
| Adaptive and robust multi-task learning | |
| B0935: S. Panigrahi, J. Taylor | |
| Approximate selective inference via maximum likelihood | |
| B1313: Y. Li | |
| Defending against backdoor attack |
| Session EO408 | Room: Virtual R01 |
| Longitudinal data analysis | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Orla Murphy | Organizer: Orla Murphy |
| B1881: P. McNicholas | |
| Clustering multivariate longitudinal data using matrix-variate mixture models | |
| B1691: O. Ryan | |
| Extracting dynamic features from irregularly spaced time series | |
| B1816: J. Andrews, L. Welsh, R. Browne | |
| Finite mixture models for longitudinal data with dynamic group membership |
| Session EO336 | Room: Virtual R02 |
| Bayesian contributions to survey methodology | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Brenda Betancourt | Organizer: Brenda Betancourt |
| B1175: J. Hu, T. Savitsky, M. Williams | |
| Private tabular survey data products through synthetic microdata generation | |
| B1373: X. Tang, J. Fuquene | |
| Functional and structural measurement error models with global-local priors for random effects in small area estimation | |
| B1450: J. Fuquene | |
| A case study for subnational population estimates using a population base statistical register |
| Session EO553 | Room: Virtual R03 |
| Federate learning and data privacy in modern data analysis | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Xiwei Tang | Organizer: Xiwei Tang |
| B1579: J. Ding | |
| Interval privacy: A new framework for privacy-preserving data collection | |
| B1616: X. Bi | |
| Distribution-invariant differential privacy | |
| B1694: L. Tang, X. Tan, C.-C.H. Chang, L. Zhou | |
| A tree-based model averaging approach for personalized treatment effect estimation from heterogeneous data sources |
| Session EO368 | Room: Virtual R04 |
| Biostatistics in renal research | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Ivonne Solis-Trapala | Organizer: Ivonne Solis-Trapala |
| B0789: J. Potts, C. Parsons, K. Allen, S. Damery, L. Dikomitis, J. Fotheringham, H. Hill, M. Lambie, L. Phillips-Darby, I. Williams, S. Davies, I. Solis-Trapala | |
| Graphical and multistate modelling to explore factors influencing home dialysis uptake | |
| B1026: D. Schaubel, Y. Lee | |
| Prognostic score-based methods for estimating center effects based on survival probability | |
| B1414: G. Prescott, S. Sawhney, C. Black, A. Marks, N. Fluck, L. Clark, A. Levin | |
| Modelling chronic kidney disease: the GLOMMS2 cohort |
| Session EO548 | Room: Virtual R05 |
| Causal machine learning | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Amir Asiaee | Organizer: Amir Asiaee |
| B1452: C. Cinelli, V. Chernozhukov, W. Newey, A. Sharma, V. Syrgkanis | |
| Omitted variable bias in causal machine learning | |
| B1764: K. Zhang | |
| Methodological advances in causal representation learning | |
| B1976: D. Benkeser | |
| Identifying HIV sequences that escape antibody neutralization using random forests and collaborative targeted learning |
| Session EO376 | Room: Virtual R07 |
| New statistical advances in the analysis of wearable device data | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Linda Valeri | Organizer: Linda Valeri |
| B0232: X. Cai | |
| Causal identification of dynamic effects in non-stationary time series from N-of-1 observational mobile health data | |
| B0769: E. Huang | |
| Smartphone-based activity recognition using movelets | |
| B1970: D. Almirall, I. Nahum-Shani, S. Murphy | |
| Modeling and estimating the effects of cumulative just-in-time treatments using data from micro-randomized trials |
| Session EO592 | Room: Virtual R08 |
| High-dimensional probability and statistics | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Tatyana Krivobokova | Organizer: Yukun He |
| B1195: Z. Guo, D. Cevid | |
| Doubly debiased lasso: High-dimensional inference under hidden confounding | |
| B0787: C. Liu | |
| Higher rank signatures and filtrations | |
| B1696: S. Alghamdi | |
| Speeding up the Laplace approximation method for a high-dimensional Rasch model |
| Session EO735 | Room: Council room |
| Entity resolution, biomedical and nuclear forensics data modeling | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Sharmistha Guha | Organizer: Sharmistha Guha |
| B1347: Y. Zhao, X. Tian, F. Li, D. Esserman, L. Shen, X. Zhao | |
| Pathway analysis over brain structural network with a survival outcome | |
| B1458: S. Lotspeich | |
| Overcoming censored predictors with imputation to model the progression of Huntingtons Disease | |
| B1430: A. McCombs, K. Goode, K. Shuler, D. Tucker, A. Zhang, D. Ries | |
| Inverse prediction using functional data in a Bayesian framework |
| Session EO380 | Room: K2.31 (Nash Lec. Theatre) |
| Recent advances in mediation analysis | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: BaoLuo Sun | Organizer: BaoLuo Sun |
| Session EC806 | Room: K0.50 |
| Design of experiments | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Kalliopi Mylona | Organizer: CFE-CMStatistics |
| B0430: S. Gilmour, R. Walwyn | |
| Therapist variation within randomised trials of psychotherapy: A design of experiments perspective | |
| B0434: A. Singh, S.P. Singh, O. Davidov | |
| Optimal designs for testing pairwise differences: A game theoretic approach | |
| B0541: S. Baran | |
| K-optimal designs for parameters of shifted Ornstein-Uhlenbeck processes and sheets |
| Parallel session J: CFE | Sunday 18.12.2022 | 15:45 - 17:00 |
| Session CO108 | Room: BH (S) 2.02 |
| Empirical aspects of cryptocurrency markets | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Pierangelo De Pace | Organizer: Pierangelo De Pace, Marco Lorusso |
| A1213: P. De Pace, J. Rao | |
| On the dynamics of cryptocurrency prices | |
| A1470: M. Lorusso, F. Ravazzolo, M. Costola | |
| Spillover effects in the cryptocurrency and energy commodity markets | |
| A1918: M. Ficura, G. Colak | |
| Cross-section of expected cryptocurrency returns |
| Session CO581 | Room: BH (S) 2.03 |
| Advances in quantile regression | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Harry Haupt | Organizer: Joachim Schnurbus, Harry Haupt |
| A0319: S. Pereda-Fernandez | |
| Decomposition of differences in distribution under sample selection and the gender wage gap | |
| A0897: H. Haupt | |
| Fixed design regression quantiles for nonstationary dependent processes | |
| A1365: J. Schnurbus, I. Bauer, H. Haupt | |
| Nonparametric quantile regression interval predictions for seasonal trending time series |
| Session CO252 | Room: BH (S) 2.05 |
| Recent advances in high-dimensional econometrics | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Degui Li | Organizer: Degui Li |
| A1519: D. Li | |
| Estimating factor-based spot volatility matrices with noisy and asynchronous high-frequency data | |
| A1548: M. Barigozzi, L. Trapin | |
| EM algorithm for high-dimensional dynamic matrix factor models | |
| A1565: Y. Li | |
| Estimating time-varying networks for high-dimensional time series |
| Session CO194 | Room: BH (SE) 1.01 |
| Recent developments in modelling and forecasting extremes | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Ekaterina Kazak | Organizer: Ekaterina Kazak |
| A0799: P. Hubner, J. Hambuckers | |
| Which hedge funds are systemically risky, and when: A dynamic extreme value regression approach | |
| A0757: P. Ratz | |
| Nonparametric value-at-risk via sieve estimation | |
| A0371: A. Henzi | |
| Sequentially valid tests for forecast calibration |
| Session CO098 | Room: BH (SE) 1.05 |
| Macroeconometrics | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Christos Savva | Organizer: Christos Savva |
| A0194: C. Savva, N. Michail | |
| Housing prices and inflation expectations | |
| A0197: D. Koursaros | |
| Career and non-career jobs: Dangling the carrot | |
| A0539: N. Michail, C. Savva, D. Koursaros | |
| Price decomposition and asymmetry in various regimes of the economy |
| Session CO722 | Room: BH (SE) 2.05 |
| News and the term structure of interest rates | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Guillaume Roussellet | Organizer: Guillaume Roussellet |
| A0405: S. Eusepi, R. Crump, E. Moench | |
| The term structure of expectations and bond yields | |
| A0949: G. Roussellet, J.-S. Fontaine, B. Feunou | |
| What do bond investors learn from macroeconomic news | |
| A0958: M. Kerssenfischer | |
| What moves markets |
| Session CO300 | Room: BH (SE) 2.09 |
| Dynamic multiple quantile models | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Leopoldo Catania | Organizer: Leopoldo Catania |
| A1289: S. Chavleishvili | |
| Structural quantile VAR identified with external instruments | |
| A1114: P. Vallarino, A. Luati, L. Catania | |
| Combining dynamic conditional quantile functions with a viewtowards tail risk management | |
| A1956: L. Catania, A. Luati | |
| Semiparametric modeling of multiple quantiles |
| Session CO276 | Room: BH (SE) 2.10 |
| Financial modelling and forecasting | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Ekaterini Panopoulou | Organizer: Ekaterini Panopoulou |
| A0292: T. Pantelidis, P. Tzika | |
| The contribution of economic policy uncertainty to the persistence of shocks to stock market volatility | |
| A1471: E. Panopoulou, A. Alexandridis, I. Apergis, N. Voukelatos | |
| Equity premium prediction: The role of information from the options market |
| Session CO611 | Room: BH (SE) 2.12 |
| Risk, volatility and price discovery in financial markets | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Thomas Dimpfl | Organizer: Robinson Kruse-Becher |
| A0353: D. Umlandt | |
| Moment conditions and time-varying risk premia | |
| A0421: E. Whitehouse | |
| Real time monitoring of a change in the persistence of stochastic volatility | |
| A0325: T. Dimpfl, K. Schweikert | |
| Information shares for markets with partially overlapping trading hours |
| Session CO078 | Room: BH (S) 1.01 Lecture Theatre 1 |
| Financial time series | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Jean-Michel Zakoian | Organizer: Christian Francq, Jean-Michel Zakoian |
| A0909: C. Francq, J.-M. Zakoian | |
| Optimal estimating function for weak location-scale dynamic models | |
| A0996: J. Royer, T. Giroux | |
| Empirical asset pricing with score-driven conditional betas | |
| A1552: B.M. Kandji | |
| Strict stationarity and existence of moments for a family of functional GARCHs |
| Session CC795 | Room: BH (SE) 1.02 |
| Asset pricing | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Shixuan Wang | Organizer: CFE |
| A1393: S. Schaefer, U. Pigorsch | |
| Anxiety in returns | |
| A1935: M.M. Vich Llompart, L. Vitiello | |
| Random preferences, truncated distributions, and the pricing kernel: A note |
| Session CC800 | Room: BH (SE) 1.06 |
| Regime switching | Sunday 18.12.2022 15:45 - 17:00 |
| Chair: Mohammad Jahan-Parvar | Organizer: CFE |
| A1704: J. Liu | |
| Identification and forecasting of bull and bear markets using multivariate returns | |
| A1712: R. McGee | |
| Machine learning utility-maximising market regime classifications | |
| A1940: F. Ielpo, J. Collet | |
| Regime causality |
| Parallel session K: CMStatistics | Sunday 18.12.2022 | 17:15 - 19:20 |
| B0312: R. Keogh | |
| Using the Cox model for the three tasks of health data science | |
| B0313: H. Battey | |
| D. R. Cox: Aspects of scientific inference | |
| B0314: N. Wermuth | |
| Being inspired by David R. Cox |
| Session EO630 | Room: K0.16 |
| Modeling of complex high dimensional data in neuroscience | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Ani Eloyan | Organizer: Ani Eloyan |
| Session EO180 | Room: K0.18 |
| Robust statistics: A data depth approach | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Alicia Nieto-Reyes | Organizer: Alicia Nieto-Reyes |
| B0945: F. Gnettner, C. Kirch, A. Nieto-Reyes | |
| Variations of the depth based Liu-Singh two-sample test including functional spaces | |
| B1126: L. Gonzalez-De La Fuente, A. Nieto-Reyes, P. Teran | |
| Tukey depth for compact and convex random sets | |
| B1138: G. Francisci, C. Agostinelli, A. Nieto-Reyes, A. Vidyashankar | |
| Clustering via local depth functions | |
| B0650: A. Nieto-Reyes | |
| Statistical data depth aimed for text data | |
| B0649: L. Greco, C. Agostinelli, G. Saraceno | |
| Robust fitting of wrapped models to multivariate torus data |
| Session EO188 | Room: K0.20 |
| Machine learning for extremes | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Stephane Girard | Organizer: Stephane Girard |
| B0554: J. Richards, R. Huser, E. Bevacqua, J. Zscheischler | |
| Partially-interpretable neural networks for extreme quantile regression | |
| B1098: M. Allouche, S. Girard, E. Gobet | |
| Estimation of extreme quantiles from heavy-tailed distributions with neural networks | |
| B1158: A. Sabourin, P. Bertail, A. Aghbalou, F. Portier | |
| Cross-validation for extreme value analysis | |
| B1862: S. Engelke, N. Gnecco, E. Merga Terefe | |
| Extremal random forests | |
| B1749: J. Blanchet, A. Hasan, V. Tarokh | |
| Physics-informed max-stable spatial processes for inference in regions with no-observations |
| Session EO268 | Room: K2.40 |
| New frontiers in complex and functional data analyses (virtual) | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Kuang-Yao Lee | Organizer: Kuang-Yao Lee |
| B1798: S.-Y. Huang, Y.-B. Chen | |
| Feature representation learning in neural networks guided by the sliced inverse regression | |
| B1376: Y. Li | |
| Bayesian spatially varying coefficient models with functional predictors | |
| B0518: H.-H. Huang, S.-H. Wang, R. Bai | |
| Ultrahigh dimensional variable selection for Bayesian mixed type multivariate generalized linear models | |
| B1674: J. Sun | |
| Learning healthcare delivery network with longitudinal electronic health records data | |
| B1829: K.-Y. Lee, L. Li, B. Li | |
| Functional directed acyclic graphs |
| Session EO575 | Room: K2.41 |
| Methods and algorithms in contemporary data analysis | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Zhihua Su | Organizer: Zhihua Su |
| B1733: J. Myung, M. Torabi, M. Ghosh, M. Steel | |
| Measurement error in linear regression models with fat tails and skewed errors | |
| B1867: B. Wang, Q. Tang, Y. Gu | |
| fastkqr: A fast algorithm for kernel quantile regression | |
| B1354: Y. Park | |
| Two-stage adaptive designs of single arm clinical trials based on median event time test | |
| B1879: N. Hyun, P. Shaw | |
| An augmented likelihood approach incorporating error-prone auxiliary data into a survival analysis | |
| B1921: Z. Su | |
| Nonlinear envelope model for nonparametric regression |
| Session EO262 | Room: S0.03 |
| Spatio-temporal health modeling: Developments | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Andrew Lawson | Organizer: Andrew Lawson |
| B0359: T. Goicoa, M.D. Ugarte, G. Vicente | |
| New multivariate spatio-temporal P-spline models for areal count data | |
| B0596: P. Moraga | |
| Bayesian spatial modeling of misaligned data using INLA and SPDE | |
| B0809: J. Kim, A. Lawson | |
| A Bayesian surveillance metric to predict emerging high risk cluster regions of infectious disease | |
| B1336: C. Anderson, D. Lee | |
| Modelling spatially misaligned disease count data with multiple severities | |
| B1526: A. Schmidt | |
| Coupled Markov switching count models for the detection and forecasting of COVID-19 outbreaks in Quebec hospitals |
| Session EO162 | Room: S0.11 |
| Statistical optimal transport (virtual) | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Xiucai Ding | Organizer: Fang Han |
| B0969: N. Deb | |
| Nonparametric Pitman efficient distribution-free testing using optimal transport | |
| B0947: H. Shi, M. Hallin, M. Drton, F. Han | |
| On universally consistent and fully distribution-free rank tests of vector independence | |
| B2039: V. Panaretos, L. Ghodrati | |
| Distributional regression via optimal transport | |
| B0225: Z. Harchaoui | |
| Entropy regularized optimal transport independence |
| Session EO545 | Room: S0.12 |
| Predicting and forecasting for complex data | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Matus Maciak | Organizer: Matus Maciak |
| B0417: M. Huskova, Z. Hlavka, S. Meintanis | |
| Testing dependencies in high dimensions | |
| B0492: M. Pesta, S. Hudecova | |
| Semi-continuous time series for sparse data with volatility clustering | |
| B1280: D. Hlubinka, Z. Hlavka | |
| Goodness-of-fit tests for Gaussian random processes | |
| B1466: Y. Wang | |
| On the stability and generalization of the privacy-preserving decentralized learning | |
| B0681: M. Maciak, G. Ciuperca, M. Pesta | |
| Online changepoint test in a nonlinear expectile model |
| Session EO222 | Room: S0.13 |
| Projection pursuit: Prediction | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Nicola Loperfido | Organizer: Nicola Loperfido |
| B0639: D. Jacobs, T. Grear, C. Avery | |
| Supervised projection pursuit for discriminant analysis through machine learning | |
| B1002: N. da Silva, D. Cook, E.-K. Lee | |
| Projection pursuit supervised classification | |
| B1123: J. Pereira, T. Oliveira, L. Mendes | |
| Projection pursuit regression versus generalized additive model for location scale and shape an application in health | |
| B0936: V. Makogin, E. Spodarev | |
| Prediction of random variables by excursion metric projections | |
| B1941: M. Mansour, H. Ahmed, A.E.G. Ahmed, M. Aboshady | |
| On the Statistical Inference of the Accelerated Life Tests for some Polymer Nanocomposites |
| Session EO190 | Room: S-1.01 |
| Advancements in the analysis of high-dimensional and complex data | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Eugen Pircalabelu | Organizer: Andreas Artemiou, Eugen Pircalabelu |
| B0674: E. Nezakati Rezazadeh, E. Pircalabelu | |
| A divide-and-conquer approach for covariate-adjusted Gaussian graphical models | |
| B0815: A. Munteanu | |
| Optimal compressed sparse regression | |
| B1645: W. Chen, C. Lam | |
| Rank and factor loadings estimation in time series tensor factor model by pre-averaging | |
| B1352: X. Bing | |
| Optimal discriminant analysis in high-dimensional latent factor models | |
| B1801: K. Knight | |
| Soft principal component regression using Bernstein matrix polynomials |
| Session EO352 | Room: S-1.06 |
| Advances in multivariate analysis: Clustering, factor models, and more | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Joshua Cape | Organizer: Joshua Cape |
| B0309: L. Gao | |
| Inference after latent variable estimation for single-cell RNA sequencing data | |
| B0488: A. Molstad, X. Zhang | |
| Conditional probability tensor decompositions for multivariate categorical response regression | |
| B0504: X. Li, Y. Chen | |
| A Generalized Latent Factor Model Approach to Mixed-data Matrix Completion with Entrywise Consistency | |
| B1168: M. Jauch | |
| Projection-type priors for structured orthogonal matrices | |
| B1200: C. McKennan | |
| Factor analysis in high dimensional biological data with dependent observations |
| Session EO578 | Room: S-1.27 |
| Advances in statistical methodology for the analysis of longitudinal data | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Samuel Manda | Organizer: Samuel Manda |
| B0378: N. Nakhaeirad, D.-G. Chen | |
| The weighted least squares method for heteroscedastic interval censored survival data | |
| B0383: I. Maharela, D. Chen, L. Fletcher | |
| Modelling non-homogeneous censored time-to-event data using semiparametric accelerated failure time model | |
| B0420: H. Twabi, S. Manda, D. Small, H.-P. Kohler | |
| A marginal structural model for longitudinal observational data with multiple outcomes | |
| B0512: S. Manda, G. Singini | |
| Prediction of COVID-19 incidence in Africa using Bayesian a hierarchical smooth transition autoregressive model | |
| B1930: N. Abdelatif, E. Chirwa, A. Gibbs, S. Manda | |
| Exploring the bidirectional pathway between intimate partner violence and depression from a cluster randomized trial |
| Session EO707 | Room: S-2.23 |
| Recent statistical advances in imaging | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Israel Almodovar Rivera | Organizer: Ranjan Maitra |
| B1015: L. Wang, Y. Wang, B. Klinedinst, G. Wang, A. Willette | |
| Statistical inference for mean functions of 3D functional objects | |
| B1443: I. Almodovar Rivera | |
| Distribution-free clustering diagnostic for outlier detection | |
| B1456: A. Pintar, S. Lund, R. Venkatasubramanian | |
| A two-stage approach to image segmentation in forensic footwear comparisons | |
| B1461: C. Llosa, R. Maitra | |
| Reduced-rank tensor-on-tensor regression and tensor-variate analysis of variance |
| Session EO378 | Room: S-2.25 |
| Modern topics in statistical learning | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Radu Craiu | Organizer: Radu Craiu |
| B0276: L. Frattarolo | |
| Modal Grids in MIDAS estimation with large number of regressors | |
| B0850: B. Bilodeau, L. Wang, D. Roy | |
| Adaptively exploiting d-separators with causal bandits | |
| B1004: Y. Tang, N. Reid | |
| Directional testing in astrophysics | |
| B1534: M. Lalancette, S. Engelke, S. Volgushev | |
| Learning extremal graphical structures in high dimensions | |
| B1584: J. Negrea, B. Bilodeau | |
| Adapting to failure of the IID assumption |
| Session EO685 | Room: BH (S) 2.05 |
| Advances in Bayesian factor analysis | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Pantelis Samartsidis | Organizer: Pantelis Samartsidis |
| B0297: A. Roy | |
| Latent variable model for graph-estimation in multivariate stationary time series | |
| B1177: L. Schiavon, L. Galtarossa, L. Schiavon, A. Canale, D. Risso | |
| Structured factorization for single-cell gene expression data | |
| B1523: J. van der Molen Moris | |
| Bayesian correlated clustering of multiple high-dimensional datasets using mixtures of factor analysers | |
| B1767: R. De Vito | |
| Bayesian cross-study models: From epidemiological to genomics applications | |
| B1960: A. Avalos Pacheco, D. Rossell, R. De Vito, J. Jewson, R.S. Savage | |
| Multi-study factor regression models for heterogenous data: Applications to cancer genomics and nutritional epidemiology |
| Session EO254 | Room: Virtual R02 |
| Geospatial harmonization: Dynamic prediction and mapping | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Eleni-Rosalina Andrinopoulou | Organizer: Eleni-Rosalina Andrinopoulou |
| B1143: E. Rasnick, E. Gecili, A. Palipana, P. Ryan, E.-R. Andrinopoulou, P. Miranda Afonso, R. Keogh, J. Clancy, R. Szczesniak, C. Brokamp | |
| Geospatial harmonization with multimodal geomarkers and R package developments | |
| B1663: S. Colegate, C. Brokamp, R. Szczesniak, M. Rao | |
| Acute exposure to ambient particulate matter and pulmonary exacerbations: A case-crossover simulation study | |
| B1210: A. Palipana, E. Gecili, R. Szczesniak, E. Rasnick, A. Vancil, D. Ehrlich, T. Pestian, E.-R. Andrinopoulou, P. Miranda Afonso, R. Keogh, Y. Ni, J. Clancy, P. Ryan, C. Brokamp | |
| Granularity in deriving environmental exposures \& community characteristics: Impacts on predictive accuracy | |
| B1725: J. Dexheimer | |
| Machine learning methodologies for the prediction of rapid lung function decline | |
| B1600: P. Miranda Afonso, R. Szczesniak, D. Rizopoulos, G. Zhou, J. Clancy, A. Palipana, E. Rasnick, C. Brokamp, P. Ryan, R. Keogh, E.-R. Andrinopoulou | |
| Jointly modeling lung function decline, nutritional evolution and pulmonary exacerbation onset |
| Session EO312 | Room: Virtual R03 |
| Statistical methods in causal inference and reinforcement learning | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Haoyu Zhang | Organizer: Chengchun Shi |
| B1582: Y. Zhao | |
| Constructing stabilized dynamic surveillance rules for optimal monitoring schedules | |
| B0209: D. Small, B. Karmakar | |
| Testing an elaborate theory of a causal hypothesis in an observational study | |
| B1351: H. Zhang, Z. Liu, X. Lin | |
| A robust whole-genome Mendelian randomization approach for improved estimation and inference of causal effects | |
| B1635: N. Kallus, J. Chang, K. Wang, W. Sun | |
| Learning Bellman complete representations for offline policy evaluation | |
| B0242: Y. Jin, Z. Ren, E. Candes | |
| Sensitivity analysis of individual treatment effects: A robust conformal inference approach |
| Session EO744 | Room: Virtual R04 |
| Statistical learning in modern complex data analysis | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Guanqun Cao | Organizer: Guanqun Cao |
| B0486: T. Krivobokova | |
| Efficient nonparametric estimation of Toeplitz covariance matrices | |
| B0610: P. Du, X. Xing, Z. Shang, P. Ma, W. Zhong, J. Liu | |
| Minimax nonparametric multi-sample test under smoothing | |
| B0834: S. Wang, L. Cai, S. Wang | |
| Oracle-efficient estimation for variance function of dense functional data with a smooth simultaneous confidence band | |
| B1226: J. Zhou, T. Zhang, J. Ma, W. Petri | |
| Estimation of dynamic diarrhea effects on childhood growth with latent subgroup | |
| B1380: P.-S. Zhong, H. Wang | |
| Inter-subject correlation analysis for heterogeneous functional data |
| Session EO570 | Room: Virtual R05 |
| Recent advances in stochastic models II | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Anna Panorska | Organizer: Anna Panorska |
| B1848: A. Wylomanska | |
| Modelling of anomalous diffusion processes with random parameters | |
| B1854: W. Zulawinski, A. Grzesiek, R. Zimroz, A. Wylomanska | |
| Identification and validation of periodic autoregressive model with additive noise: Finite-variance case | |
| B1953: A. Grzesiek, A. Wylomanska, J. Gajda | |
| Ornstein - Uhlenbeck process driven by alpha-stable process and its Gamma subordination | |
| B2004: M. Arendarczyk, T. Kozubowski, A. Panorska | |
| Slash distributions, generalized convolutions, and extremes | |
| B2003: K. Burnecki, F. Sabzikar, J. Kabala | |
| Tempered fractionally integrated process with stable noise as a transient anomalous diffusion model |
| Session EO723 | Room: Virtual R06 |
| Causal inference in network settings | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Subhadeep Paul | Organizer: Subhadeep Paul |
| B1242: D. Choi | |
| Estimating the prevalence of peer effects and other spillovers | |
| B0453: S. Paul | |
| Network influence with latent homophily and measurement error | |
| B0557: S. Sengupta, N. Larsen, J. Stallrich, S. Sengupta | |
| HODOR: Hold-Out Design for Online A/B testing with lurking variables | |
| B0560: S. Li, S. Wager | |
| Network interference in micro-randomized trials | |
| B0387: N. Egami, E. Tchetgen Tchetgen | |
| Identification and estimation of causal peer effects using double negative controls for unmeasured network confounding |
| Session EO158 | Room: Virtual R07 |
| Bayesian semi- and non-parametric methods II | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Bernardo Nipoti | Organizer: Andrea Cremaschi, Andres Barrientos, Bernardo Nipoti |
| B1828: L. Ma, N. Awaya | |
| Unsupervised tree boosting for learning probability distributions | |
| B0582: D. Dahl, R. Warr, T. Jensen | |
| Hierarchical and time-dependent random partitions based on the shrinkage partition distribution | |
| B0743: A. Kottas, H. Kim | |
| Bayesian nonparametric marked Hawkes processes for earthquake modeling | |
| B1917: Y. Gu, D. Dunson | |
| Bayesian pyramids: Identifiable multilayer discrete latent structure models for discrete data |
| Session EO284 | Room: Virtual R08 |
| Recent developments in optimal designs | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Saumen Mandal | Organizer: Saumen Mandal |
| Session EO350 | Room: Council room |
| Beyond proportional hazards and standard survival | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Dennis Dobler | Organizer: Dennis Dobler, Marc Ditzhaus |
| B0409: M. Gorfine | |
| K-sample omnibus non-proportional hazards tests based on right-censored data | |
| B0553: T. Emura, D. Dobler, M. Ditzhaus | |
| Factorial survival analysis for treatment effects under dependent censoring | |
| B0664: T. Fernandez, M. Ditzhaus, N. Rivera | |
| A multiple kernel testing procedure for non-proportional hazards in factorial designs. | |
| B0483: B. Ozenne, E. Budtz-Joergensen, J. Peron | |
| Benefit-risk assessment via generalized pairwise comparisons | |
| B0248: S. Friedrich, J. Ruehl | |
| Bootstrapping complex survival models: From type-II censoring to causal inference |
| Session EO214 | Room: K2.31 (Nash Lec. Theatre) |
| Modern methods for causal inference | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Luke Keele | Organizer: Luke Keele |
| B0272: D. Knox | |
| An automated solution to causal inference in discrete settings | |
| B0495: L. Miratrix, D.W. Ham | |
| A devils bargain? Repairing a difference in differences parallel trends assumption with an initial matching step | |
| B0535: L. Keele | |
| Approximate balancing weights for clustered observational studies | |
| B1391: M. Bonvini, E. Kennedy, L. Keele | |
| Minimax optimal subgroup identification | |
| B1942: E. Ben-Michael, K. Imai, Z. Jiang | |
| Policy learning with asymmetric utilities |
| Session EC827 | Room: K0.19 |
| Applied statistics | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Bojana Milosevic | Organizer: CFE-CMStatistics |
| B1480: D. Castro-Camilo, J. Browell | |
| Probabilistic forecasting of weather-driven faults on electricity distribution networks | |
| B1998: S. Aldossari, D. Husmeier, J. Matthiopoulos | |
| Predicting biodiversity with the generalised functional response model | |
| B1817: G. De Luca, G. Rivieccio | |
| Bivariate modelling of rainfalls and temperature | |
| B0219: C. Ramsay | |
| Doubly enhanced medicaid partnership annuities (DEMPANs): Long-term care for seniors in the Medicaid penumbra | |
| B0545: M. Szabo, S. Baran, P. Szokol | |
| Calibration of wind speed ensemble forecasts using truncated GEV based EMOS approach |
| Session EC384 | Room: S-1.04 |
| Statistical modelling II | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Jochen Einbeck | Organizer: CFE-CMStatistics |
| B0388: A. Alharbi | |
| Nonparametric predictive inference for multiple future ordinal observations | |
| B1537: A. Aldawsari | |
| Parametric predictive bootstrap | |
| B1574: R. Alotaibi | |
| Nonparametric predictive inference for 2x2 contingency tables | |
| B1627: M. Wagener, A. Bekker, M. Arashi | |
| A generalised normal distribution with interpretable parameters for location, body-shape, skewness, and tail-weight | |
| B2001: F. Vaida, A. Umlauf | |
| Small-sample test for comparing Cohen's d effect sizes between groups |
| Session EC817 | Room: BH (S) 2.03 |
| Bayesian statistics I | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Pier Giovanni Bissiri | Organizer: CFE-CMStatistics |
| B0457: O. Gressani | |
| Approximate Bayesian inference in epidemic models: A focus on nowcasting and the time-varying reproduction number | |
| B1765: E. O Neill | |
| Type I Tobit Bayesian additive regression trees for censored outcome regression | |
| B1825: J. Bryan, P. Hoff | |
| Smaller p-values in genomics studies using distilled auxiliary information | |
| B1932: V. Ballerini, B. Liseo | |
| Fisher $s$ noncentral hypergeometric distribution for population size estimation |
| Session EP027 | Room: Posters Virtual Room 2 |
| Poster session II (only virtual) | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Cristian Gatu | Organizer: CFE-CMStatistics |
| B2043: T.B.T. Ngo, A. Brouste, E. Clement, L. Denis | |
| Efficient estimation of stochastic differential equations driven by a stable Levy process | |
| B1667: S. Ferrigno, M.-J. Martinez | |
| Goodness-of-fit tests for variance function in regression models | |
| B2012: H. Choi | |
| Skewed normal classification in high-dimensional data | |
| A1539: J. Tarrant | |
| The effect of microfinance on countries and individuals | |
| B1588: N. Burns, M. Daniels, E. Widen | |
| Modeling flexible trajectories and related outcomes using a three-level enriched Dirichlet process mixture | |
| B1535: V. Lourenco, P. Hans-Peter, J.O. Ogutu | |
| On the robustness of machine learning methods for genomic prediction |
| Parallel session K: CFE | Sunday 18.12.2022 | 17:15 - 19:20 |
| Session CI021 (Special Invited Session) | Room: BH (S) 1.01 Lecture Theatre 1 |
| Machine learning and macroeconomic forecast | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Anna Simoni | Organizer: Anna Simoni |
| A0204: F. Huber, N. Hauzenberger, J. Mitchell, G. Koop | |
| Bayesian modeling of time-varying parameters using regression trees | |
| A0205: G. Ricco, P. Andreini, C. Izzo | |
| Deep dynamic factor models | |
| A1283: D. Giannone, R. Crump, A. Sbordone, E. Qian, S. Eusepi | |
| A large Bayesian VAR of the United States economy |
| Session CO242 | Room: Virtual R01 |
| New approaches to time series analysis for macro and finance | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Mikkel Plagborg-Moller | Organizer: Mikkel Plagborg-Moller |
| A0189: D. Song, M. Chernov, L. Lochstoer | |
| The real channel for nominal bond-stock puzzles | |
| A0190: E. Janssens, S. McCrary | |
| Finite-state Markov-chain approximations: A hidden Markov approach | |
| A0934: J. Arias, J. Rubio-Ramirez, D. Waggoner | |
| Uniform priors for impulse responses | |
| A1104: T. Sekhposyan, T. Dahlhaus, J. Schaumburg | |
| Networking the yield curve surprises: Implications for monetary policy | |
| A0932: M. Plagborg-Moller, M. Cocci | |
| Standard errors for calibrated parameters |
| Session CO292 | Room: BH (SE) 1.06 |
| Statistical identification and structural VARs | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Thorsten Drautzburg | Organizer: Thorsten Drautzburg |
| A0266: S. Keweloh | |
| Incorporating economic theory into structural vector autoregressions: A non-invasive approach | |
| A0307: A. Lee, G. Mesters | |
| Robust inference for non-Gaussian linear simultaneous equations models | |
| A0914: D. Lewis | |
| Announcement-specific decompositions of unconventional monetary policy shocks \& their macroeconomic effects | |
| A0884: M. Lanne, K. Liu, J. Luoto | |
| Identifying structural vector autoregression via leptokurtic economic shocks | |
| A0879: T. Drautzburg, J. Wright | |
| Refining set-identification in VARs through independence |
| Session CO032 | Room: BH (SE) 2.05 |
| Recent advances in applied macroeconomics | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Alessia Paccagnini | Organizer: Alessia Paccagnini |
| A0315: M. Luciani, H.J. Ahn | |
| Relative prices and pure inflation since the mid-1990s | |
| A1164: A. Paccagnini | |
| Dealing with the statistical representation of DSGE models | |
| A1481: D. Aydin Yakut, D. Byrne, R. Goodhead | |
| How nonlinear is monetary policy | |
| A1134: D. Hauser, R. Sekkel, D. Matveev, A. Leonard | |
| Macroeconomic effects of different tax policies: Narrative evidence from Canada | |
| A0336: A. Zarraga, E.L. Chanatasig, A. Ciarreta, C. Pizarro-Irizar | |
| Understanding volatility spillovers between European electricity spot markets |
| Session CO603 | Room: BH (SE) 2.10 |
| Financial econometrics and applications | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Xiaohan Xue | Organizer: Xiaohan Xue, Ruijun Bu |
| A0860: G. Liu-Evans | |
| Improving the estimation and predictions of small time series models | |
| A1214: X. Meng, J. Taylor, S. Ben Taieb | |
| Combining predictive distributions | |
| A0213: J. Chen | |
| Jump clustering, stock price efficiency and predictability of jumps in financial markets | |
| A1502: R. Tao, L. Zhao, C. Wese Simen | |
| A market-level tug of war: Investor heterogeneity and asset pricing | |
| A0760: X. Xue, M. Izzeldin, Y. Luo | |
| When MIDAS meets LASSO: Forecasting tail risk using effective macroeconomic variables |
| Session CO657 | Room: BH (SE) 2.12 |
| Recent methods for analyzing inflation | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Carlos Montes-Galdon | Organizer: Danilo Leiva-Leon |
| A0972: L. Uzeda | |
| Trend inflation and monetary policy | |
| A0368: M. Pfarrhofer | |
| Modeling tail risks of inflation using unobserved component quantile regressions | |
| A1110: C. Montes-Galdon, E. Ortega | |
| Skewed SVARs: Tracking the structural sources of macroeconomic tail risks | |
| A0614: S. Rast, L. Melosi, J. Fisher | |
| Anchoring long-run inflation expectations in a panel of professional forecasters | |
| A1500: E. Ortega, R. Gimeno | |
| Modelling Euro area inflation expectations: The value of mixing sources and frequencies |
| Session CC753 | Room: BH (SE) 1.01 |
| Time series I | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Philipp Otto | Organizer: CFE |
| A0478: M. Faymonville, C. Jentsch, C. Weiss, B. Aleksandrov | |
| Joint semiparametric INAR bootstrap inference for model coefficients and innovation parameters | |
| A1162: J. Castillo-Mateo, A.C. Cebrian, J. Asin, A. Gelfand | |
| Mixed effects quantile autoregressive modeling for point-referenced daily maximum temperatures in Aragon, Spain | |
| A1769: S. Pappert, A. Arsova | |
| Forecasting natural gas prices with spatio-temporal copula-based time series models | |
| A1893: J. Bruha | |
| Long run effects of high energy prices on energy intensity: A sparse filter approach | |
| A0331: G. Rodriguez Rondon, J.-M. Dufour | |
| Monte Carlo likelihood ratio tests for Markov switching models |
| Session CC784 | Room: BH (SE) 1.02 |
| Empirical finance | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Mohammad Jahan-Parvar | Organizer: CFE |
| A0382: H. Aldhahi | |
| Drivers of hedge fund failures | |
| A0795: H. Langlois, F. Chabi-Yo | |
| Conditional leverage and the term structure of option-implied equity risk premia | |
| A1410: O. Sokolinskiy, Y. Kitsul, J. Wright | |
| Market effects of central bank credit markets support programs in Europe | |
| A1599: T. Kiss, E. Hjalmarsson, A. Dzemski, A. Farago | |
| Projecting long-run compound returns: The limits of data-driven inference | |
| A1715: E. Kormanyos | |
| Do investors compensate for unsustainable consumption with sustainable assets? |
| Session CC801 | Room: BH (SE) 1.05 |
| Asset allocation | Sunday 18.12.2022 17:15 - 19:20 |
| Chair: Massimiliano Caporin | Organizer: CFE |
| A1372: H. Nyberg, L. Nevasalmi | |
| Moving forward from predictive regressions: Boosting asset allocation decisions | |
| A1887: A. Thomas, G. De Truchis, E. Dumitrescu, S. Fries | |
| Bet on a bubble asset: An optimal portfolio allocation strategy | |
| A0221: R. Liesenfeld, L. Reh, G. Moura, T. Selland Kleppe | |
| A time-varying parameter model with Bayesian shrinkage for global minimum variance portfolio prediction | |
| A1949: J. Vecer | |
| Principles of Bayesian portfolio choice | |
| A1920: F. Severino, F. Ortu, P. Reggiani | |
| Persistence-based portfolio choice along the FOMC cycle |
| Parallel session L: CMStatistics | Monday 19.12.2022 | 08:40 - 09:55 |
| Session EO370 | Room: K0.20 |
| Nonclassical extreme value analysis | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Yi He | Organizer: Yi He |
| B0548: Y. He, J. Einmahl | |
| Extreme value inference for general heterogeneous data | |
| B0684: X. Leng | |
| High conditional quantiles for panel data | |
| B0717: T. Wang, S. Resnick | |
| Random networks with heterogeneous reciprocity |
| Session EO486 | Room: K2.40 |
| Functional time series: Theory and applications | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Yanrong Yang | Organizer: Yanrong Yang |
| B1593: Y. Yang, H. Anderson, J. Gao, F. Vahid, W. Wei | |
| Does climate sensitivity differ across regions? A varying-coefficient approach | |
| B1641: Y. Gao, Y. Yang, H.L. Shang, Y. Yang | |
| Identifying features from practical FPCA on functional time series | |
| B1754: D.P. Ovalle-Munoz, M.D. Ruiz-Medina | |
| A simulation and estimation algorithm for residual correlation analysis of long-range dependence (LRD) FANOVA models |
| Session EO602 | Room: S0.03 |
| Advances in time series and spatio-temporal data | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Soudeep Deb | Organizer: Soudeep Deb |
| B0470: S. Rawat, S. Deb, C. Berrett | |
| A Bayesian approach to identify changepoints in spatio-temporal ordered categorical data: An application to COVID-19 | |
| B0925: H. Maeng, H. Cho, I. Eckley, P. Fearnhead | |
| High-dimensional time series segmentation via factor-adjusted vector autoregressive modelling | |
| B1714: R. Roy, S. Deb, S. Karmakar, J. Ray Choudhury | |
| Effect of media attention on crude oil price volatility using a non-parametric time series regression |
| Session EO320 | Room: S0.11 |
| Text mining for social impact | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Laura Vana | Organizer: Laura Vana |
| B0852: D. Eugenidis, D. Lenz | |
| Measuring gender differences in personalities through natural language in the labor force | |
| B1106: C. Damian, L. Vana | |
| Detecting gender bias in children's textual literature | |
| B1397: J. Doughman | |
| Gender bias in text: Automated detection and mitigation system |
| Session EO726 | Room: S0.12 |
| Statistical modeling and machine learning with applications in data science | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Yousri Slaoui | Organizer: Yousri Slaoui |
| B1787: Y. Slaoui, A. El Haj, P.-Y. Louis, C. Perret | |
| Clustering in attributed weighted nodes network using a stochastic block model with application to EEG data | |
| B1794: L. Grill, Y. Slaoui, S. Le Masson, D. Nortershauser | |
| Non-parametric recursive regression for $Q$ estimation in actor-critic reinforcement learning | |
| B1516: A. McInerney, K. Burke | |
| Feedforward neural networks as statistical models |
| Session EO286 | Room: S0.13 |
| Topics in multivariate modelling and high dimension | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Benjamin Poignard | Organizer: Benjamin Poignard |
| B0507: B. Poignard, Y. Terada | |
| Sparse factor model of high dimension | |
| B1197: K. Kamatani, X. Song | |
| Haar-weave-metropolis kernel |
| Session EO178 | Room: S-1.01 |
| Statistical methods for complex data | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Maria Brigida Ferraro | Organizer: Ana Belen Ramos-Guajardo |
| B1050: M. Sato-Ilic | |
| Individuality-based fuzzy cluster-scaled principal component analysis for high-dimension low-sample data | |
| B1251: R. Seri, M. Martinoli | |
| Nonparametric moment-based estimation of simulated models via regularized regression | |
| B1382: M.B. Ferraro, E. Fernandez Iglesias, A.B. Ramos-Guajardo, G. Gonzalez-Rodriguez | |
| Clustering of star-shaped sets with a fuzzy approach |
| Session EO543 | Room: Virtual R02 |
| New challenges in design of experiments II | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Victor Casero-Alonso | Organizer: Victor Casero-Alonso |
| B1057: T. Waite, D. Woods, Y. Englezou | |
| Approximate Laplace importance sampling for Bayesian design of experiments in nonlinear models | |
| B1291: K. Mylona, M. Borrotti, F. Sambo | |
| Multi-objective optimisation of split-plot designs | |
| B1266: V. Casero-Alonso, J. Lopez-Fidalgo, C. Tommasi, W. Wong | |
| Optimal designs for fractional polynomial models |
| Session EO416 | Room: Council room |
| New perspectives on old questions in survival analysis | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Liming Xiang | Organizer: Catherine Liu |
| B1598: C. Zhong, J. Shen, J. Yang, C. Liu | |
| Robust prediction of failure time through unified Bayesian analysis of nonparametric transformation models | |
| B1993: L. Xiang, M. Peng | |
| Disease progression-based feature screening for ultrahigh- dimensional survival-associated biomarkers | |
| B1568: F.-Z. Jaouimaa, I.D. Ha, K. Burke | |
| Hierarchical multi-parameter regression survival models |
| Session EO482 | Room: Safra Lecture Theatre |
| Advances in Bayesian computation techniques II | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Siew Li Linda Tan | Organizer: Siew Li Linda Tan |
| B0193: D. Nott, A. Chakraborty, M. Evans | |
| Weakly informative priors and prior-data conflict checking for likelihood-free inference | |
| B1540: R. Kohn, D. Frazier, C. Drovandi, D. Nott | |
| Bayesian inference using synthetic likelihood: Asymptotics and adjustments | |
| B1623: L. Piancastelli, N. Friel | |
| Bayesian inference for the Conway-Maxwell distribution |
| B0508: S. Tikka | |
| Clustering and structural robustness in causal diagrams | |
| B1577: O. Hines, O. Dukes, K. DiazOrdaz, S. Vansteelandt | |
| Demystifying statistical learning based on efficient influence functions | |
| B1596: X. de Luna | |
| Discussion |
| Session EC820 | Room: K0.16 |
| Graphical models | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Natalia Bochkina | Organizer: CFE-CMStatistics |
| B1638: L. Vogels, R. Mohammadi, I. Birbil, M. Schoonhoven | |
| Bayesian structure learning in undirected graphical models: Review and empirical comparisons | |
| B1891: P. Strong, J. Smith | |
| Consistent model selection and elicited prior information: The posterior equivalence principle for chain event graphs | |
| B1901: J. Smith, M. Arashi, A. Bekker | |
| A data-driven Bayesian graphical ridge estimator |
| Session EC826 | Room: K2.41 |
| Statistic for covid | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Irene Garcia-Camacha Gutierrez | Organizer: CFE-CMStatistics |
| B0350: R. Stander, I. Fabris-Rotelli, D. Chen | |
| Multiscale decomposition of spatial lattice data for detecting hotspots of COVID-19 cases in South Africa | |
| B1121: S. Diaz Coto, J. Peacock, V. Sayarath, J. Madan, M. Karagas | |
| The value of the New Hampshire birth cohort: Impact of SARS Covid 2 on children's respiratory infections and symptoms | |
| B2005: A. Ulgen, H. Sivgin, S. Cetin, M. Cetin, W. Li | |
| COVID-19 hospitalization and mortality after conditioning on osmolality and the effect of CA and Vitamin D |
| Session EC828 | Room: S-1.04 |
| Machine learning II | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Bettina Gruen | Organizer: CFE-CMStatistics |
| B0375: J. Mazarura, A. De waal, P. De Villiers | |
| Unsupervised topic identification in large short text corpora using mixture models | |
| B0626: S. Oh, B. Seo | |
| Merged linear Gaussian cluster-weighted models: An interpretable machine learning model | |
| B1751: D. Ushizima, E. Chagnon | |
| From Gutenberg to BERT: How transformers can change information extraction from text |
| Session EC679 | Room: BH (S) 2.05 |
| Bayesian statistics II | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Asaf Weinstein | Organizer: CFE-CMStatistics |
| B1809: F. Komaki | |
| Predictions for the gamma distribution model and information geometry of Levy measures | |
| B1846: K. Tachibana, J. Kato, K. Okada | |
| Simultaneous analysis in Bayesian multidimensional unfolding with application to party expert surveys | |
| B1832: J. Lee, T. Choi | |
| Bayesian hierarchical functional regression model for ordinal responses with flexible link functions |
| Parallel session L: CFE | Monday 19.12.2022 | 08:40 - 09:55 |
| Session CV779 | Room: Virtual R01 |
| Applied econometrics | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Radu Craiu | Organizer: CFE |
| A0337: L. Kwiatkowski, J. Wroblewska, A. Pajor | |
| Predictive performance of Bayesian VEC-SV-GARCH models before and during the Covid-19 pandemic | |
| A1591: Y. Zhang | |
| Asymmetry and interdependence when evaluating U.S. energy information agency forecasts | |
| A1820: V. Upreti, M. Realdon | |
| Forecasting sovereign CDS prices |
| Session CO692 | Room: Virtual R03 |
| Recent advances in financial econometrics | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Jiajing Sun | Organizer: Jiajing Sun |
| A0888: M. Zhu, Y. Hong, S. Wang, Z. Cheng, J. Heng | |
| Stock market volatility forecasting: Can interval data improve it? | |
| A1311: C.D. Wang | |
| Normal mixture quasi-maximum likelihood estimation of double autoregressive models | |
| A1665: J. Sun, Y. Hong, B. McCabe, S. Wang | |
| Adjusted-range-based Kolmogorov-Smirnov type statistics for structural breaks and parameter constancy |
| Session CO224 | Room: Virtual R04 |
| Machine learning: New developments | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Qingliang Fan | Organizer: Mehmet Caner |
| A0201: Z. Shi | |
| L2-relaxation: With applications to forecast combination and portfolio analysis | |
| A0207: G. Vasconcelos, M. Harding | |
| Managers versus machines: Do algorithms replicate human intuition in credit ratings? | |
| A0491: Q. Fan | |
| Time-varying minimum variance portfolio | |
| A2021: M. Daniele, M. Caner | |
| Deep learning with non-linear factor models: Adaptability and avoidance of curse of dimensionality |
| Session CO102 | Room: Virtual R05 |
| The econometrics of banking and finance | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Leone Leonida | Organizer: Leone Leonida |
| A1890: A. Iona, L. Leonida, D.Z. Assefa | |
| Political replacement effect and financial development: Evidence across countries | |
| A1889: E. Muzzupappa | |
| Market-driven securitization | |
| A1869: L. Leonida | |
| Is monotonicity of the investment-cash flow sensitivity satisfied? Evidence on a joint hypothesis |
| Session CO561 | Room: BH (SE) 1.02 |
| Using large datasets to analyse household finance | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Jonathan Crook | Organizer: Jonathan Crook |
| A1561: R.Y. Goh, G. Andreeva, Y. Cao, J. de Smedt | |
| Identifying current account risk profiles to detect suspicious accounts | |
| A1772: S. Martin, K. Stabenow, M. Trede | |
| Statistical properties of measurement error in earnings in labor market survey data | |
| A0247: J. Crook | |
| Who is overindebted in the UK |
| Session CO126 | Room: BH (SE) 1.05 |
| Bayesian time series analysis | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Gary Koop | Organizer: Roberto Casarin |
| A1281: O.A. Baltodano Lopez, R. Casarin, M. Costantini | |
| A dynamic degree and strength corrected stochastic block model with infinite communities | |
| A1326: A. Peruzzi, R. Casarin | |
| Dynamic identity-link latent space infinite-mixture: An application on DAX components | |
| A1804: L. Ringwald, F. Huber, T. Krisztin, M. Marcellino | |
| Unusual weather in unusual economic times |
| Session CO316 | Room: BH (SE) 2.10 |
| Advances in macroeconometric modelling | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Anthoulla Phella | Organizer: Aubrey Poon |
| A0288: P. Wu, G. Koop | |
| Spike and slab priors on variable orderings in VARs | |
| A0408: A. Phella, D. Korobilis, A. Musso, B. Landau | |
| The time-varying evolution of inflation risks | |
| A0416: Y. Sun | |
| Global Food and Energy Shock and Their Transmission to the Euro Area Economy |
| Session CC797 | Room: S-1.06 |
| Machine learning in finance | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Sandra Paterlini | Organizer: CFE |
| A0446: E. Toenjes, A. Auzepy, C. Funk | |
| The impact of TCFD reporting: A new application of zero-shot analysis to climate-related financial disclosures | |
| A1292: J. Witzany, M. Ficura | |
| Machine learning applications to valuation of options on non-liquid markets | |
| A1755: P. Semeraro, E. Luciano, M. Doria | |
| Machine learning techniques in joint default assessment |
| Session CC768 | Room: BH (S) 2.03 |
| Time series and dynamic models | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Jose Olmo | Organizer: CFE |
| A2025: S. Pollock | |
| SEASCAPE.PAS: A program for seasonal adjustment | |
| A1572: G. Mantoan, L. Yang, A. de Paula, L. Nesheim, S. Cohen, G. Mantoan, S. Lui, E. Small, C. Scott, W. Malpass | |
| Nowcasting with signature methods | |
| A2030: A. Shamsi Zamenjani, J. Maheu | |
| Determinants of market volatility: A latent threshold dynamic model |
| Session CC796 | Room: BH (SE) 1.01 |
| Value-at-Risk | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Vincenzo Candila | Organizer: CFE |
| A0767: M. Kelner, Z. Landsman, U. Makov | |
| A novel methodology to enriching the Archimedean family of copulas application to electricity peak demand estimation | |
| A1711: M. Puke, T. Dimitriadis | |
| Forecast calibration, backtests, and loss decompositions for Value-at-Risk forecasts | |
| A1840: B. Schulte-Tillmann, M. Segnon, T. Wiedemann | |
| High-frequency volatility measurement and forecasting: Parametric vs non-parametric approaches |
| Session CC794 | Room: BH (SE) 1.06 |
| Macroeconometrics II | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Niklas Ahlgren | Organizer: CFE |
| A1636: M. Gronwald | |
| Macroeconomics with a thick pen | |
| A0529: N.T. Nguyen | |
| Understanding the fiscal price puzzle: Evidence from a nonlinear VAR approach | |
| A0320: J. Ruzicka | |
| Quantile local projections: Identification, smooth estimation, and inference |
| Session CC802 | Room: BH (SE) 2.05 |
| Cryptocurrency markets | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Massimiliano Caporin | Organizer: CFE |
| B0299: C.-C. Wu, W.-P. Chen, W. Aimable | |
| Dynamic spillover in the cryptocurrency market | |
| A1803: L. Kristoufek | |
| Will Bitcoin ever become less volatile? | |
| A1802: J. Kukacka, L. Kristoufek | |
| Fundamental and speculative components of the cryptocurrency pricing dynamics |
| Session CC804 | Room: BH (SE) 2.09 |
| Yield curve | Monday 19.12.2022 08:40 - 09:55 |
| Chair: Pierangelo De Pace | Organizer: CFE |
| A0482: V. Kuntze, H. Nyberg, S. Rauhala | |
| Similarity-based recession prediction in different interest rate environments | |
| A1273: I. Paraskevopoulos | |
| A new term structure model for pricing bonds | |
| A0641: T. Kobayashi | |
| Yield curve estimation and liquidity risk in corporate bond market |
| Parallel session M: CMStatistics | Monday 19.12.2022 | 10:25 - 12:05 |
| Session EO402 | Room: K0.16 |
| Recent advancements in statistical network analysis | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Jonathan Stewart | Organizer: Jonathan Stewart |
| B0517: J. Loyal, Y. Chen | |
| Spike-and-slab priors for dimension selection in static and dynamic network eigenmodels | |
| B1255: C. Leng | |
| Supervised centrality via sparse spatial autoregression | |
| B1343: J. Pena, J. Stewart | |
| Model selection for network data based on spectral information | |
| B1406: M. Schweinberger, G. Hu | |
| A Bayesian approach to space- and time-indexed Markov processes, with application to the Italian premier football league |
| Session EO609 | Room: K0.18 |
| Modern causal methods for clinical and health policy research | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Nandita Mitra | Organizer: Nandita Mitra |
| Session EO152 | Room: K0.19 |
| Digital health and individualized treatment regimens. | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Ashkan Ertefaie | Organizer: Ashkan Ertefaie |
| B1325: W. Dempsey | |
| Improving the efficiency of time-varying causal effect moderation analysis in mobile health | |
| B1405: M. Ferlic | |
| Analyzing Event-triggered Adaptive Interventions using Data from Sequentially Randomized Trials | |
| B1477: T. Shen, Y. Cui | |
| Learning optimal treatment regime with proxies | |
| B1473: S. Han | |
| Optimal dynamic treatment regimes and partial welfare ordering |
| Session EO640 | Room: K0.20 |
| Scalable inference methods for complex problems | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Daniel Paulin | Organizer: Daniel Paulin |
| B1868: A. Jasra | |
| Unbiased estimation for discretized models and its extension to underdamped langevin dynamics | |
| B1873: D. Paulin | |
| Speeding up inference for high dimensional time series models | |
| B1928: S. Hayou | |
| On the infinite depth limit of finite width neural networks | |
| B1931: N. Chada, A. Jasra, K. Law, S. Singh | |
| Multilevel Bayesian deep neural networks |
| Session EO456 | Room: K0.50 |
| High-dimensional learning inference for data science | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Rajen D Shah | Organizer: Jinchi Lv |
| B0748: C.-M. Chi, Y. Fan, J. Lv | |
| FACT: High-dimensional random forests inference | |
| B0980: H. Li | |
| Tracy-Widom law of ridge-regularized F-matrix and applications | |
| B1653: Y. Uematsu, K. Sawaya, M. Imaizumi | |
| High-dimensional asymptotics for single-index models via approximate message passing | |
| B1659: T. Cannings | |
| Linear discriminant analysis with label noise |
| Session EO256 | Room: K2.40 |
| Advances in functional and object data analysis | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Sonja Greven | Organizer: Sonja Greven |
| B0881: F. Yao, H. Zhou, H. Zhang | |
| Functional linear regression for discretely observed data: from ideal to reality | |
| B0687: E. Lila | |
| Interpretable discriminant analysis for functional data supported on random non-linear domains | |
| B1422: A. Stoecker, M. Pfeuffer, L. Steyer, S. Greven | |
| Elastic full procrustes analysis of plane curves via Hermitian covariance smoothing | |
| B1286: P. Reiss, B. Paul | |
| Continuous-time multivariate analysis |
| Session EO070 | Room: K2.41 |
| Recent advances in analytical methods for large-scale data | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Zhaoyuan Li | Organizer: Zhaoyuan Li |
| B1009: J. Fan | |
| Statistical physics approaches to the complex earth system | |
| B1030: K. Yano, T. Sei | |
| Minimum information dependence modeling | |
| B1153: L. Xie, G. Moustakides, Y. Xie | |
| A new CUSUM type procedure for sequential change detection | |
| B1006: Z. Li | |
| Change point inference for high-dimensional correlation matrix |
| Session EO663 | Room: S0.03 |
| Time series and spatial statistics: Methodology and applications | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Adam Sykulski | Organizer: Adam Sykulski |
| B0633: S. Olhede, A. Sykulski, A. Guillaumin, F. Simons | |
| Efficient and accurate estimation from dependent data: The debiased spatial Whittle likelihood | |
| B0999: R. Krafty, M. Tuft, F. Ferrarelli, O. Rosen, Z. Li | |
| Comparing populations of high-dimensional spectra | |
| B1058: E. Cohen, A. Gibberd | |
| Wavelet spectra for multivariate point processes | |
| B1065: G. Agarwal, I. Eckley, P. Fearnhead | |
| Modeling and detecting changes in spatio-temporal processes |
| Session EO448 | Room: S0.11 |
| Statistics and computing for stochastic processes | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Kengo Kamatani | Organizer: Kengo Kamatani |
| B0566: S. Eguchi | |
| Model comparison for ergodic SDEs in YUIMA | |
| B0784: Y. Kaino, M. Uchida | |
| Hypothesis testing for a parabolic linear SPDE with a small perturbation | |
| B0910: S. Nakakita | |
| Estimation of diffusion processes by online gradient descent |
| Session EO577 | Room: S0.12 |
| Bernstein-von Mises theorem: Recent results | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Johan van der Molen Moris | Organizer: Natalia Bochkina |
| B0243: C. Li | |
| Bayesian fixed-domain asymptotics for covariance parameters in a Gaussian process model | |
| B1099: J. Soehl, R. Nickl | |
| Nonparametric Bernstein--von Mises theorems for discretely observed compound Poisson processes | |
| B1409: N. Bochkina, J. Rousseau, J.-B. Salomond, J. van der Molen Moris | |
| Semi-parametric Bernstein-von Mises theorem for linear models with one-sided error |
| Session EO540 | Room: S0.13 |
| Statistical summits: Methodology and computing II | Monday 19.12.2022 10:25 - 12:05 |
| Chair: JT Ferreira | Organizer: JT Ferreira, Andriette Bekker |
| B0413: M. Arashi, E. Hosseini, D. Shahsavani, M.R. Rabiei | |
| Small area estimation with partially linear mixed measurement error models | |
| B0723: L. Bagnato, A. Punzo | |
| Asymmetric Laplace scale mixtures | |
| B0931: S. Millard | |
| A personal journey into mixture modelling | |
| B0370: S. Makgai | |
| A journey of the Dirichlet distribution in the analysis of compositional data sets |
| Session EO522 | Room: S-1.04 |
| Statistical methods for dependence | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Elisa Perrone | Organizer: Elisa Perrone |
| B1753: F. Durante, S. Fuchs, R. Pappada | |
| Copula-based clustering of time series based on multivariate comonotonicity | |
| B0891: A. Derumigny, R. van der Spek | |
| Fast estimation of Kendall's tau and conditional Kendall's tau matrices under structural assumptions | |
| B1761: N. Dietrich, W. Trutschnig, T. Kasper | |
| Revisiting the Williamson transform in the context of multivariate Archimedean copulas | |
| B1792: E. Perrone, R. Fontana | |
| Multivariate Bernoulli copulas: properties and limitations |
| Session EO304 | Room: S-1.06 |
| Multivariate analysis of complex data | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Thomas Verdebout | Organizer: Thomas Verdebout |
| B1536: J. Trufin, M. Denuit, J. Huyghe, J. Trufin, T. Verdebout | |
| Testing for auto-calibration | |
| B1606: T. Verdebout, M. Hallin, H. Liu | |
| Inference based on measure transportation for directional data | |
| B1656: O. Lopez | |
| Regression trees for extreme events, applications to natural disasters and cyber insurance pricing | |
| B1661: G. Bernard, T. Verdebout | |
| Power enhancement for dimension detection of Gaussian signals |
| Session EO048 | Room: S-1.27 |
| Innovations in latent variable modelling | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Giorgia Zaccaria | Organizer: Cristina Mollica |
| B0724: A. Russo, A. Farcomeni, M.G. Pittau, R. Zelli | |
| Covariate-modulated rectangular latent Markov models with an unknown number of regime profiles | |
| B0811: D. Failli, M.F. Marino, F. Martella | |
| A finite mixture approach for biclustering bipartite networks | |
| B1306: S. Columbu, N. Piras, J. Vermunt | |
| Extending latent class models for dealing with multilevel cross-classified data structures | |
| B1399: G. Zaccaria, C. Cavicchia, M. Vichi | |
| Ultrametric models for dimensionality reduction |
| Session EO246 | Room: Virtual R02 |
| Statistical analysis for stochastic differential equations | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Masayuki Uchida | Organizer: Masayuki Uchida |
| B1234: N. Yoshida | |
| Partial mixing and asymptotic expansion for batched bandits | |
| B0642: Y. Shimizu, M. Kobayashi | |
| Threshold estimation for jump-diffusions under small noise asymptotics | |
| B1241: A. De Gregorio, F. Iafrate | |
| Pathwise optimization for adaptive bridge-type estimators and its application to SDEs | |
| B1137: A. Gloter, C. Amorino | |
| Estimation of invariant density for a discretely observed diffusion: Impact of the sampling and of the asynchronicity |
| Session EO676 | Room: Virtual R03 |
| Statistics of extremes | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Jonathan El Methni | Organizer: Jonathan El Methni |
| B0345: G. Stupfler, A. Daouia, S. Padoan | |
| Optimal pooling and distributed inference for the tail index and extreme quantiles | |
| B0782: A. Usseglio-Carleve, G. Stupfler, A. Daouia | |
| Bias- and variance-corrected asymptotic Gaussian inference about extreme expectiles | |
| B1093: A. Boulin, E. Di Bernardino, T. Laloe, G. Toulemonde | |
| High-dimensional variables clustering based on sub-asymptotic maxima of a weakly dependent random process | |
| B1225: Y. Abbas, A. Daouia, G. Stupfler | |
| Extreme expectile estimation in heavy-tailed regression models |
| Session EO240 | Room: Virtual R04 |
| Directional statistics | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Toshihiro Abe | Organizer: Hiroaki Ogata, Toshihiro Abe |
| B0719: Y. Tsuruta | |
| Improve direct plug-in rule selector for circular kernel density estimation | |
| B0882: Y. Miyata | |
| An extension of Johnson-Wehrly-type cylindrical distributions | |
| B1462: T. Shiohama | |
| Complex-valued time-series models and their relation to directional statistics | |
| B1463: T. Imoto | |
| New construction of a cylindrical distribution from two base distributions |
| Session EO118 | Room: Safra Lecture Theatre |
| Novel perspectives in Bayesian statistics | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Pier Giovanni Bissiri | Organizer: Pier Giovanni Bissiri |
| B1483: E. Dolera | |
| A novel approach to (strong) posterior contraction rates via Wasserstein dynamics | |
| B1441: T. Rigon, A. Herring, D. Dunson | |
| Statistical modeling within the generalized Bayes paradigm | |
| B0663: Y. Luo | |
| Bayesian estimates from loss functions | |
| B1345: P.G. Bissiri, C. Holmes, S. Walker | |
| General Bayesian inference |
| Session EO170 | Room: K2.31 (Nash Lec. Theatre) |
| Advances in heterogeneous and imaging data analysis | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Simon Vandekar | Organizer: Xinyuan Song |
| B1590: C. Wang, Q. Yang, X. Zhou, X. Song | |
| Bayesian quantile latent factor on image regression | |
| B1595: Y. Zou, X. Song, Y. Lin | |
| Bayesian order selection in heterogeneous hidden Markov models | |
| B1706: Y. He | |
| A joint mixed membership model for multivariate longitudinal and survival data | |
| B1707: Z. Wu | |
| Longitudinal mixed membership image-on-scalar model for learning the progression of Alzheimers disease |
| Parallel session M: CFE | Monday 19.12.2022 | 10:25 - 12:05 |
| Session CI023 (Special Invited Session) | Room: BH (SE) 2.12 |
| Alternative data in finance | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Serge Darolles | Organizer: Serge Darolles |
| A0363: T. Foucault, O. Dessaint, L. Fresard | |
| Does alternative data improve financial forecasting? | |
| A1759: A. Simoni, L. Ferrara | |
| When are Google data useful to nowcast GDP: An approach via preselection and shrinkage | |
| A0365: S. Forte | |
| Alternative data for ESG events monitoring using NLP: Practical quantitative results |
| Session CO330 | Room: S-1.01 |
| Mixed-frequency methods in finance and economics | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Kris Boudt | Organizer: Nabil Bouamara, Kris Boudt |
| A0817: K. Boudt, O. Delmarcelle, P. Ringoot | |
| Improving the supervisors anti-money laundering risk rating approach using news event monitoring | |
| A0824: N. Bouamara, S. Laurent, S. Shi | |
| Power enhancement in detecting sparse signals, with applications to correlated test statistics in finance | |
| A0906: M.A. Khokhar, K. Boudt, D. Ashraf | |
| An Islamic alter ego for Dow Jones Industrial Average portfolio | |
| A1939: K. Dragun, K. Boudt, S. Vanduffel | |
| Covariance matrix regularization through resampling |
| Session CO090 | Room: Virtual R01 |
| Advances in Bayesian computational methods | Monday 19.12.2022 10:25 - 12:05 |
| Chair: David Nott | Organizer: David Nott |
| A0192: S.L.L. Tan | |
| Analytic natural gradient updates for Cholesky factor in Gaussian variational approximation | |
| A0864: R. Loaiza-Maya, D. Nibbering | |
| Fast variational inference for multinomial probit models | |
| A1047: P. Bach, N. Klein | |
| Spike-and-slab group lasso meets Bayesian P-splines | |
| A1062: M.-N. Tran | |
| Variational Bayes on manifolds and quantum speed-up |
| Session CO724 | Room: BH (SE) 1.01 |
| Panel data | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Martin Schumann | Organizer: Martin Schumann |
| A0291: A. Stammann | |
| On the incidental parameter problem in fractional response models with fixed effects | |
| A0530: C. Pakel, M. Weidner | |
| Bounds on average effects in discrete choice panel data models | |
| A0612: M. Schumann, H. Dette | |
| Testing for equivalence of pre-trends in difference-in-differences estimation | |
| A0946: S. Borodich Suarez, M. Schumann, G. Tripathi | |
| Integrated likelihood based inference for dynamic binary choice panel data models with fixed effects | |
| A2040: Y. Li, G. Dhaene | |
| Nonparametric bootstrap correction for incidental parameter bias in GMM |
| Session CO699 | Room: BH (SE) 1.02 |
| Volatility and option pricing models | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Arnaud Dufays | Organizer: Arnaud Dufays |
| A0595: J. Rombouts | |
| Factor dynamics, risk premia, and higher moments in multi-factor option pricing models | |
| A0606: A. Dufays, M. Augustyniak, K.A.H. Maoude | |
| A general framework for multifractal discrete stochastic volatility | |
| A1806: J. Leymarie, O. Couperier, O. Scaillet, S. Benoit | |
| Elicitability of marginal expected shortfall and related systemic-risk measures | |
| A0608: E.A. Houndetoungan, K.A.H. Maoude | |
| Asymptotic efficiency for two-stage conditional M-estimators |
| Session CO700 | Room: BH (SE) 1.05 |
| Alternative data for economic forecasting | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Luca Barbaglia | Organizer: Luca Barbaglia |
| A0484: T. Drechsel | |
| Identifying monetary policy shocks: A natural language approach | |
| A0494: L. Barbaglia, S. Consoli, S. Manzan, L. Tiozzo Pezzoli, E. Tosetti | |
| Sentiment analysis of economic text: A lexicon-based approach | |
| A0509: J. Ashwin, L. Saiz, E. Kalamara | |
| Nowcasting Euro area GDP with news sentiment: A tale of two crises | |
| A1317: M. Colagrossi, L. Barbaglia, S. Consoli | |
| Nowcasting inflation using web searches |
| Session CO650 | Room: BH (SE) 1.06 |
| Time series: Forecasting, nonlinearity and mixed frequency data | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Johan Lyhagen | Organizer: Johan Lyhagen |
| A0628: V. Eriksson | |
| Test-based trimming for combined forecast | |
| A0618: C. Porage, Y. Yang | |
| On the time-varying factor model and its application on finding minimum variance portfolio | |
| A0903: J. Andersson, O.A. Nilsen, H.J. Skaug | |
| Mixed Frequency data in a (S, s) pricing | |
| A1060: R. Sandberg | |
| Linearity testing in vector smooth transition autoregressive models when data are highly persistent |
| Session CO661 | Room: BH (SE) 2.05 |
| Advanced statistical tools in sustainable insurance and finance | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Susanna Levantesi | Organizer: Susanna Levantesi |
| A1174: S. Levantesi, R. DEcclesia, V. D Amato | |
| Deepening the relationship between ESG score and firms' performance via machine learning | |
| A1094: R. DEcclesia, A. Salko | |
| Loss given default in shipping finance: A machine learning approach | |
| A1259: V. D Amato | |
| How to quantify the reputational risks due to ESG issues on the insurance companies activities | |
| A1442: F. Baione, D. Biancalana | |
| Sustainable health insurance: An application of GAMLSS for claims expenditure prediction |
| Session CO346 | Room: BH (SE) 2.10 |
| Financial econometrics: Modelling and forecasting | Monday 19.12.2022 10:25 - 12:05 |
| Chair: Vincenzo Candila | Organizer: Vincenzo Candila |
| A0754: V. Candila, L. Petrella, G. Gallo | |
| Mixed-frequency quantile regressions to forecast value-at-risk and expected shortfall | |
| A0942: G. Rivieccio, G. De Luca | |
| Sentiment analysis and NFT transaction dynamics | |
| A1139: A. Forino, G. Morelli | |
| Volatility and liquidity nexus in cryptocurrency markets | |
| A1323: A. Pacifico | |
| Hierarchical Bayesian fuzzy clustering approach for high dimensional linear time-series |
| Parallel session P: CMStatistics | Monday 19.12.2022 | 14:40 - 16:20 |
| Session EO562 | Room: K0.16 |
| Network and high dimensional data analysis | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Jing Lei | Organizer: Kehui Chen |
| B0976: W. Tang, J. Zhu | |
| Population-level balance in signed networks | |
| B1188: T. Li, C.M. Le | |
| Linear regression and its inference on noisy network-linked data | |
| B1189: J. Lei | |
| Conformal-based hypothesis testing using rank sum statistics | |
| B1303: X. Wang, D. Choi, K. Roeder | |
| Constructing local cell-specific networks from single-cell data |
| Session EO066 | Room: K0.18 |
| Recent advances in Bayesian causal inference | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Erica Moodie | Organizer: Erica Moodie |
| B0690: B. Mukherjee | |
| Mediation analysis with external summary data on total effect | |
| B0898: N. Savy, P. Saint-Pierre | |
| RVine copula as virtual baseline generator in agent-based modeling in clinical research | |
| B1271: A. van der Vaart | |
| Bayesian sensitivity analysis | |
| B1538: D. Stephens, V. Meng | |
| Bayesian inference for functional parameters |
| Session EO706 | Room: K0.19 |
| Recent advances in causal inference | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Peng Ding | Organizer: Peng Ding |
| B0224: D. Rothenhaeusler, Y. Jeong | |
| Distributional robustness, replicability, and causality | |
| B0747: A. Zhao, P. Ding | |
| No star is good news: A unified look at rerandomization based onp-values from covariate balance tests | |
| B0829: I. Bojinov, D.W. Ham | |
| Design-based anytime-valid causal inference | |
| B0794: D. Shen, P. Ding, J. Sekhon, B. Yu | |
| Horizontal and vertical regressions: From duels to duals |
| Session EO674 | Room: K0.20 |
| Multivariate methods: Joint diagonalization and projection pursuit | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Aurore Archimbaud | Organizer: Aurore Archimbaud |
| B1068: J. Durieux | |
| Subspace independent component analysis: Finding clustering structures in a low dimensional space | |
| B1302: A. Archimbaud, A. Alfons, K. Nordhausen, A. Ruiz-Gazen | |
| Invariant coordinate selection as preprocessing for clustering | |
| B0678: L. Duembgen | |
| Refining invariant coordinate selection via local projecton pursuit | |
| B1108: C. Muehlmann, S. De Iaco, K. Nordhausen | |
| Blind recovery of sources for multivariate space-time random fields |
| Session EO652 | Room: K0.50 |
| Design and analysis of complex experiments: Theory and applications | Monday 19.12.2022 14:40 - 16:20 |
| Chair: MingHung Kao | Organizer: MingHung Kao |
| B1594: F.K.H. Phoa, J.-W. Huang, Y.-H. Lin, S.P. Lin, Y.-T. Tsai, M.-C. Kuo, K. Ueda, R.-M. Wu | |
| Differentiating various patient groups across parkinsonism spectrum via a new dantzig-selector-type screener | |
| B0943: W. Zheng, L. Yang, Y. Zhou, H. Fu, M.-Q. Liu | |
| Fast approximation of the Shapley values based on order-of-addition experimental designs | |
| B0994: M. Kao | |
| Experimental designs for functional data analysis | |
| B1011: P.-H. Huang, M. Kao | |
| Pilot study designs for sparse functional data |
| Session EO583 | Room: K2.40 |
| Recent developments on functional data analysis (virtual) | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Sara Lopez Pintado | Organizer: Sara Lopez Pintado |
| B0587: H. Yeon, X. Dai, S. Lopez Pintado | |
| Regularized halfspace depth for functional Data | |
| B1067: M.L. Battagliola, H. Sorensen, A. Tolver, A.-M. Staicu | |
| Quantile regression for longitudinal functional data with application to feed intake of lactating sows | |
| B1439: T. Ogden, B. Shi | |
| Nonparametric functional data modeling of pharmacokinetic processes with applications in dynamic PET imaging | |
| B1478: W. Dai, Z. Qu, M. Genton | |
| Global depths for irregularly observed multivariate functional data |
| Session EO715 | Room: S0.03 |
| Recent advances in spatial and spatio-temporal statistics (virtual) | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Thomas Neyens | Organizer: Thomas Neyens |
| B1107: A. Lawson | |
| Bayesian spatial and spatiotemporal cluster Regression modeling | |
| B1610: G. Riutort-Mayol, P.-C. Burkner, M.R. Andersen, A. Solin, A. Vehtari | |
| Practical implementation of Hilbert space reduced-rank Bayesian Gaussian processes for spatial and temporal data | |
| B1642: M. Morales Otero, V. Nunez-Anton | |
| Generalized spatial conditional overdispersion models: Applications and spatio-temporal extensions | |
| B1719: M. Fajgenblat, R. Wijns, L. De Meester, T. Neyens | |
| Modelling species communities through space and time using opportunistic datasets |
| Session EO544 | Room: S0.11 |
| Random matrices in statistics and econometrics (virtual) | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Andrej Srakar | Organizer: Andrej Srakar |
| B0625: R. Zheng, M. Tang | |
| Limit results for distributed estimation in invariant subspaces in multiple networks interference and PCA | |
| B0705: G. Franguridi, R. Moon | |
| A uniform bound on the operator norm of sub-Gaussian random matrices and its applications | |
| B0742: R. Dudeja, S. Sen, Y.M. Lu | |
| Spectral universality in regularized linear regression with nearly deterministic design matrices | |
| B1180: P. Hoff | |
| Core shrinkage covariance estimation for matrix-variate data |
| Session EO044 | Room: S0.12 |
| Statistics in neuroscience I | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Russell Shinohara | Organizer: Russell Shinohara |
| B0854: A. Mejia, D. Spencer, A. Eloyan | |
| Accurate estimation of individual functional brain connectivity and topology via ICA with empirical population priors | |
| B0937: S. Vandekar, K. Kang, N. Woodward, A. Huang, M. McHugo, S. Garbett, J. Stephens, R. Shinohara, A. Schwartzman, J. Blume | |
| Robust and reproducible group-level neuroimage analysis in R with the pbj package | |
| B0978: T. Johnson | |
| A time-varying AR, bivariate DLM of functional near-infrared spectroscopy data | |
| B1925: T. Nichols, P. Kindalova, M. Veldsman, I. Kosmidis | |
| Mass univariate relative risk regression for longitudinal binary-valued neuroimaging data |
| Session EO711 | Room: S0.13 |
| Dynamic random objects | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Wolfgang Polonik | Organizer: Wolfgang Polonik |
| B0290: Z. Lin, L. Shao, F. Yao | |
| Intrinsic Riemannian functional data analysis | |
| B1307: E. Kolaczyk | |
| Coevolving latent space network with attractors models for polarization | |
| B1319: A. Kume | |
| Some recent advances on regression models in shape data | |
| B1329: A. Kreiss, W. Polonik, E. Mammen | |
| Testing for global covariate effects in dynamic interaction event networks |
| Session EO184 | Room: S-1.04 |
| Machine learning in the behavioral sciences | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Andreas Alfons | Organizer: Andreas Alfons |
| B1122: S. Hoffmann | |
| What can statistics do for Open Science and what can Open Science do for statistics? | |
| B1419: M. Welz, A. Alfons | |
| Identifying periods of careless responding in surveys: A deep learning approach | |
| B1111: L. van Maasakkers, D. Fok, B. Donkers | |
| Modelling customer journeys with transformers | |
| B0640: H. Akyuz, I. Birbil, S. YILDIRIM, K. Gokalp | |
| Learning with subset stacking |
| Session EO492 | Room: S-1.06 |
| Recent advances in reinforcement learning (virtual) | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Jiayi Wang | Organizer: Zhengling Qi |
| B0231: E. Laber | |
| Bayesian basket of bandits | |
| B0720: B. Hao | |
| Regret bounds for information-directed reinforcement learning | |
| B0840: J. Wang, Z. Qi, C. Shi | |
| Blessing from Experts: Super Reinforcement Learning in Confounded Environments | |
| B0956: Z. Yang | |
| Pessimism in the face of confounders: Provably efficient offline RL in partially observable Markov decision processes |
| Session EO673 | Room: S-1.27 |
| Complex joint and multivariate models with medical applications | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Michael Daniels | Organizer: Michael Daniels |
| B0282: M. Sachs, E. Gabriel, A. Crippa, M. Daniels | |
| Flexible evaluation of surrogacy in Bayesian adaptive platform studies | |
| B0412: D. Hedeker | |
| Multivariate shared parameter mixed-effects location scale (MELS) models for intensive longitudinal data | |
| B0733: M. Islam, M. Daniels, J. Siddique | |
| Bayesian feature selection in joint models with application to cardiovascular disease cohorts | |
| B0885: C. Proust-Lima, T. Saulnier, V. Philipps, A. Foubert-Samier | |
| Describing complex disease progression with latent class models for multivariate longitudinal markers and times-to-event |
| Session EO689 | Room: S-2.23 |
| Econometrics: New directions | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Taoufik Bouezmarni | Organizer: Taoufik Bouezmarni |
| B1702: B. Remillard | |
| On testing for independence between the generalized errors of several time series | |
| B1703: B. Nasri | |
| Spatiotemporal Markov regime-switching models based on copulas | |
| B1723: K. Oualkacha, A. Lmoudden, T. Bouezmarni | |
| Copula-based multivariate expectile regression | |
| B1729: F. Camirand Lemyre, J.-F. Quessy | |
| Change-point tests and estimators for gradually changing dependence structures based on Kendalls tau |
| Session EO514 | Room: Virtual R01 |
| Analysis of multilayer networks | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Marianna Pensky | Organizer: Marianna Pensky |
| B0959: T. Zhang, M. Pensky | |
| Alternating minimization algorithm for clustering mixture multilayer network | |
| B1506: M. Pensky | |
| Clustering in diverse multiplex network model | |
| B0770: M. Noroozi, M. Pensky | |
| Sparse subspace clustering in diverse multiplex network model | |
| B1517: A. Jones | |
| Spectral methods for multiplex networks: An introduction to unfolded spectral embedding |
| Session EO360 | Room: Virtual R02 |
| Advances in multivariate data analysis and dimension reduction | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Abdul-Nasah Soale | Organizer: Abdul-Nasah Soale |
| B0454: E. Tsyawo, A.-N. Soale | |
| Clustered covariate regression | |
| B1224: J. Zeng, Q. Mai, X. Zhang | |
| Subspace estimation with automatic dimension and variable selection in sufficient dimension reduction | |
| B1762: S. Harrar | |
| Nonparametric finite mixture: Applications in contaminated trials | |
| B0473: A.-N. Soale | |
| A selective review of sufficient dimension reduction for multivariate response regression |
| Session EO721 | Room: Virtual R03 |
| Advances in Markov Chain Monte Carlo | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Kshitij Khare | Organizer: Kshitij Khare |
| B1187: V. Roy | |
| On some variations of Riemannian manifold and Lagrangian Monte Carlo | |
| B1222: Q. Qin, G. Jones | |
| Two-component Gibbs samplers: Convergence rate and asymptotic variance | |
| B1282: S. Chakraborty, S. Mukherjee, K. Khare | |
| Convergence properties of data augmentation algorithms for high-dimensional robit regression | |
| B1320: K. Khare | |
| Asynchronous and distributed data augmentation for massive data settings |
| Session EO440 | Room: Virtual R04 |
| Statistical modeling, design, and inference | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Subir Ghosh | Organizer: Subir Ghosh |
| B1171: F. Wan, W. Liu, F. Bretz | |
| Confidence sets for a level set in linear regression | |
| B1267: D. Causeur, C.-F. Sheu | |
| Flexible handling of dependence for signal identification using functional ANOVA | |
| B1316: P. Hans-Peter | |
| Two-dimensional P-spline smoothing for spatial analysis of plant breeding trials | |
| B1926: L. Haines | |
| Approximate I-optimal designs for polynomial models over the unit ball |
| Session EO717 | Room: Virtual R05 |
| Optimal transport: Recent theoretical advances | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Nabarun Deb | Organizer: Nabarun Deb |
| B0657: K. Kato, Z. Goldfeld, S. Nietert, G. Rioux | |
| Limit theorems for smooth Wasserstein distances | |
| B1070: L. Chizat | |
| Wasserstein gradient flows of entropic optimal transport | |
| B1231: S. Eckstein, M. Nutz | |
| Convergence rates for regularized optimal transport via quantization | |
| B1290: D. Mukherjee, N. Deb | |
| Convergence of Wasserstein metric under data dependence in multi-dimension |
| Session EO739 | Room: Virtual R06 |
| Advances in statistical methods for complex genetic/genomic data | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Yuehua Cui | Organizer: Yuehua Cui |
| B0826: X. Shen, C. Jiang, L. Sakhanenko, Q. Lu | |
| Significance tests based on neural networks with applications to genetic association studies | |
| B0832: Q. Zhang | |
| High dimensional mediation analysis via difference in coefficients with applications in genetics | |
| B1208: Y. Xie | |
| Graph neural networks for multimodal single-cell data integration | |
| B1423: Y. Cui | |
| Causal inference with Mendelian randomization for longitudinal traits |
| Session EO556 | Room: Virtual R07 |
| Opportunities and challenges of neuroimaging data | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Aaron Scheffler | Organizer: Michele Guindani, Aaron Scheffler |
| Session EO555 | Room: Virtual R08 |
| Advances in nonparametric statistics for large-scale dataset | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Shan Yu | Organizer: Shan Yu |
| B0643: L. Gao, E. Demirkaya, Y. Fan, J. Lv, P. Vossler, J. Wang | |
| Optimal nonparametric inference with two-scale distributional nearest neighbors | |
| B0871: S. Yu, G. Wang, L. Wang | |
| Big spatial data learning: A parallel solution | |
| B1332: Z. Gu, G. Wang, X. Li, L. Wang | |
| Structure identification of space-time epidemic models | |
| B1497: Y. Qiu | |
| Inference for nonparanormal partial correlation via regularized rank-based nodewise regression |
| Session EO643 | Room: K2.31 (Nash Lec. Theatre) |
| Safe \& trustworthy predictive modeling | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Stathis Gennatas | Organizer: Stathis Gennatas |
| B1948: R. Abbasi Asl | |
| Multi-modal prototype learning for interpretable multivariable time series classification | |
| B1974: N. Peek | |
| Making predictions under hypothetical interventions in clinical prediction models | |
| B2018: R. Pirracchio | |
| How can AI and ML disrupt critical care? |
| Parallel session P: CFE | Monday 19.12.2022 | 14:40 - 16:20 |
| Session CO298 | Room: K2.41 |
| Topics in time series econometrics | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Kanchana Nadarajah | Organizer: Kanchana Nadarajah |
| A1053: K. Klockmann, T. Krivobokova | |
| Fully data-driven non-parametric estimation of Toeplitz covariance matrices | |
| A1130: I. Perera, G. Cavaliere, A. Rahbek | |
| Bootstrap specication tests for GARCH processes with nuisance parameters on the boundary | |
| A1378: A. Betken, H. Dehling, A. Schnurr, J. Buchsteiner, J. Woerner, I. Nuessgen | |
| Ordinal pattern-based time series analysis | |
| A1383: K. Nadarajah, G. Martin, I. Perera, D. Poskitt | |
| Estimation and prediction in misspecified fractionally integrated models with an unknown mean |
| Session CO675 | Room: S-1.01 |
| Asset pricing | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Benjamin Holcblat | Organizer: Benjamin Holcblat |
| A0821: S. Mouabbi, J.-P. Renne, J.-G. Sahuc | |
| Debt-stabilizing properties of GDP-linked securities: A macro-finance perspective | |
| A0902: N. Amberg | |
| Dynamic financial constraints in presence of uncertainty: Theory and evidence from credit lines | |
| A1426: E. Gourier, H. Iung-Mathurin | |
| A greenwashing index | |
| A1813: V. Raponi, P. Zaffaroni | |
| Dissecting anomalies in conditional asset pricing |
| Session CO644 | Room: S-2.25 |
| Machine learning in finance | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Anastasija Tetereva | Organizer: Anastasija Tetereva |
| A0841: M. Zaharieva | |
| Infinite sparse factor stochastic volatility model | |
| A0883: C. Breitung, S. Mueller | |
| When firms open up: Identifying value relevant textual disclosure using simBERT | |
| A1285: A. Quaini, F. Trojani, M. Yuan | |
| Intrinsic factor risk premia and tests of asset pricing models | |
| A1388: O. Kleen, A. Tetereva, R. Lonn | |
| Training economic tracking portfolios using trees of assets |
| Session CO462 | Room: Council room |
| Advances in econometrics | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Rustam Ibragimov | Organizer: Rustam Ibragimov |
| A1959: E. Mensali, L. Catania, A. Luati | |
| Joint-VaR: A new conditional risk measure | |
| A1972: K. Mansurov, A. Semenov, D. Grigoriev, R. Ibragimov | |
| Impact of machine learning-based traders on the high-frequency stock market | |
| A1969: A. Semenov, A. Prokhorov, A. Skrobotov | |
| Mixed integer optimization for time series change points detection | |
| A1977: P. Kattuman, J. Gatus, R. Ibragimov | |
| Intergenerational transmission of tail inequality in incomes |
| Session CO478 | Room: Safra Lecture Theatre |
| Novel approaches to time series forecasting | Monday 19.12.2022 14:40 - 16:20 |
| Chair: Anindya Roy | Organizer: Anindya Roy |
| A1023: M. Wildi | |
| Zero-crossings of time series: Sign-prediction, mean-square error and a holding-time constraint | |
| A1147: T. McElroy, M. Wildi | |
| Multivariate direct filter analysis for co-integrated processes | |
| A1196: T. Nguyen | |
| Transformer-based models for time series forecasting | |
| A1090: A. Roy, T. McElroy | |
| Adjusting for seasonality using point process models |
| Parallel session Q: CMStatistics | Monday 19.12.2022 | 16:50 - 18:30 |
| Session EO160 | Room: K0.16 |
| Novel approaches on modeling and inference of network data | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Wen Zhou | Organizer: Wen Zhou |
| Session EO684 | Room: K0.18 |
| Causal inference and machine learning | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Oliver Dukes | Organizer: Oliver Dukes |
| B1113: I. Mayer, J. Josse | |
| Generalizing treatment effects with incomplete covariates | |
| B1335: D. Whitney, S. Vansteelandt, K. DiazOrdaz | |
| Causal inference and dynamic treatment rule estimation based on contrast-approximating linear models | |
| B1435: R.D. Shah, A.R. Lundborg, I. Kim, R. Samworth | |
| The projected covariance measure for assumption-lean variable significance testing | |
| B1936: L. Wang, D. Tang, D. Kong, L. Wang | |
| The synthetic instrument |
| Session EO590 | Room: K0.19 |
| Advances in design-based causal inference | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Nicole Pashley | Organizer: Nicole Pashley |
| B1080: Z. Branson, X. Li, P. Ding | |
| Power and sample size calculations for rerandomized experiments | |
| B0984: F. Savje, C. Harshaw, Y. Wang | |
| A design-based Riesz representation framework for randomized experiments | |
| B0233: J. Bowers, T. Leavitt, L. Miratrix | |
| Sensitivity analysis for null results: Implications for studies of racially biased policing | |
| B0851: S. Heng, P. Shaw | |
| Analyzing randomized experiments subject to outcome misclassification via integer programming |
| Session EO338 | Room: K0.20 |
| Advances in analyzing and modeling complex high dimensional data | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Wenbo Wu | Organizer: Wenbo Wu |
| B0389: T. Vu | |
| Shifting-corrected regularized regression model for NMR metabolomic identification | |
| B0406: Y. Zhang, L. Wang, J. Hu, J. Wang, J. Shen, J. Galloway-Pena, S. Shelburne | |
| Inverse probability weighting-based mediation analysis for microbiome data | |
| B0957: R. Xie, S. Bai, Y. Chen, P. Ma | |
| Online data selection and sparse estimation for multivariate streaming data | |
| B1206: W. Sheng | |
| Dimension reduction with expectation of a conditional difference measure |
| Session EO040 | Room: K0.50 |
| Highlights of contemporary results in design of experiments (virtual) | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Stefanie Biedermann | Organizer: Stefanie Biedermann |
| B1082: H. Wang | |
| Scale invariant optimal subsampling | |
| B1135: H. Li | |
| Optimal design of experiments on Riemannian manifolds | |
| B1444: R. Mitra, J. Noonan, S. Biedermann | |
| An integrated approach to test for missingness not at random | |
| B1490: H. Grossmann | |
| Replication of partial-profile choice designs: Factor permutation as an alternative to simple repetition |
| Session EO064 | Room: K2.40 |
| Advances for functional and high-dimensional data analysis (virtual) | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Yumou Qiu | Organizer: Yumou Qiu |
| B1721: Z. Cai | |
| A distribution-free independence test for high dimension data | |
| B1911: Y. Qi, Y. Qiu, P. Liu | |
| Projected permutation tests for canonical correlation analysis | |
| B1914: P. Liu, Z. Qiao | |
| Model-based bicluster algorithm for microbiome data | |
| B1967: X. Dai, H. Yeon, D. Nordman | |
| Bootstrap inference in functional linear regression models with scalar response |
| Session EO344 | Room: K2.41 |
| Recent advances in statistical modeling of complex data structures | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Tianxi Li | Organizer: Tianxi Li |
| B0616: K. Levin | |
| Bootstrapping network data: Conditional and marginal approaches | |
| B1087: Y. Zhang | |
| L-2 regularized maximum likelihood for beta-model estimation in large and sparse networks | |
| B1127: G. Michailidis | |
| Network autoregressive processes and their applications | |
| B1445: D. Hunter, C. Schmid | |
| Computing pseudolikelihood estimators for exponential-family random graph models |
| Session EO418 | Room: S0.03 |
| Spatio(-temporal) modeling for biomedical and environmental data | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Rajarshi Guhaniyogi | Organizer: Rajarshi Guhaniyogi |
| B0777: H. Sang, Z.T. Luo, B. Mallick | |
| BAMDT: Bayesian additive semi-multivariate decision trees for spatial nonparametric regression | |
| B0865: R. Lund | |
| General correlated statistical count structures | |
| B0986: B. Carter, C. Calder, C. Browning, B. Boettner, N. Pinchak | |
| Land-use Filtering for Nonstationary Spatial Prediction of Collective Efficacy in An Urban Environment | |
| B1990: D. Nychka | |
| Quantifying uncertainty for spatial predictions: Fast algorithms for large data sets |
| Session EO328 | Room: S0.11 |
| Nonparametric High-dimensional Statistical Learning | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Chenlu Ke | Organizer: Chenlu Ke |
| B0410: A. Bui | |
| Conditional multidimensional scaling | |
| B0975: Z. Ye | |
| Nonparametric mixture model: Application in contaminated trials | |
| B1457: W. Qian, S. Ding | |
| Nonconvex-regularized integrative sufficient dimension reduction for multi-source Data | |
| B1141: H. Moradi Rekabdarkolaee | |
| Dimension reduction for spatial regression: The spatial predictor envelope |
| Session EO046 | Room: S0.12 |
| Statistics in neuroscience II | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Jeff Goldsmith | Organizer: Jeff Goldsmith |
| B1449: B. Caffo | |
| AI for organoids and organoids for AI | |
| B1496: M.S. Sultan, S. Horvath, H. Ombao | |
| Spectral Granger causality using neural networks for biological signals | |
| B1669: J. Dworkin, E. Sweeney | |
| Spatial distribution of white matter hyperintensities is related to cognition in MCI | |
| B1692: J. Wrobel | |
| Video segmentation and functional data pipeline for assessing pupil changes due to cannabis consumption |
| Session EO210 | Room: S0.13 |
| Modern statistical methods with applications to complex data analysis (virtual) | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Yichuan Zhao | Organizer: Yichuan Zhao |
| Session EO635 | Room: S-1.04 |
| Recent advances in high-dimensional inference | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Chao Zheng | Organizer: Wenxin Zhou |
| Session EO516 | Room: S-1.06 |
| Advances in semiparametric estimation and financial data analysis | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Wendun Wang | Organizer: Shujie Ma |
| B0279: W. Wang | |
| Recovering latent linkage structures and spillover effects with structural breaks in panel data models | |
| B0311: Y. Zhao, A. Yang, Y. Gu, J. Fan | |
| Flexible regularized estimating equations: Some new perspectives | |
| B0321: Z. Shang | |
| Semiparametric efficiency in deep instrumental variable models | |
| B1559: W. Wang | |
| Beta sorted portfolio |
| Session EO114 | Room: S-1.27 |
| Advances in longitudinal data analysis | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Sanjoy Sinha | Organizer: Sanjoy Sinha |
| B0330: X. Xu, S. Sinha | |
| Optimal designs in mixed ANCOVA models for longitudinal data | |
| B0741: R. Deardon | |
| Behavioural change models for disease transmission | |
| B0716: S. Dang | |
| Clustering longitudinal matrix-variate count data | |
| B0524: S. Sinha | |
| Constrained inference in mixed models for clustered data |
| Session EO667 | Room: S-2.25 |
| Flexible Bayesian modelling for biostatistics | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Tommaso Rigon | Organizer: Tommaso Rigon |
| Session EO604 | Room: Virtual R01 |
| Recent advances in high dimensional time series analysis | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Danna Zhang | Organizer: Danna Zhang |
| B0669: Y. Han | |
| CP factor model for dynamic tensors | |
| B0422: X. Liu | |
| Identification and estimation of change points in factor models for high-dimensional time series data | |
| B0654: J. Li, L. Chen, W. Wang, W.B. Wu | |
| $l_2$ inference for change points in high-dimensional time series via a two-way MOSUM | |
| B0568: D. Zhang | |
| Spectral inference for high dimensional time series |
| Session EO200 | Room: Virtual R02 |
| Recent advances in tailored decision making | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Muxuan Liang | Organizer: Yingqi Zhao |
| B1543: C. Shi, R. Wan, V. Chernozhukov, R. Song | |
| Deeply debiased off policy interval estimation | |
| B0226: E. Moodie, Z. Bian, S. Bhatnagar, S. Shortreed, S. Lambert | |
| Penalized doubly robust regression-based estimation of adaptive treatment strategies | |
| B1587: M. Liang, Y. Zhao, Y. Ning, M. Smith | |
| Inference with non-differentiable surrogate loss in a general high-dimensional classification framework | |
| B1827: L. Wang | |
| Using observational data to estimate the optimal dynamic decision rules to tailor the treatment strategy |
| Session EO294 | Room: Virtual R04 |
| Recent advances in statistical methods for biomedical data integration | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Rui Duan | Organizer: Rui Duan |
| Session EO559 | Room: Virtual R05 |
| Recent advances in statistical learning | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Eric Chi | Organizer: Eric Chi |
| B0502: J. Haddock | |
| Hierarchical tensor decompositions and applications | |
| B0710: J. Chi, D. Needell | |
| Sketched Gaussian model linear discriminant analysis via randomized Kaczmarz | |
| B0709: Q. Mai | |
| Tensor t-distribution and tensor response regression | |
| B0668: E. Chi, X. Liu, J. Chi, K. Lange | |
| A user-friendly computational framework for robust structured regression with the $L_2$ criterion |
| Session EO565 | Room: Virtual R06 |
| Recent developments for multivariate analysis in high dimensions | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Aaron Molstad | Organizer: Aaron Molstad |
| B0424: G. Yu | |
| A completely tuning-free and robust approach to sparse precision matrix estimation | |
| B0578: X. Liu, A. Molstad, E. Chi | |
| A convex-nonconvex strategy for grouped variable selection | |
| B0599: K.O. Ekvall | |
| Inference on some (nearly)-singular covariance matrices | |
| B0699: J. Ma | |
| Statistical inference for joint factor regression with applications to integrating multi-view microbiome data |
| Session EO608 | Room: Virtual R07 |
| Statistical methods for modern business applications | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Trambak Banerjee | Organizer: Trambak Banerjee |
| B0210: S. Li, S. Tian, Y. Yu, X. Zhu, H. Lian | |
| Corporate probability of default: A single-index hazard model approach | |
| B0979: B. Sherwood | |
| On the use of minimum penalties in statistical learning | |
| B1131: T. Banerjee, P. Sharma | |
| Nonparametric empirical bayes prediction in mixed models | |
| B1183: W. Kar | |
| Fixing Bad Marriages - When Should Firms Reassign Sales Reps? |
| Session EO729 | Room: Virtual R08 |
| Recent advances in causal inference | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Fan Xia | Organizer: Fan Xia |
| B0773: F. Xia | |
| Mediation analysis with unmeasured treatment-induced confounding | |
| B0951: H. Qiu, E. Dobriban, X. Shi, W. Miao, E. Tchetgen Tchetgen | |
| Doubly robust proximal synthetic controls | |
| B1003: Z. Li | |
| Accounting for verification bias in prevalence estimation using verbal autopsies | |
| B1008: S. Chen, Z. Jiang, P. Ding | |
| An instrumental variable method for point processes: Generalized Wald estimation based on deconvolution |
| Session EO591 | Room: Council room |
| Advances in ecological statistics | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Vianey Leos Barajas | Organizer: Vianey Leos Barajas |
| B1064: B. Swallow, M.-A. Bind | |
| Bayesian causal inference in zero-inflated citizen science data | |
| B1394: V. Leos Barajas | |
| Bayesian semi-supervised hidden Markov models for animal movement | |
| B1428: M.A. Gallegos Herrada, V. Leos Barajas, J. Morales | |
| Incorporating body condition into the analysis of animal movement | |
| B1514: R. King, B. Sarzo, R. McCrea | |
| Individual random effect models: Accounting for survivorship bias |
| Session EO659 | Room: Safra Lecture Theatre |
| Recent advancements in causal inference | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Trinetri Ghosh | Organizer: Trinetri Ghosh, Jiwei Zhao |
| B1455: Y. Yuan | |
| Deconfounding causal inference using latent multiple mediator pathways | |
| B1016: J. Huling | |
| Independence weights for causal inference with continuous treatments | |
| B1184: R. Bhattacharya, R. Nabi, I. Shpitser | |
| Causal effect estimation in graphical models with unmeasured confounders | |
| B0846: T. Ghosh, M. Yu, J. Zhao | |
| Efficient estimation of average treatment effect on the treated under endogenous treatment assignment |
| Session EO164 | Room: K2.31 (Nash Lec. Theatre) |
| Effect estimation un various contexts | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Mireille Schnitzer | Organizer: Mireille Schnitzer |
| B0602: N. Hejazi, D. Benkeser, P. Gilbert | |
| Evaluating treatment efficacy with stochastic-interventional causal effects in clinical trials with two-phase designs | |
| B0648: E. Gabriel, M. Sachs, A. Sjolander | |
| Causal bounds for outcome-dependent sampling in observational studies | |
| B1628: K. Li, X. Shi, E. Tchetgen Tchetgen, W. Miao | |
| Proximal causal inference under confounded outcome-dependent sampling | |
| B1673: M. Yauck | |
| On the estimation of peer effects for sampled networks: The special case of respondent-driven sampling |
| Session EC823 | Room: S-1.01 |
| Computational statistics II | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Cristian Gatu | Organizer: CFE-CMStatistics |
| B1743: Y. Zhang, Y. Ma, S. Orso, M. Karemera, M.-P. Victoria-Feser, S. Guerrier | |
| A flexible bias correction method based on inconsistent estimators | |
| B1908: J. Hou-Liu, R. Browne | |
| Generalized linear models for massive data via sketching | |
| B2013: M. Demosthenous, C. Gatu, E. Kontoghiorghes, A. Colubi | |
| Computational strategies for regression model selection in the high-dimensional case | |
| B0196: G. Valdes, J. Friedman, W. Arbelo | |
| Lockout: Sparse regularization of neural networks |
| Parallel session Q: CFE | Monday 19.12.2022 | 16:50 - 18:30 |
| Session CO198 | Room: S-2.23 |
| Macroeconomic policy | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Michael Owyang | Organizer: Michael Owyang |
| A0268: G. Best | |
| Good policy or learning evolution: A Markov-Switching approach to understanding the determinants of Fed policy | |
| A0251: A. Rogantini Picco, L. Melosi, F. Bianchi | |
| Who is afraid of eurobonds? | |
| A0269: S. Xie | |
| An estimated model of household inflation expectations: Information frictions and implications | |
| A0301: M. Owyang, A. Paccagnini, L. Jackson Young | |
| The distributional effects of stabilization policy |
| Session CO290 | Room: Virtual R03 |
| Recent advances in forecasting | Monday 19.12.2022 16:50 - 18:30 |
| Chair: Ekaterina Smetanina | Organizer: Ekaterina Smetanina |
| A0617: M. McCracken, S. Goncalves, Y. Yao | |
| Bootstrapping out-of-sample predictability tests with real-time data | |
| A1013: A. Timmermann, M.H. Pesaran, A. Pick | |
| Forecasting with panel data: Estimation uncertainty versus parameter heterogeneity | |
| A1129: B. Rossi, G. Sestieri, M.S. Pagliari, A. Penalver, F. Odendahl | |
| Euro area monetary policy effects: Does the shape of the yield curve matter? | |
| A1212: G. Amisano | |
| Estimating the U.S. output gap using industry level data |