|
|
|
|
|
| Session T02A
| Friday 10:30-12:30 | |
Robust and Nonparametric Methods | |
Chair: Rand Wilcox | Room: R1 |
|
|
| Bayesian R-Estimates |
|
|
Thomas Hettmansperger, Xiaojiang Zhan
|
|
| Symmetrized M-estimators with applications to Independent Component Analysis |
|
|
Sara Taskinen, Seija Sirkia, Hannu Oja
|
|
| Iteratively reweighted least squares support vector regression |
|
|
Michiel Debruyne, Andreas Christmann, Mia Hubert, Johan Suykens
|
|
| A nonparametric method for comparison of two diagnostic systems based on ROC curves |
|
|
Ana Cristina Braga, Lino Costa, Pedro Oliveira
|
|
| Two-way ANOVA for the bipolar Watson distribution |
|
|
Adelaide Figueiredo
|
|
| Fully Nonparametric ANCOVA with Fixed Window Sizes |
|
|
Efi Antoniou, Michael Akritas
|
|
| Session T04A | Friday 10:30-12:30 | |
Applications in Macro-Economics, Finance and Marketing | | Chair: Herman Van Dijk | Room: R3+4+5 |
|
|
| Learning the Shape of the Likelihood of Typical Econometric Models using Gibbs Sampling |
|
|
Herman Van Dijk
|
|
| Estimation of temporally aggregated volatility models |
|
|
Jeroen Rombouts, Christian Hafner
|
|
| Identifying and correcting misclassified South African equity unit trusts using Bayesian style analysis |
|
|
Jan du Plessis
|
|
| Time series forecasting by principal covariate regression |
|
|
Christiaan Heij, Dick J. Van Dijk, Patrick J.F. Groenen
|
|
| Robust Artificial Neural Networks for Pricing and Trading European Options |
|
|
Panayiotis Andreou, Spiros Martzoukos, Chris Charalambous
|
|
| Bayesian analysis of an endogenous hurdle model: an application to the demand for health care |
|
|
Panagiotis Kasteridis, Murat Munkin
|
|
| Session T07A | Friday 10:30-12:30 | |
Clinical Trials | | Chair: Markus Neuhaeuser | Room: R6+7 |
|
|
| Choosing cross-over designs when few subjects are available |
|
|
Edward Godolphin, Simon Bate, Janet Godolphin
|
|
| On detecting an interaction between treatment and a continuous covariate in clinical research |
|
|
Willi Sauerbrei, Karina Zapien, Patrick Royston
|
|
| Statistical models accounting for surgeon effects in clinical trials |
|
|
Steffen Witte
|
|
| Estimating correlation measures for bivariate interval censored data using a smooth estimate of the density |
|
|
Emmanuel Lesaffre, Kris Bogaerts
|
|
| Task of Statistician in Clinical Research Studies |
|
|
Y. Groeneveld
|
|
| Session T09A | Friday 10:30-12:30 | |
Machine Learning and Scientific Computing | | Chair: Efstratios Gallopoulos | Room: R8+9 |
|
|
| Pattern Recognition using Higher Order SVD |
|
|
Lars Elden
|
|
| Word similarity in graph-based dictionaries |
|
|
Agusti Solanes, Vicenc Torra, Yasuo Narukawa
|
|
| Fast Bayesian Implementation of Hierarchical Mixtures of Experts and Stochastic Neural Networks: Gibbs Sampler with Parameters Expansion |
|
|
Samuel Po-Shing Wong, Tze Leung Lai, Jun Liu
|
|
| A Stochastic Approximation View of Boosting |
|
|
C. Andy Tsao, Yuan-chin Ivan Chang
|
|
| Unsupervised Clustering using Principal Directions Guidance |
|
|
Efstratios Gallopoulos, Dimitrios Tasoulis, Michael Vrahatis,
Dimitrios Zeimpekis
|
|
| Recovery of Glassless images by recursive KPCA reconstruction |
|
|
Eiji Tokuda, Toshio Sakata, Ryuei Nishii
|
|
| Session T13A | Friday 10:30-12:30 | |
Advances in Mixture Models | | Chair: Bernard Garel | Room: R2 |
|
|
| Some finite sample nonparametric techniques useful for the anlysis of mixtures |
|
|
Guenther Walther
|
|
| Heterogeneity in Meta-analysis of Clinical Trials |
|
|
Rebecca DerSimonian, Kai Yu
|
|
| Some general points for zero-truncated count mixture models |
|
|
Dankmar Boehning
|
|
| Bootstrap confidence intervals for reliability measures for discrete distributions |
|
|
Dimitris Karlis, Valentin Patilea
|
|
| Finite Mixture Model Diagnostics using Resampling Methods |
|
|
Bettina Gruen, Friedrich Leisch
|
|
| Maximum likelihood estimation for finite mixture of location-scale distributions using cross-validation |
|
|
Kentaro Tanaka
|
|
| Session T18A | Friday 10:30-12:30 | |
Flexible function estimation in high dimensional problems | | Chair: Michael G. Schimek | Room: R10 |
|
|
| Bandwidth selection for nonparametric regression - plug-in method |
|
|
Jan Kolacek
|
|
| Nonparametric Components in Highdimensional Generalized Regression Models |
|
|
Marlene Muller, Michael G. Schimek
|
|
| Stochastic spectral methods for Bayesian inference in inverse problems |
|
|
Youssef Marzouk, Habib Najm, Larry Rahn
|
|
| A Quick Procedure for Model Selection in the Case of Mixture of Normal Densities |
|
|
Ennio Davide Isaia, Alessandra Durio
|
|
| Bivariate additive models with a copula dependence structure: a Bayesian approach |
|
|
Philippe Lambert
|
|
| Session Tut4A | Friday 10:30-12:30 | |
Tutorial | | Chair: Tommaso Proietti | Room: Med-1 |
|
|
| Statistical Signal Extraction and Filtering |
|
|
D.S.G Pollock
|
|
| Session T02B | Friday 14:30-16:30 | |
Robust and Nonparametric Methods | | Chair: Rand Wilcox | Room: R1 |
|
|
| Nonparametric Likelihood confidence bounds for the mean of Highly Skewed Data |
|
|
Yaw Bimpeh, Cecily Kelleher
|
|
| Robust HCCME Performances in Small Samples |
|
|
Mehmet Orhan
|
|
| A Studentized Permutation Test for the Nonparametric Behrens-Fisher Problem |
|
|
Karin Neubert
|
|
| Lepage type statistic based on the modified Baumgartner statistic |
|
|
Hidetoshi Murakami
|
|
| Robust fuzzy classification |
|
|
Bruno Bertaccini, Matilde Bini
|
|
| Robustness of Estimation in the Exponential Distribution under Dependencies in a Sample |
|
|
Anna Olwert
|
|
| Session T04B | Friday 14:30-16:30 | |
Applications in Macro-Economics, Finance and Marketing | | Chair: Patrick Groenen | Room: R6+7 |
|
|
| Identifying a simple Nonstationary model for the
S&P500 returns: An approach based on the evolutionary spectral density |
|
|
Ahamada Ibrahim
|
|
| Testing the Local One-way Effect and Its Application to Japanese Income and Money |
|
|
Feng Yao
|
|
| Classification-relevant Importance Measures for the German Business Cycle |
|
|
Daniel Enache
|
|
| Robust clustering for multivariate models with regimes |
|
|
Georgios Tsiotas, Lucio Sarno
|
|
| The international transmission of financial crisis |
|
|
Kostas Giannopoulos
|
|
| Session T05B | Friday 14:30-16:30 | |
Computer-intensive methods for dependent data | | Chair: Qiwei Yao | Room: R2 |
|
|
| Very High-Dimensional Data: Greedy Boosting and Convex
Lasso-Relaxation |
|
|
Peter Buehlmann
|
|
| Nonparametric Modelling and Estimation of Stochastic Volatility |
|
|
Jens-Peter Kreiss, Andreas Duerkes
|
|
| Block Bootstrap for irregularly spaced spatial data |
|
|
Soumendra Lahiri
|
|
| Quantile estimation for the payoff from a weather derivative |
|
|
Jeremy Penzer, Stephen Jewson
|
|
| New Methods for Multivatiate Volatility Modeling |
|
|
Mingjin Wang, Qiwei Yao
|
|
| Stepwise Multiple Testing as Formalized Data Snooping |
|
|
Michael Wolf
|
|
| Session T06B | Friday 14:30-16:30 | |
Statistical Learning Methods involving Dimensionality Reduction | | Chair: Maurizio Vichi | Room: R8+9 |
|
|
| Two-mode partitioning |
|
|
Maurizio Vichi, Rocci Roberto
|
|
| Towards a unifying framework for a broad class of simultaneous clustering methods for multiway data |
|
|
Iven Van Mechelen
|
|
| An EM algorithm for the Block Mixture Model of contingency table |
|
|
Mohamed Nadif, Gerard Govaert
|
|
| Two-way Clustering for a Contingency Table: Maximizing Dependence Between Row and Column Clusters by Using Phi-Divergence and Bregman
Measures |
|
|
Hans-Hermann Bock
|
|
| How many cluster structures? Answers via a model-based procedure |
|
|
Giuliano Galimberti, Gabriele Soffritti
|
|
| Clustering objects on subsets of variables: Looking at the weights and using the homotopy strategy |
|
|
Jacqueline J. Meulman, Jerome H. Friedman
|
|
| Session T08B | Friday 14:30-16:30 | |
Statistics for Functional data
| | Chair: Philippe Vieu | Room: R3+4+5 |
|
|
| A Model for Functional Data with Binary Response |
|
|
Belen M Fernandez de Castro, Wenceslao Gonzalez Manteiga
|
|
| Curves discrimination: non parametric methods and spectral analysis |
|
|
Sylvie Viguier-Pla, Frederic Ferraty, Philippe Vieu
|
|
| Estimating Nonlinear Differential Equation Systems from Noisy Data |
|
|
James Ramsay, Giles Hooker
|
|
| Estimating time-varying quantiles of nearly stationary stochastic processes, with applications to ozone time series |
|
|
Serge Guillas, Dana Draghicescu, Wei Biao Wu
|
|
| Functional Principal Components for Generalized Longitudinal Data |
|
|
Hans-Georg Muller, Peter Hall, Fang Yao
|
|
| Wavelet Methods for Testing Equality of Curves |
|
|
Alwell Oyet, Pengfei Guo
|
|
| Session T11B | Friday 14:30-16:30 | |
Latent Variable and Structural Equation Models | | Chair: Irini Moustaki | Room: R10 |
|
|
| A Supersimulator for Structural Equation Models |
|
|
Fan Wallentin, Karl Joreskog
|
|
| Multilevel Models as Structural Equation Models |
|
|
Karl Joreskog
|
|
| Robustness properties of the two parameter latent trait model for binary data |
|
|
Panagiota Tzamourani, Martin Knott
|
|
| Identifying extreme response patterns: a latent variable approach |
|
|
Irini Moustaki, Martin Knott
|
|
| Meta-Analysis and latent variable model for Binary Data |
|
|
Jian Qing Shi
|
|
| PLS and one dimensional latent variable scorecards |
|
|
Joe Whittaker, Anastasia Lykou
|
|
| Session Tut1B | Friday 14:30-16:30 | |
Tutorial | | Chair: Stavros Siokos | Room: Med-1 |
|
|
| Data Analysis Techniques for Evaluating Trading Strategies |
|
|
Patrick Burns
|
|
| Session T00C | Friday 17:00-18:000 | |
Contributions to Statistics
| | Chair: Maria Angeles Gil | Room: R6+7 |
|
|
| Inference Concerning Effect Size |
|
|
S. Ejaz Ahmed
|
|
| The Effect of Non-normal Error Terms on the Properties of
Systemwise RESET Test |
|
|
Ghazi Shukur, Ghadban Khalaf
|
|
| A New Method to Detect Lack-of-Fit on a Circle |
|
|
Ellen Deschepper, Olivier Thas, Jean-Pierre Ottoy
|
|
| Session T02C | Friday 17:00-18:00 | |
Robust and Nonparametric Methods
| | Chair: Rand Wilcox | Room: R8+9 |
|
|
| Smooth monotonic regression |
|
|
Florian Leitenstorfer, Gerhard Tutz
|
|
| Efficient algorithms for solving monotonic regression problems |
|
|
Oleg Burdakov, Anders Grimvall, Oleg Sysoev
|
|
| Quantile Curves and Dependence Structure for
Bivariate Distributions |
|
|
Alfonso Suarez-Llorens, Felix Belzunce, Antonia Castano, Ana Olvera
|
|
| Session T12C | Friday 17:00-18:00 | |
Statistical Signal Extraction and Filtering | | Chair: Jesse Barlow | Room: R3+4+5 |
|
|
| Robust pattern detection in time series |
|
|
Roland Fried, Ursula Gather
|
|
| Performance Evaluation of Some Change Detection and Data
Segmentation Methods |
|
|
Theodor-Dan Popescu
|
|
| Particle Filter for Inference on Business Cycle and Equity Prices Volatility |
|
|
Roberto Casarin, Trecroci Carmine
|
|
| Session T02D | Saturday 08:00-10:00 | |
Robust and Nonparametric Methods
| | Chair: Rand Wilcox | Room: R1 |
|
|
| Robust Methods for Generalized Linear Models With Nonignorable Missing Covariates |
|
|
Sanjoy Sinha
|
|
| Robust nonparametric estimation with missing data |
|
|
Ana Perez Gonzalez, Graciela Boente, Wenceslao Gonzalez Manteiga
|
|
| Grade Correspondence Analysis of Data with Missing Values |
|
|
Olaf Matyja
|
|
| The empirical distribution of robust distances as a tool in analyzing large, non-normal data sets |
|
|
Mark Werner
|
|
| The Chen-Luo test in case of heteroscedasticity |
|
|
Markus Neuhaeuser
|
|
| Constrained Flexible Weighted Generalized Estimating Equations |
|
|
Niel Hens, Christel Faes, Marc Aerts
|
|
| Session T03D | Saturday 08:00-10:00 | |
Model Selection and Optimization Heuristics
| | Chair: Petko Yanev | Room: R11 |
|
|
| On properties of predictors derived with a two-step bootstrap model averaging approach - a simulation study in the linear regression
model |
|
|
Anika Buchholz, Norbert Hollander, Willi Sauerbrei
|
|
| Applications of a technique for estimator densities (TED) in the presence of model misspecification |
|
|
Peter Hingley
|
|
| Selection of smoothing paremeter in Lasso |
|
|
Hideyuki Imai, Seiichi Miyauchi, Yoshiharu Sato
|
|
| Comparing Functional Networks with some Classification Methods |
|
|
Rosa Eva Pruneda, Beatriz Lacruz, Cristina Solares
|
|
| Differential geometry and model selection |
|
|
Peter Hasto
|
|
| Bayesian information criteria and smoothing parameter selection in lasso models |
|
|
Teppei Shimamura, Masahiro Mizuta
|
|
| Session T06D | Saturday 08:00-10:00 | |
Statistical Learning Methods involving Dimensionality Reduction
| | Chair: Hans Hermann Bock | Room: R2 |
|
|
| PLS Regression Approaches in Statistical Genomics |
|
|
Anne-Laure Boulesteix, Korbinian Strimmer
|
|
| Relative Projection Pursuit: Theory and Applications |
|
|
Masahiro Mizuta
|
|
| Steps toward the individualized treatment, the challenge and opportunity to computational statistics |
|
|
Steven Cen, Catherine Sugar, David Conti, Doug Stahl, Stanley Azen,
|
|
| Structural learning of variable-dimensional Bayesian models using parallel interacting search processes |
|
|
Jukka Corander, Magnus Ekdahl, Timo Koski
|
|
| Implementations of Fisher's linear discriminant analysis from the numerical point of view |
|
|
Pavel Schlesinger, Jurjen Duintjer Tebbens
|
|
| Cross Entropy based Kenrel LVQ and its application to word recognition |
|
|
Tan Chiang Chin, Toshio Sakata, Ryuei Nishii
|
|
| Session T12D | Saturday 08:00-10:00 | |
Statistical Signal Extraction and Filtering
| | Chair: D.S.G Pollock | Room: R10 |
|
|
| Bayesian Analysis of Output Gap |
|
|
Christophe Planas, Alessandro Rossi, Gabriele Fiorentini
|
|
| Comparative economic cycles |
|
|
Stephen Pollock, Iolanda Lo Cascio
|
|
| Simultaneous tests in the Time-Frequency Plane for
Electroencephalogram signals |
|
|
Olivier Renaud, Claudia Catalfo, Christian Mazza
|
|
| A Unifying Framework for Analysing Common Cyclical Features in Cointegrated Time Series |
|
|
Gianluca Cubadda
|
|
| Decomposition of Wavelet Locally Stationary Processes |
|
|
Kostas Triantafyllopoulos
|
|
| Session T17D | Saturday 08:00-10:00 | |
Financial econometrics
| | Chair: Giampiero Gallo | Room: R8+9 |
|
|
| Augmented log-periodogram regression in long memory signal plus noise models |
|
|
Josu Arteche
|
|
| GARCH options In incomplete markets |
|
|
Giovanni Barone-Adesi, Robert Engle, Loriano Mancini
|
|
| Random Portfolios: Some Answers and Questions |
|
|
Patrick Burns
|
|
| Spillover and Interdependence across Markets: a New Approach |
|
|
Giampiero Gallo, Margherita Velucchi
|
|
| Mixed effect models for absolute log returns of ultra high
frequency data |
|
|
Claudia Czado, Stephan Haug
|
|
| Generalized Variance Ratio tests in the presence of statistical dependence |
|
|
John Nankervis, Jerry Coakley, Periklis Kougoulis
|
|
| Session T25D | Saturday 08:00-10:00 | |
Statistical Algorithms and Software
| | Chair: Cristian Gatu | Room: R6+7 |
|
|
| A software for imputing missing data using Bayesian networks |
|
|
Marco Sacco, Marco Di Zio, Giuseppe Sacco, Mauro Scanu,
Paola Vicard
|
|
| A statistical software tool via web: R-php |
|
|
Angelo Mineo, Alfredo Pontillo
|
|
| Multiplicative interaction models in R |
|
|
Heather Turner, David Firth
|
|
| LadyBug - a software environment for stochastic epidemic models |
|
|
Michael Hoehle
|
|
| S4 Object Oriented Programming for Matrix classes in R |
|
|
Martin Maechler, Douglas Bates
|
|
| A Fortran Package For Weighted Least Squares Piecewise Monotonic Data Fit |
|
|
Ioannis Demetriou
|
|
| Session T27D | Saturday 08:00-10:00 | |
Analysis of Symbolic and Structured Data
| | Chair: Paula Brito | Room: R3+4+5 |
|
|
| Approaches to Linear Discriminant Analysis of Interval Data |
|
|
A. Pedro Duarte Silva, Paula Brito
|
|
| PLS Regression of Factor Interval Data and Its Application on Behaviors Analysis of China Stock Market |
|
|
Huiwen Wang, Dapeng Li, Henry M.K. Mok
|
|
| Modeling Interval Time Series Data |
|
|
Paulo Teles, Maria Paula Brito
|
|
| Symbolic Analysis to Describe CyberTraffic |
|
|
Costantina Caruso, Donato Malerba
|
|
| Symbolic objects with times serial variables |
|
|
Giannoula Florou
|
|
| On the distance measure between time series |
|
|
Ahlame Chouakria Douzal
|
|
| Session Tut2D | Saturday 08:00-10:00 | |
Tutorial | | Chair: Zahari Zlatev | Room: Med-1 |
|
|
| Parallel Eigenvalue Solvers |
|
|
Bernard Philippe
|
|
| Session T02E | Saturday 10:30-12:30 | |
Robust and Nonparametric Methods
| | Chair: Rand Wilcox | Room: R1 |
|
|
| Nonparametric Methods for the Analysis of ROC curves from Clustered Data |
|
|
Carola Wernerx
|
|
| Making fractional polynomial models more robust |
|
|
Patrick Royston, Willi Sauerbrei
|
|
| Smooth functions and local extreme values |
|
|
Arne Kovac
|
|
| A comparison of two bootstrap schemes on goodness-of-fit tests in presence of selection bias |
|
|
Jorge Luis Ojeda Cabrera, Jose Antonio Cristobal, Jose Tomas Alcala Nalvaiz
|
|
| Control charts with robust estimated control limits |
|
|
Fernanda Otilia Figueiredo, Maria Ivette Gomes
|
|
| Different approaches to ROC curve fitting for a
continuous-scale diagnostic test |
|
|
Ivanka Horova, Marie Forbelska, Jiri Zelinka
|
|
| Session T04E | Saturday 10:30-12:30 | |
Applications in Macro-Economics, Finance and Marketing
| | Chair: Kostas Giannopoulos | Room: R3+4+5 |
|
|
| VIPSCAL: A combined vector-ideal point model for the analysis of preference data |
|
|
Katrijn Van Deun, Patrick J. F. Groenen, Luc Delbeke
|
|
| Solving degeneracies in nonmetric unfolding: Visualizing consumers' preferences for products |
|
|
Patrick Groenen, Alain de Beuckelaer, Frank Busing
|
|
| Generalized canonical correlation analysis with missing values |
|
|
Michel Van de Velden, Tammo H.A. Bijmolt
|
|
| Robust Methods for Credit Risk Management |
|
|
Luigi Grossi, Tiziano Bellini
|
|
| Redesigning Ratings: Assessing the Discriminatory Power of Credit Scores under Censoring |
|
|
Gerald Kroisandt, Marlene Muller, Holger Kraft
|
|
| Interest Rate Parity Revisted: An Experiment on the USD/Yen |
|
|
Jonathan Batten, Peter G. Szilagyi
|
|
| Session T08E | Saturday 10:30-12:30 | |
Statistics for Functional data
| | Chair: Wenceslao Gonzalez
Manteiga | Room: R11 |
|
|
| Three approaches for analysis of mixed nested designs for
functional data |
|
|
Irene Epifanio, Guillermo Ayala, Maria Teresa Leon
|
|
| Nonlinear estimation of Hilbert-valued autoregressive processes integral operators with wavelet bases methods |
|
|
Algirdas Laukaitis
|
|
| Nonparametric Regression for Functional Data: Optimal Local Bandwidth Choice |
|
|
Benhenni Karim, Rachdi Mustapha, Ferraty Frederic, Vieu Philippe
|
|
| Session T09E | Saturday 10:30-12:30 | |
Machine Learning and Scientific Computing
| | Chair: Lars Elden | Room: R8+9 |
|
|
| Decomposition of Textmining Graph |
|
|
Kaba Bangaly
|
|
| A Comparative Study of Bayesian and Neural Network Classifiers |
|
|
Cristina Solares
|
|
| An Incremental Algorithm for Neighborhood Graphs Construction |
|
|
Abdelkader Djamel Zighed, Hakim Hacid
|
|
| Folding-up: a new hybrid method for updating the partial singular value decomposition in latent semantic indexing |
|
|
Jane E. Tougas, Henry Stern, Raymond J. Spiteri
|
|
| Splitting Methods for Nonlinear Diffusion Filtering |
|
|
Gaetano Zanghirati, Emanuele Galligani, Valeria Ruggiero
|
|
| Quadratic Solvers in Parallel Decomposition Techniques for Support Vector Machines |
|
|
Thomas Serafini, Gaetano Zanghirati, Luca Zanni
|
|
| Session T13E | Saturday 10:30-12:30 | |
Advances in Mixture Models
| | Chair: Wilfried Seidel | Room: R2 |
|
|
| Recent developments in testing for mixture |
|
|
Bernard Garel
|
|
| Parsimonious Latent Class Models |
|
|
Gilles Celeux, Christophe Biernacki, Gerard Govaert
|
|
| Imputation through finite mixture models |
|
|
Ugo Guarnera, Marco Di Zio, Orietta Luzi
|
|
| Detection of differentially expressed genes in microarray data through semiparametric mixing |
|
|
Alessio Farcomeni, Marco Alfo, Luca Tardella
|
|
| Gaussian Mixture Model Classification: a Projection Pursuit approach |
|
|
Calo Daniela Giovanna
|
|
| Mixture models for heterogeneity in ranked data |
|
|
Brian Francis, Regina Dittrich, Reinhold Hatzinger
|
|
| Session T16E | Saturday 10:30-12:30 | |
Nonlinear time series modelling
| | Chair: Alessandra Amendola | Room: R10 |
|
|
| Testing for multivariate autoregressive conditional
heteroskedasticity using wavelets |
|
|
Pierre Duchesne
|
|
| Comparison of non-nested threshold nonlinear heteroscedastic models |
|
|
Richard Gerlach, Cathy Chen, Mike So
|
|
| Using auxiliary residuals to detect conditional heteroscedasticity in inflation |
|
|
Esther Ruiz, Carmen Broto
|
|
| Maximum likelihood estimation of GARCH processes when the parameter is on the boundary of the parameter space |
|
|
Jean-Michel Zakoian, Christian Francq
|
|
| The Impact of General Non-parametric Volatility Functions in Multivariate GARCH Models |
|
|
Francesco Audrino
|
|
| Coherent Forecasting in Integer Time Series Models |
|
|
Robert Jung, Andrew R. Tremayne
|
|
| Session T24E | Saturday 10:30-12:30 | |
Computational Econometrics
| | Chair: Jan Magnus | Room: R6+7 |
|
|
| Bias-Adjusted Estimation and Unit Root Testing in the ARX(1) Model |
|
|
Marc Paolella, Simon Broda, Kai Carstensen
|
|
| Robust covariance matrix estimation for generalized elliptically distributed data with missing values |
|
|
Uwe Jaekel, Gabriel Frahm
|
|
| Empirical Best Linear Unbiased Prediction in Misspecified and Improved Panel Data Models with an Application to Gasoline Demand |
|
|
Swamy Paravastu, Wisam Yaghi, Jatinder Mehta, I-Lok Chang
|
|
| The asymptotic and finite sample distribution of an inconsistent instrumental variable estimator |
|
|
Jan Kiviet, Jerzy Niemczyk
|
|
| A multivariate out-of-sample test for Granger causality |
|
|
Sarah Gelper, Christophe Croux
|
|
| Estimation of income distribution and detection of subpopulations: an explanatory model |
|
|
Emmanuel Flachaire, Olivier Nunez
|
|
| Session Tut3E | Saturday 10:30-12:30 | |
Tutorial | | Chair: Manfred Gilli | Room: Med-1 |
|
|
| Threshold Accepting: Concepts and
Implementations for Optimization Problems in Econometrics and Statistics |
|
|
Peter Winker
|
|
| Session T03F | Saturday 14:30-16:30 | |
Model Selection and Optimization Heuristics
| | Chair: Manfred Gilli | Room: R3+4+5 |
|
|
| Algorithm Selection Using Sampling |
|
|
Chris Bennett, Walter D. Potter
|
|
| Tree-Forest Selection in Graphical Models |
|
|
Klea Panayidou
|
|
| Fast S-regression estimates with the threshold accepting heuristic |
|
|
Manfred Gilli, Alfio Marazzi
|
|
| Asymptotic consistency of the PC algorithm for high-dimensional sparse directed acyclic graphs (DAGs) |
|
|
Markus Kalisch, Peter Buehlmann
|
|
| A Nonlinear Approximation Formula Generator for Very High Dimensional Data A New Hybrid Approach Based on Variable Selection
and Genetic Programming |
|
|
Werner Groissboeck, Erich Peter Klement
|
|
| Automated Response Surface Methodology for Stochastic Optimization Models with Unknown Variance |
|
|
Robin Nicolai, Rommert Dekker
|
|
| Session T04F | Saturday 14:30-16:30 | |
Applications in Macro-Economics, Finance and Marketing
| | Chair: Paolo Foschi | Room: R11 |
|
|
| Modelling convergence in the presence of transitional dynamics: Evidence from the Greek inflation data. |
|
|
Veni Arakelian, Demetris Moschos
|
|
| Fractional Cointegration and Commodities Futures Hedging |
|
|
Jian Dollery, Neil Kellard, Jerry Coakley
|
|
| A forecasting system for the expenditure of public investments |
|
|
Carlo Amati, Francisco Barbaro, Fabio De Angelis, Maria Alessandra Guerrizio
|
|
| Short- and long-run effects of promotions on store sales |
|
|
Marzia Freo, Sergio Brasini, Giorgio Tassinari
|
|
| The Role of Public Investment Projects in Local Development : A Spatial Equilibrium Approach |
|
|
Pietro Cova, Carla Carlucci
|
|
| Statistical Detection of Upward Trends in Large Datasets of Trade Flows |
|
|
Spyros Arsenis, Athina Karvounaraki
|
|
| Session T05F | Saturday 14:30-16:30 | |
Computer-intensive methods for dependent data
| | Chair: P. Buehlmann | Room: R2 |
|
|
| Measuring informational gain from a dynamic data disaggregation procedure in a Maximum Entropy framework |
|
|
Rosa Bernardini Papalia
|
|
| Approximate Regeneration-schemes for Markov chains |
|
|
Patrice Bertail, Stephane Clemencon
|
|
| Improvement of the quasi-likelihood ratio test in ARMA models: some results for bootstrap methods |
|
|
Alessandra Canepa, Leslie G. Godfrey
|
|
| An Entropy based Bootstrap Test for Nonlinear Dependence in Time Series |
|
|
Simone Giannerini
|
|
| Indirect Estimation of Markov Switching Models with Endogenous Switching |
|
|
Francesca Di Iorio, Edoardo Otranto, Giorgio Calzolari
|
|
| Fourier methods for testing multivariate dependance |
|
|
Simos Meintanis
|
|
| Session T08F | Saturday 14:30-16:30 | |
Statistics for Functional data
| | Chair: Wenceslao Gonzalez Manteiga | Room: R6+7 |
|
|
| Impartial Trimmed k-means and Classification Rules for Functional Data |
|
|
Ricardo Fraiman, Juan Cuesta-Albertos
|
|
| Common functional component modelling |
|
|
Alois Kneip, Michael Benko
|
|
| Goodness of fit tests for functional data |
|
|
Juan A. Cuesta-Albertos, Eustasio del Barrio, Ricardo Fraiman, Carlos Matran
|
|
| A depth based inference for functional data |
|
|
Juan Romo, Sara Lopez-Pintado
|
|
| Spatial nonparametric density estimation |
|
|
Sophie Dabo-Niang, Anne-Francoise Yao
|
|
| Functional Partial Least Squares logit model |
|
|
Manuel Escabias, Ana M. Aguilera, Mariano J. Valderrama
|
|
| Session T10F | Saturday 14:30-16:30 | |
Robust data mining
| | Chair: Christophe Croux | Room: R1 |
|
|
| A fast algorithm for S-regression estimates |
|
|
Victor Yohai, Matias Salibian-Barrera
|
|
| Selecting variables in robust regression |
|
|
Stefan Van Aelst, Jafar Khan, Ruben Zamar
|
|
| Bootstrapping cluster stability |
|
|
Christian Hennig
|
|
| Assessing individual clusters and two types of partial membership on the basis of measures of partitional stability. |
|
|
Patrice Bertrand, Ghazi Bel Mufti, Lassad El Moubarki
|
|
| A Boosting Algorithm via Sequential Monte Carlo : GibbsBoost |
|
|
Yasunori Hongo, Yohei Nakada, Takashi Matsumoto
|
|
| p-values for robust tests for the linear model |
|
|
Matias Salibian-Barrera
|
|
| Session T17F | Saturday 14:30-16:30 | |
Financial econometrics
| | Chair: Zdenek Hlavka | Room: R8+9 |
|
|
| Fast algorithm for nonparametric arbitrage-free SPD estimation |
|
|
Zdenek Hlavka
|
|
| Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modelling Techniques |
|
|
Sascha Mergner
|
|
| Volatility Dynamics in Higher Order ARMA and Component Stochastic Volatility |
|
|
Hiroyuki Kawakatsu
|
|
| On Neural Network Conditional Autoregressive Value at Risk |
|
|
Siu Leung Fung, Ching Wai Ki, Ng Kwok Po, Siu Tak Kuen
|
|
| Analyzing and Exploiting Asymmetries in the News Impact Curve |
|
|
Sven Steude, Marc Paolella, Markus Haas, Stefan Mittnik
|
|
| Session T25F | Saturday 14:30-16:30 | |
Statistical Algorithms and Software
| | Chair: Gilles Celeux | Room: R10 |
|
|
| The Stochastics of Threshold Accepting: Analysis of an Application to the Uniform Design Problem |
|
|
Peter Winker
|
|
| Model selection via penalization in the additive Cox model |
|
|
Marta Avalos, Yves Grandvalet, Christophe Ambroise
|
|
| Extended Leaps: A modern implementation of a time tested classic |
|
|
A. Pedro Duarte Silva
|
|
| Mean-field variational approximate Bayesian inference for latent variable models |
|
|
Jean-Michel Marin, Guido Consonni
|
|
| Cross Entropy based p-value calculation of three way contingency tables |
|
|
Toshio Sakata, Ryuichi Swae, Ryuei Nishii
|
|
| A matrix minimisation problem |
|
|
John Gower, Frank Critchley
|
|
| Session T03G | Saturday 17:00-19:00 | |
Model Selection and Optimization Heuristics
| | Chair: Berc Rustem | Room: R2 |
|
|
| Robust Portfolios with Range Forecasts |
|
|
Berc Rustem, Nalan Gulpinar
|
|
| Impact Cost Modelling |
|
|
Stavros Siokos, Robert Almgren, Chee Thum, Emmanuel Hauptmann
|
|
| A Heuristic Approach towards an Integrated View on Portfolio Return, Market Risk, Credit Risk and Operational Risk |
|
|
Andreas Mitschele, Frank Schlottmann, Detlef Seese
|
|
| Model Selection Based on Presmoothing |
|
|
Marc Aerts, Niel Hens, Jeffrey S. Simonoff
|
|
| A new numerical method to solve general equilibrium models. An application to optimal provision of public inputs |
|
|
Antonio Jesus Sanchez Fuentes, Diego Martinez Lopez
|
|
| Detecting social interactions in bivariate probit models: Some simulation results |
|
|
Johannes Jaenicke
|
|
| Session T09G | Saturday 17:00-19:00 | |
Machine Learning and Scientific Computing
| | Chair: Mike Berry | Room: R6+7 |
|
|
| Text Mining Using a Gradient Descent Constrained Least Squares Method for Nonnegative Matrix Factorization |
|
|
Michael Berry, Murray Browne, Paul Pauca, Bob Plemmons
|
|
| k--means clustering by smoothing techniques |
|
|
Jacob Kogan
|
|
| Computational Methods for Nonnegative Matrix Factorization in Image Data Analysis |
|
|
Bob Plemmons, Paul Pauca, Michael Berry
|
|
| Constrained Unidimensional Scaling |
|
|
Sio Iong Ao, Michael Ng, Pak Sham
|
|
| Boosting Algorithm that Maximizes the area under ROC curve |
|
|
Yuan-chin Ivan Chang
|
|
| Randomized Algorithms for Matrices and Large Data Sets |
|
|
Michael Mahoney, Petros Drineas
|
|
| Session T10G | Saturday 17:00-19:00 | |
Robust data mining
| | Chair: Stefan van Aelst | Room: R1 |
|
|
| Robust Methods and Data Mining |
|
|
Ruben Zamar, Will Welch, Yi Lin, Guohua Yan
|
|
| Robust unemployment data analysis |
|
|
Tadeusz Bednarski
|
|
| Simultaneous Robust Estimation and Variable Selection |
|
|
Roy Welsch, Lauren McCann
|
|
| A Simulation Technique for extracting Robust Association Rules |
|
|
Martine Cadot
|
|
| Fast Algorithms for Robust Classification |
|
|
Marco Riani, Anthony Atkinson
|
|
| Trimmed Aggregation of Classifiers |
|
|
Kristel Joossens
|
|
| Session T16G | Saturday 17:00-19:00 | |
Nonlinear time series modelling
| | Chair: Christian Francq | Room: R3+4+5 |
|
|
| Exploring the dynamics of the treasury note and interest rate swap markets using bivar |