• Category Archives: Seminario

    Seminario Ruey Tsay

    Il giorno 4 ottobre alle ore 11.30 presso la Sala del Consiglio della Scuola di Economia e Statistica, al IV piano dell’edificio U7, il prof. Ruey Tsay della University of Chicago Booth School of Business, terrà un seminario su:

    Nonlinear Models for High-Frequency Financial Data

    Abstract

    Nonlinearity is commonly observed in high-frequency data, including financial data. We discuss some recent developments in econometric modeling of nonlinear high-frequency financial data. We discuss both parametric and nonparametric methods, approaches for handling count data, and statistical methods for analyzing big dependent data. Real examples are used to demonstrate the analysis and to compare different methods.

    Tutti gli interessati sono invitati a partecipare. Per ulteriori informazioni:
    ilaria.foroni@unimib.it
    mariangela.zenga@unimib.it.

    Seminario Masanobu Taniguchi

    Il giorno martedì 4 ottobre alle ore 15.00 presso la Aula Seminari al IV piano dell’edificio U7,  il prof. Masanobu Taniguchi della Waseda University di Tokyo terrà un seminario su

    High Order Asymptotic Theory of Shrinkage Estimation for General Statistical Models

    Abstract
    In this paper we develop the high order asymptotic theory of shrinkage estimators for general statistical models, which include dependent processes, multivariate models and regression models, i.e., non-i.i.d. models.
    Introducing a shrinkage estimator of MLE, we compare it with that of MLE by third-order mean squares error (MSE).
    A sufficient condition for the shrinkage estimator to improve the MLE will be given in a very general fashion.
    Our model is described as a curved statistical model p(·;\theta(u)), where \theta is a parameter of larger model and u is a parameter of interest with dim u < dim \theta.
    This setting is especially suitable for estimation of portfolio coefficients u based on mean and variance parameters \theta.
    We also mention the advantage of our shrinkage estimators when the dimension of parameter becomes large.
    Numerical studies are given, and illuminate an interesting feature of the shrinkage estimator. (joint work with: Hiroshi SHIRAISHI, Yoshihiro SUTO, Takashi YAMASHITA)

    Seminario Steven Scott (Google)

    Il giorno venerdì 2 settembre alle ore 17, presso l’Aula Martini al piano interrato dell’edificio U6,  Steven Scott, Senior Economic Analyst at Google, terrà un seminario su

    Predicting the Present with Bayesian Structural Time Series

    This article describes a system for short term forecasting based on an ensemble prediction
    that averages over different combinations of predictors. The system combines a structural
    time series model for the target series with regression component capturing the contributions of contemporaneous search query data. A spike-and-slab prior on the regression coefficients induces sparsity, dramatically reducing the size of the regression problem. Our system averages over potential contributions from a very large set of models and gives easily digested reports of which coefficients are likely to be important. We illustrate with applications to initial claims for unemployment benefits and to retail sales. Although our exposition focuses on using search engine data to forecast economic time series, the underlying statistical methods can be applied to more general short term forecasting with large numbers of contemporaneous predictors (joint work with Hal Varian).

    Tutti gli interessati sono invitati a partecipare; sarà anche possibile seguire in streaming. L’evento è organizzato in collaborazione con Innovation Pub.

    Steve sarà in Italia per una scuola di una settimana sul Lago di Como alla quale parteciperanno anche i nostri dottorandi. Vi segnalo anche la conferenza per il grande pubblico su Google data and Public Sentiment che si terrà a Como il giorno 30 agosto alle 18.00. Per approfondimenti consultate la pagina web di Scott.