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Workshop on Self-normalized Asymptotic Theory in Probability, Statistics and Econometrics
(19 - 23 May 2014)

Venue: IMS Auditorium

Organizing Committee · Visitors and Participants · Overview · Activities · Venue

 

Monday, 19 May 2014

09:15am - 09:30am

Registration

09:30am - 09:40am

Opening Remarks

09:40am - 10:30am

Matrix normalization and self-normalized asymptotic theory in regression, multivariate analysis and time series
Tze Leung Lai, Stanford University, USA

10:30am - 11:00am

--- Group Photo & Coffee Break ---

11:00am - 11:50am

Model selection for high-dimensional ARX models
Ching-Kang Ing, Institute of Statistical Science, Taiwan

11:50am - 01:30pm

--- Lunch Reception at IMS ---

01.30pm - 02:20pm

Phase transition and regularized bootstrap in large-scale T-tests with false discovery rate control
Weidong Liu, Shanghai Jiao Tong University, China

02:20pm - 03:10pm

Instrumental variable methods with set-valued residuals (PDF 1, PDF 2)
Andrew Chesher, University College London, UK

03:10pm - 03:40pm

--- Coffee Break ---

03:40pm - 04:30pm

Multivariate variance ratio statistics: application to stock returns (PDF)
Oliver Linton, University of Cambridge, UK

04:30pm - 05:00pm

Research Discussions

Tuesday, 20 May 2014

09:15am - 09:30am

Registration

09:30am - 10:20am

Generalized self-normalization and the subsequence principle (PDF)
István Berkes, Graz University of Technology, Austria

10:20am - 10:50am

--- Coffee Break ---

10:50am - 11:40am

The self-normalized sample extremogram and the self-normalized ex-periodogram (PDF)
Thomas Mikosch, University of Copenhagen, Denmark

11:40am - 01:30pm

--- Lunch ---

01.30pm - 02:20pm

Self-normalized extreme Eigenvalues of large dimensional Cov matrices from heavy-tailed multivariate time series (PDF)
Richard A. Davis, Columbia University, USA

02:20pm - 03:10pm

Gaussian approximation of suprema of empirical processes

Kengo Kato, University of Tokyo, Japan

03:10pm - 03:40pm

--- Coffee Break ---

03:40pm - 04:30pm

On the error bound in a combinatorial central limit theorem
Louis Chen, National University of Singapore

04:30pm - 05:00pm

Research Discussions

Wednesday, 21 May 2014

09:15am - 09:30am

Registration

09:30am - 10:20am

Nonparametric cointegrating regression with endogeneity and long memory
Qiying Wang, The University of Sydney, Australia

10:20am - 10:50am

--- Coffee Break ---

10:50am - 11:40am

Unified view of portmanteau tests for general statistical models (PDF)
Masanobu Taniguchi, Waseda University, Japan

11:40am - 01:30pm

--- Lunch ---

01.30pm - 02:20pm

Cramér moderate deviations for studentized two-sample U-statistics with applications (PDF)
Wenxin Zhou, University of Melbourne, Australia

02:20pm - 03:10pm

The lasso for high-dimensional regression with a possible change-point
Sokbae, Simon Lee, Seoul National University, Korea

03:10pm - 03:40pm

--- Coffee Break ---

03:40pm - 04:30pm

The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
Yoon-Jae Whang, Seoul National University, Korea

04:30pm - 05:00pm

Research Discussions

Thursday, 22 May 2014

09:15am - 09:30am

Registration

09:30am - 10:20am

Large volatility matrix estimation for high-frequency financial data (PDF)
Yazhen Wang, University of Wisconsin-Madison, USA

10:20am - 10:50am

--- Coffee Break ---

10:50am - 11:40am

Impacts of high dimensionality in finite samples (PDF)
Jinchi Lv, University of Southern California, USA

11:40am - 01:30pm

--- Lunch ---

01.30pm - 02:20pm

Asymptotic distribution of the EPMS estimator for financial derivatives pricing (PDF)
Shih-Feng Huang, National Kaohsiung University, Taiwan

02:20pm - 03:10pm

Averaging estimators for cointegrated vector autoregressive models (PDF)
Yanping Yi, Shanghai University of Finance and Economics, China

03:10pm - 03:40pm

Asymptotic properties of change-point estimators (PDF)
Chi Tim Ng, Chonnam University, Korea

03:40pm - 04:10pm

Research Discussions

Friday, 23 May 2014

09:15am - 09:30am

Registration

09:30am - 10:20am

On the rate of convergence in limit theorems for geometric sums (PDF)
Tran Loc Hung, University of Finance and Marketing, Vietnam

10:20am - 10:50am

--- Coffee Break ---

10:50am - 11:20am

Random coefficient integer-valued moving average models (PDF)
Kaizhi Yu, Southwestern University of Finance and Economics, China

11:20am - 11:50am

Nonlinear error correction models and multiple thresholds cointegrations (PDF)
Man Wang, Dong Hua University, China



Organizing Committee · Visitors and Participants · Overview · Activities · Venue

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