Research Group "Stochastic Algorithms and Nonparametric Statistics"

Research Seminar "Mathematical Statistics" Winter Semester 19/20

  • Place: Weierstrass-Institute for Applied Analysis and Stochastics, Erhard-Schmidt-Hörsaal, Mohrenstraße 39, 10117 Berlin
  • Time: Wednesdays, 10.00 a.m. - 12.30 p.m.
16.10.19 Alexey Onatskiy (Cambridge University)
Cointegration the modern way
23.10.19 Prof. Vladimir Spokoiny (WIAS Berlin)
Bayesian inference for nonlinear inverse problems
We discuss the properties of the posterior for a wide class of statistical models including nonlinear generalised regression and deep neuronal networks, nonlinear inverse problems, nonparametric diffusion, error-in-operator and IV models. The new calming approach helps to treat all such problems in a unified manner and to obtain tight finite sample results about Gaussian approximation of the posterior with an explicit error bound in term of so called effective dimension.
30.10.19 N. N.

06.11.19 Charles Manski (North Western University, USA)
Patient care under uncertainty (Hermann Otto Hirschfeld Lecture 2019)
13.11.19 Merle Behr (University of California, Berkeley)
The seminar takes place at room 406, 4th floor! Learning compositional structures
20.11.19 Nikita Zhivotowskii (Google Zurich, Switzerland):
Robust covariance estimation for vectors with bounded kurtosis
Let X be a centered random vector and assume that we want to estimate its covariance matrix. In this talk I will discuss the following result: if the random X satisfies the bounded kurtosis assumption, there is a covariance matrix estimator that given a sequence of n independent random vectors distributed according to X exhibits the optimal performance one would expect had X been a gaussian vector. The procedure also improves the current state-of-the-art regarding high probability bounds in the sub-gaussian case (sharp results were only known in expectation or with constant probability). In both scenarios the new bound does not depend explicitly on the dimension, but rather on the effective rank of the covariance matrix of X. The talk is based on the joint work with S. Mendelson "Robust covariance estimation under L4-L2 moment equivalence", to appear in AoS 2019.
27.11.19 Prof. Alain Celisse (Université Lille, France)
Kernelized change-points detection procedure
04.12.19 Nils Bertschinger (Goethe Universität Frankfurt a. M)
The seminar takes place at room 406, 4th floor! Systemic Greeks: Measuring risk in financial networks
Since the latest financial crisis, the idea of systemic risk has received considerable interest. In particular, contagion effects arising from cross-holdings between interconnected financial firms have been studied extensively. Drawing inspiration from the field of complex networks, these attempts are largely unaware of models and theories for credit risk of individual firms. Here, we note that recent network valuation models extend the seminal structural risk model of Merton (1974). Furthermore, we formally compute sensitivities to various risk factors -- commonly known as Greeks -- in a network context. In the end, we present some numerical illustrations and discuss possible implications for measuring systemic risk as well as insurance pricing.
11.12.19 N.N.




The seminar takes place at room 406, 4th floor!



last reviewed: September 18, 2019 by Christine Schneider