Research Group "Stochastic Algorithms and Nonparametric Statistics"

Research Seminar "Mathematical Statistics" Summer Semester 2019

  • 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.
17.04.19 N.N.

24.04.19 Chen Huang (Universität St. Gallen)
LASSO in time and space
We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal and cross-sectional dependency in covariates and error processes, covering rather general forms of weak dependence. A sequence of regressions with many regressors using LASSO (Least Absolute Shrinkage and Selection Operator) is applied for variable selection purpose, and an overall penalty level is carefully chosen by a block multiplier bootstrap procedure to account for multiplicity of the equations and dependencies in the data. Correspondingly, oracle properties with a jointly selected tuning parameter are derived. We further provide high-quality de-biased simultaneous inference on the many target parameters of the system. We provide bootstrap consistency results of the test procedure, which are based on a general Bahadur representation for the Z-estimators with dependent data. Simulations demonstrate good performance of the proposed inference procedure. Finally, we apply the method to quantify spillover effects of textual sentiment indices in a financial market and to test the connectedness among sectors.
01.05.19 Public Holiday

08.05.19 N.N.

15.05.19 Frank Konietschke (Charité Berlin)

22.05.19 Gilian Heller (Macquarie University, Sydney)

29.05.19 Denis Belomestny (Universität Duisburg-Essen)

05.06.19 N. N.

12.06.19 N.N.

19.06.19 Karel Hron (Palacky University, Olomouc)

26.06.19 N. N.

03.07.19 Claudia Strauch (Universität Mannheim)

10.07.19 Arnak Dalalyan (ENSAE Paris)



last reviewed: April 12, 2019 by Christine Schneider