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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Motzen 2017

Program

12.07. - 14.07.2017 Seminar@Motzen

 

Hotel Residenz am Motzener See, Töpchiner Str. 4, 15749 Mittenwalde

 

Organization and Contact Information

Prof. Dr. Wolfgang Härdle
Awdesch Melzer, M.Sc.
Niels Wesselhöfft, M.Sc.
Humboldt-Universität zu Berlin
Wirtschaftswissenschaftliche Fakultät
Ladislaus von Bortkiewicz Chair of Statistics
Spandauer Str. 1
10178 Berlin

 
Tel.: +49 - 30 - 2093 5784
Fax: +49 - 30 - 2093 5649
E-Mail:

awdesch.melzer@hu-berlin.de
wesselhn@hu-berlin.de

 

Participants

STAT

 

Wolfgang Härdle

Cathy Chen

Lusiné Nazaretyan

Ya Qian

Lining Yu

Niels Wesselhöfft

Xiu Xu

Lenka Zboňáková

Alona Zharova

Alla Petukhina

WIAS

 

Larisa Adamyan

Kirill Efimov

Yegor Klochkov

 

 

MATH

 

Katerina Papagiannouli

 

 

External

 

Hans Müller

Kun Ho Kim

Nagul Zakiyeva

Lun-kang Liu

 

Schedule

 

Day

Time

Speaker

Title

Download
talk

Wednesday
(12.07.2017)

13:00-13:45

Arrival

13:45-14:00 Welcome

1st  Session

14:00-14:30

Liu, Lun-kang (Ryan): Money Ball :

Modeling MLB Hitting Data by Copulas

14:30-15:00

Zbonakova, Lenka: Penalized Adaptive Method

15:00-15:30 Coffee Break

2nd  Session

15:30-16:00

Klochkov, Yegor: Total maximum likelihood approach for errors-in-variables regression

16:00-16:30 Efimov, Kirill: TBA
16:30-17:00 Papagiannouli, Katerina: Optimal rate of convergence for estimating covariance in the presence of Jumps
17:00-17:30 Coffee Break

3rd  Session

17:30-18:00 Adamyan, Larisa: Assignments of JEL codes via Adaptive weights clustering
18:00-18:30 Chen, Cathy: Textual Sentiment, option information and stock predictability

19:00

Dinner

 

Thursday (13.07.2017)

1st  Session

06:00-09:00 Breakfast

09:00-10:30

Hans G Müller: Basics of Functional Data Analysis, Functional Principal Component Analyis

10:30-11:00

Coffee Break

2nd  Session, Chair: Linxi Wang

11:00-11:30

Qian, Ya: TBA

11:30-12:00

Xu, Xui: TBA

12:00-12:30

Yu, Lining: Tail Event Driven Factor Augmented Dynamic Model
12:30-13:00 Zharova, Alona: Measuring research performance of individuals, research groups and universities

13:00-15:00

Discussion / Lunch Break

3rd  Session

15:00-16:30

Hans G Müller: Functional Regression

16:30-17:00

Coffee Break

4th  Session

17:00-17:30

Kim, Kun Ho: Bayesian Time Series Regression with Nonparametric Modeling of Autocorrelation

17:30-18:00 Petukhina, Alla: TBA
18:00-18:30 Wesselhöfft, Niels: Estimation of low-frequency risk measures by high-frequency data

19:00

BBQ | Dinner

 

Friday
(14.07.2017)

06:00-09:00

Breakfast and Check-Out

1st  Session

09:00-10:30

Hans G Müller: Correlation, Connectivity and Densities; Repeated Functional Data

10:30-11:00

Coffee Break
11:00-11:30 Zakiyeva, Nazgul: An empirical comparison of machine learning and functional time series analysis in forecasting of wind power generation
11:30-12:00 Melzer, Awdesch: Forecasting high dimensional wind power curves

12:00

Departure