Dear All,
Please note the change of venue for the statistics seminar on the 11th of May (tomorrow) at Imperial College London - the venue is now the Mathematics Institute lecture theatre, i.e. The Institute for Mathematical Sciences <http://www3.imperial.ac.uk/mathsinstitute> , 53 Prince's Gate, South Kensington, and there is coffee at 3 pm at the Institute.
I apologise for the many changes of venue.
The subsequent seminars are listed at: http://stats.ma.imperial.ac.uk/sco/public_html/seminarsIC.htm
Kind regards
Sofia
11th May
14.00 Professor Michael Wolf, Econometrics and Applied Statistics, Universität Zürich
Formalized Data Snooping Based on Generalized Error Rates
It is common in econometric applications that several hypothesis tests are carried out simultaneously. The problem then becomes how to decide which hypotheses to reject, accounting for the multitude of tests. The classical approach is to control the familywise error rate (FWE) which is the probability of one or more false rejections. But when the number of hypotheses under consideration is large, control of the FWE can become too demanding. As a result, the number of false hypotheses rejected may be small or even zero. This suggests replacing control of the FWE by a more liberal measure. To this end, we review a number of recent proposals from the statistical literature. We briefly discuss how these procedures apply to the general problem of model selection. A simulation study and two empirical applications illustrate the methods.
15.30 Professor Karim Abadir, Tanaka Business School, Imperial College London
Semiparametric estimation and inference for trending I(d) and related processes.
We deal with estimation and hypothesis testing in models allowing for trending processes that are possibly nonstationary, nonlinear, and non-Gaussian. Using semiparametric estimators, we obtain asymptotic confidence intervals for the trend and memory parameters, and we develop joint hypothesis testing for these. The confidence intervals are applicable for a wide class of processes, exhibit high coverage accuracy, and are easy to implement.
This is joint work with W. Distaso, and L. Giraitis.
Dr Sofia Olhede
Senior Lecturer in Statistics
Department of Mathematics
Imperial College London
SW7 2AZ London
UK
Tel:+44 (0) 20 7594 8568
http://www.imperial.ac.uk/people/s.olhede
ICIAM 2007: <http://stats.ma.ic.ac.uk/sco/public_html/iciam07scale.html> http://stats.ma.ic.ac.uk/sco/public_html/iciam07scale.html
RSS 2008: http://stats.ma.ic.ac.uk/sco/public_html/rssordinary.html
LTCC 2007: <http://stats.ma.ic.ac.uk/sco/public_html/iciam07scale.html> http://stats.ma.ic.ac.uk/sco/public_html/LTCC.htm
RSS 2007: http://stats.ma.ic.ac.uk/sco/public_html/rsscourse.htm
Seminars:
http://stats.ma.ic.ac.uk/sco/public_html/seminarsIC.htm
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