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Humboldt-Universität zu Berlin - Mathematisch-Naturwissenschaftliche Fakultät - Institut für Mathematik

Forschungsseminar Mathematische Statistik

Für den Bereich Statistik

G. Blanchard, M. Reiß, V. Spokoiny, W. Härdle



Weierstrass-Institut für Angewandte Analysis und Stochastik
Mohrenstrasse 39
10117 Berlin



mittwochs, 10.00 - 12.30 Uhr



17. April 2019
24. April 2019
Chen Huang (Universität St. Gallen)
LASSO in Time and Space
Abstract: 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.
08. Mai 2019
15. Mai 2019
Frank Konietschke Charité Berlin
22. Mai 2019
Gilian Heller (Macquarie University, Sydney)
29. Mai 2019
Denis Belomestny (U Duisburg-Essen)
05.Juni 2019
12. Juni 2019
19. Juni 2019
Karel Hron (Palacky University, Olomouc)
26. Juni 2019
03. Juli 2019
Claudia Strauch (U Mannheim)
10. Juli 2019
Arnak Dalalyan (ENSAE Paris)

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Frau Andrea Fiebig

Mail: fiebig@mathematik.hu-berlin.de
Telefon: +49-30-2093-5860
Fax:        +49-30-2093-5848
Humboldt-Universität zu Berlin
Institut für Mathematik
Unter den Linden 6
10099 Berlin, Germany