Dept. Seminar - Abolfazl Safikhani

Monday, April 9, 2018 - 4:10pm

Abolfazl Safikhani 
Department of Statistics
Columbia University


Joint Structural Break Detection and Parameter Estimation in High-Dimensional Non-Stationary VAR Models


Assuming stationarity is unrealistic in many time series applications. A more realistic alternative is to

allow for piecewise stationarity, where the model is allowed to change at given time points. In this talk, we propose a

three-stage procedure for consistent estimation of both structural change points and parameters of high- Read more about Dept. Seminar - Abolfazl Safikhani

Dept. Seminar - Lan Xue

Monday, April 2, 2018 - 4:10pm to 5:00pm

Lan Xue
Department of Statistics
Oregon State University 


Semi-parametric method for non-ignorable missing in longitudinal data using refreshment samples.

Missing data is one of the major methodological problems in longitudinal studies. It not only reduces the sample size, but also can result in biased estimation and inference. It is crucial to correctly understand the missing mechanism and appropriately incorporate it into the estimation and inference procedures.  Read more about Dept. Seminar - Lan Xue

Dept. Seminar - Zongwu Cai

Monday, February 26, 2018 - 4:10pm to 5:00pm

Zongwu Cai
Department of Economics
University of Kansas


Models on Testing Predictability of Asset Returns


Testing predictability of asset returns is a cornerstone issue in modern asset pricing

and the related fields. It has been one of the hottest research topics in asset pricing

field in the recent two decades. In this talk, I will combine several of my own papers

(published papers and ongoing projects) on testing predictability of asset returns and Read more about Dept. Seminar - Zongwu Cai