17. Doktorand:innentreffen der Stochastik

Session

Session B3 Statistics

4 Aug 2022, 09:00

HS 4 (Universität Klagenfurt)

Conveners

Session B3 Statistics: Chair: Philip Dörr

• Niklas Rosar ()
• Nicolai Amann (University of Vienna)
• Philipp Dettling (Technical University of Munich)

Contribution list Timetable

15. Regression estimation via best L_2-approximation on spaces of step functions with two jumps

04/08/2022, 09:00

Statistics

In general regression models the equation $Y = m(X) + \epsilon$ holds, where $X,Y$ and $\epsilon$ are random variables, $m(X) = \mathbb{E}[Y \vert X]$ and the regression function $m$ is unknown.
The approach by Nadine Albrecht, 2020, uses step functions with one jump, e.g. binary decision trees, as an approximation of $m$ in $L_2$ and assumes the unique existence of optimal step function...

30. Conditional predictive inference for linear sub-models of high-dimensional data

04/08/2022, 09:30

Statistics

Talk

We deal with the estimation of the distribution of the prediction error conditional on the training data based on a jackknife type approach in a setting where the number of regressors grows proportionally with the number of observations. That estimation may be used to construct (asymptotically valid) confidence intervals as well as estimating the MSE ore MAE of the method used in the...

16. Identification in Graphical Continuous Lyapunov Models

04/08/2022, 10:00

Statistics

Talk

Graphical continuous Lyapunov models offer a new perspective on modeling the causally interpretable dependence structure in multivariate data by treating each independent observation as a one-time cross-sectional snapshot of the multivariate Ornstein-Uhlenbeck process in equilibrium. This leads to Gaussian models in which the covariance matrix is determined by the continuous Lyapunov equation....