P
ROGRAMME AND
A
BSTRACTS
6th CSDA International Conference on
Computational and Financial Econometrics (CFE 2012)
http://www.cfe-csda.org/cfe12
and
5th International Conference of the
ERCIM (European Research Consortium for Informatics and Mathematics) Working Group on
Computing & Statistics (ERCIM 2012)
http://www.cfe-csda.org/ercim12
Conference Center “Ciudad de Oviedo”, Spain
1-3 December 2012
http://www.uniovi.es
http://www.qmul.ac.uk
Depósito Legal: AS-03972-2012 ISBN: 978-84-937822-2-1
c
⃝2012 – ERCIM WG on Computing & Statistics
All rights reserved. No part of this book may be reproduced, stored in a retrieval system, or transmitted, in any other form or by any means without the prior permission from the publisher.
International Organizing Committee:
Ana Colubi, Christophe Croux, Erricos J. Kontoghiorghes and Herman K. Van Dijk.
CFE 2012 Co-chairs:
Andrew Harvey, Yasuhiro Omori, Willi Semmler and Mark Steel.
CFE 2012 Programme Committee:
A. Amendola, G. Amisano, F. Audrino, M. Billio, F. Canova, S. Chaudhuri, C.W.S. Chen, C. Francq,
A. M. Fuertes, L. Khalaf, G. Koop, S.J. Koopman, C.-M. Kuan, R. Leon-Gonzalez, H. Lopes, M. McAleer,
M. Paolella, H. Pesaran, J.-Y. Pitarakis, D.S.G. Pollock, P. Poncela, T. Proietti, M. Reale, J. Rombouts,
S. Sanfelici, K. Sheppard, M.K.P. So, L. Soegner, G. Storti, E. Tzavalis, J.-P. Urbain, D. Veredas, M. Wagner,
Q. Yao, P. Zadrozny, J.M. Zakoian and Z. Zhang.
CSDA Annals of CFE Managing Editors:
David A. Belsley, Erricos J. Kontoghiorghes and Herman K. Van Dijk.
ERCIM 2012 Co-chairs:
Gil Gonzalez-Rodriguez, Geoff McLachlan, Hannu Oja, Marco Riani and Stephen Walker.
ERCIM 2012 Programme Committee:
E. Ahmed, A.M. Alonso, A.C. Atkinson, A. Christmann, A. Delaigle, T. Denoeux, M. Falk, P.
Filz-moser, P. Foschi, C. Gatu, L.A. Garcia-Escudero, R. Gerlach, M.I. Gomes, A. Gordaliza, A. Grane, X. He,
M.D. Jimenez-Gamero, M. Hubert, T. Kneib, V. Leiva, A. Lijoi, J. Lopez-Fidalgo, A. Luati, G.
Macken-zie, A. Mayo, S. Meintanis, I. Molina, D. Morales, D. Paindaveine, M.C. Pardo, S. Paterlini, I. Pruenster,
E. Ronchetti, L. Ugarte, S. Van Aelst, I. Van Keilegom, P. Vieu, R. Zamar and A. Zeileis.
Local Organizer:
Department of Statistics, OR and DM, University of Oviedo, Spain
Contents
General Information I
Committees . . . III Welcome . . . IV ERCIM Working Group on Computational and Methodological Statistics . . . V Scientific and Social Programme Schedule, Meetings and Social Events Information . . . VI Venue, lecture rooms, presentation instructions and internet access . . . VII Map of the venue and nearby area and Publications outlets . . . VIII Sponsors, exhibitors and supporting societies . . . IX
Keynote Talks 1
Keynote talk CFE-ERCIM (Esther Ruiz, Universidad Carlos III de Madrid, Spain) Saturday 01.12.2012 at 09:00-09:50
Bootstrapping prediction intervals . . . 1
Keynote talk ERCIM 1 (Hans-Georg Mueller, University of California Davis, United States) Saturday 01.12.2012 at 16:35-17:25 Nonlinear methods for the analysis of functional data . . . 1
Keynote talk CFE 1 (Luc Bauwens, Universite catholique de Louvain, Belgium) Saturday 01.12.2012 at 17:40-18:30 Modeling structural changes in volatility . . . 1
Keynote talk ERCIM 2 (Peter Buhlmann, ETH Zurich, Switzerland) Monday 03.12.2012 at 12:30-13:20 Assigning statistical significance in high-dimensional problems . . . 1
Keynote talk CFE 2 (Stefan Mittnik, University of Munich, Germany) Monday 03.12.2012 at 17:15-18:05 Portfolio–implied risk assessment . . . 1
Parallel Sessions 2 Parallel Session B – CFE (Saturday 01.12.2012 at 10:20 - 12:25) 2 CSI03: BAYESIAN ECONOMETRICS(Room: Auditorium) . . . 2
CS01: MODELLING AND FORECASTING FINANCIAL TIME SERIES(Room: 4) . . . 2
CS35: ESTIMATING AGENT BASED MODELS(Room: 6) . . . 3
CS46: DIMENSION REDUCTION IN TIME SERIES(Room: 1) . . . 4
CS53: FINANCIAL MARKET AND MACRO(Room: 3) . . . 4
CS64: INFERENCE IN TIME SERIES VOLATILITY MODELS(Room: 5) . . . 5
CS63: REAL-TIME ANALYSIS WITH REVISIONS AND VOLATILITY(Room: 2) . . . 6
Parallel Session B – ERCIM (Saturday 01.12.2012 at 10:20 - 12:25) 7 ESI05: CIRCULAR AND SPHERICAL DATA(Room: Multipurpose) . . . 7
ES08: STATISTICAL ANALYSIS OF EVENT TIMESI (Room: 7) . . . 7
ES19: ROBUST METHODS BASED ON TRIMMING(Room: 13) . . . 8
ES27: FUZZINESS IN STATISTICS(Room: 8) . . . 8
ES64: STATISTICS OF EXTREMES AND RISK ASSESSMENT(Room: 11) . . . 9
ES38: SKEW DISTRIBUTIONS: PROBABILITY AND INFERENCE(Room: 10) . . . 10
ES53: COUNTING PROCESSES(Room: 12) . . . 10
ES54: FUNCTIONAL DATA WITH SPATIAL DEPENDENCE(Room: 9) . . . 11
EP01: POSTER SESSIONI (Room: Hall) . . . 12
EP02: POSTER SESSIONII (Room: Hall) . . . 13
Parallel Session C – CFE (Saturday 01.12.2012 at 14:00 - 15:40) 14 CS06: STATISTICAL SIGNAL EXTRACTION AND FILTERINGI (Room: 5) . . . 14
CS70: MODELLING CREDIT RISK IN FINANCIAL MARKETS(Room: 4) . . . 14
CS16: MASSIVELY PARALLEL COMPUTATIONS ONGPUS(Room: Multipurpose) . . . 15
CS33: COMPUTATIONAL METHODS FOR FLEXIBLEBAYESIAN MODELS(Room: 1) . . . 15
CS40: ASSETS LINKAGES,MULTIVARIATE DENSITY PREDICTION AND PORTFOLIO OPTIMIZATION(Room: 3) . . . 16
CS43: MODELLING AND FORECASTING VOLATILITY AND RISK(Room: 6) . . . 17
CS44: THEORY AND APPLICATIONS OF REGIME SPECIFIC BEHAVIOUR(Room: 2) . . . 17
Parallel Session D – ERCIM (Saturday 01.12.2012 at 14:00 - 16:05) 19
ESI01: ROBUST STATISTICS(Room: Auditorium) . . . 19
ES07: TIME SERIES MODELING AND COMPUTATION(Room: 9) . . . 19
ES14: BIOSTATNET: YOUNG RESEARCHERS FORUMI (Room: 12) . . . 20
ES18: MODELS AND GOODNESS-OF-FIT FOR TIME SERIES AND DEPENDENT DATA(Room: 10) . . . 21
ES24: STATISTICAL PROBLEMS WITH COMPLEX DATA(Room: 13) . . . 21
ES32: STATISTICS FOR FUZZY DATA(Room: 8) . . . 22
ES45: STATISTICAL ANALYSIS OF EVENT TIMESII (Room: 7) . . . 23
ES37: IMPRECISION AND GRAPHICAL MODELS(Room: 11) . . . 24
Parallel Session E – CFE (Saturday 01.12.2012 at 16:15 - 17:30) 25 CS09: RECENT ADVANCES IN THE APPLIED MACROECONOMICS(Room: 7) . . . 25
CS18: NEW DEVELOPMENTS INGARCHMODELS AND FINANCIAL SERIES MODELLING(Room: 13) . . . 25
CS66: CREDIT RATING MODELS(Room: 8) . . . 26
CS21: RISKS MEASURES(Room: 3) . . . 26
CS24: TESTING FOR COMMON CYCLES IN MACROECONOMIC TIME SERIES(Room: 4) . . . 27
CS29: BAYESIAN EMPIRICAL MACROECONOMICS(Room: 9) . . . 27
CS34: HIGH DIMENSIONALBAYESIAN TIME SERIES ECONOMETRICS(Room: 2) . . . 27
CS58: BOOSTRAPPING PANEL AND TIME SERIES DATA: THEORY AND APPLICATIONS(Room: Multipurpose) . . . 28
CS60: INDIRECT ESTIMATION METHODS(Room: 5) . . . 28
CS93: ECONOMETRIC MODELLING AND APPLICATIONS(Room: 12) . . . 29
CS95: FACTOR MODELS (Room: 11) . . . 29
CS86: VOLATILITY MODELS (Room: 10) . . . 30
CS71: SOLVING INTERNATIONAL PORTFOLIO MODELS(Room: 6) . . . 30
CS28: STRUCTURAL SYSTEMS:DIMENSIONALITY AND IDENTIFICATION(Room: 1) . . . 31
Parallel Session H – ERCIM (Saturday 01.12.2012 at 17:40 - 19:20) 32 ES04: BAYESIAN SEMI-AND NONPARAMETRIC MODELLINGI (Room: 9) . . . 32
ES05: OPTIMIZATION HEURISTICS IN ESTIMATION AND MODELLING(Room: 5) . . . 32
ES11: SPARSE DIMENSION REDUCTION(Room: 12) . . . 33
ES29: ADVANCES IN ROBUST DATA ANALYSISI (Room: 13) . . . 33
ES01: MATRIX COMPUTATIONS AND STATISTICS (Room: 2) . . . 34
ES31: STATISTICS IN FUNCTIONAL ANDHILBERT SPACESI (Room: Multipurpose) . . . 35
ES40: ADVANCED TIME SERIES ANALYSIS(Room: 4) . . . 35
ES47: SMALL AREA ESTIMATION(Room: 6) . . . 36
ES49: STATISTICAL INFERENCE BASED ON DEPTH(Room: 1) . . . 36
ES51: STATISTICAL ANALYSIS OF GENOME-WIDE ASSOCIATION STUDIES(Room: 10) . . . 37
ES56: COPULASI (Room: 3) . . . 38
ES62: IMPRECISE PROBABILITY THEORIES FOR STATISTICAL PROBLEMS(Room: 8) . . . 38
ES74: MULTIVARIATE EXTREMES AND REGRESSION ANALYSIS(Room: 11) . . . 39
ES28: ADVANCES INHAMILTONIANMONTECARLO(Room: 7) . . . 39
Parallel Session I – CFE (Sunday 02.12.2012 at 08:45 - 10:25) 41 CSI01: ADVANCES IN FINANCIAL TIME SERIES(Room: Multipurpose) . . . 41
CS89: FINANCIAL MARKETSI (Room: 4) . . . 41
CS48: BUSINESS CYCLE ANALYSIS(Room: 2) . . . 42
CS56: MULTIVARIATE VOLATILITY MODELS(Room: 3) . . . 42
CS61: TOPICS IN TIME SERIES AND PANEL DATA ECONOMETRICS(Room: 1) . . . 43
CS90: TIME SERIES ECONOMETRICSI (Room: 5) . . . 44
CS73: FINANCIAL MODELLING(Room: 6) . . . 44
Parallel Session I – ERCIM (Sunday 02.12.2012 at 08:45 - 10:25) 46 ES10: BAYESIAN SEMI-AND NONPARAMETRIC MODELLINGII (Room: 9) . . . 46
ES20: ADAPTIVEMONTECARLO(Room: 10) . . . 46
ES35: MODEL CHOICE AND FUNCTION SPECIFICATION TESTS IN SEMIPARAMETRIC REGRESSION(Room: 8) . . . 47
ES41: ADVANCES IN ROBUST DATA ANALYSISII (Room: 13) . . . 47
ES46: RECENT ADVANCES IN SMALL AREA ESTIMATION(Room: 11) . . . 48
ES81: STATISTICS IN FUNCTIONAL ANDHILBERT SPACESII (Room: 7) . . . 49
ES59: NEW DEVELOPMENTS IN QUANTILE REGRESSION(Room: 12) . . . 49
Parallel Session J – CFE (Sunday 02.12.2012 at 10:55 - 13:00) 51 CS14: MODELLING WITH HEAVY TAILS: APPLICATIONS(Room: 1) . . . 51
CS49: MULTIVARIATE TIME SERIES(Room: 2) . . . 51
CS52: CREDIT RISK(Room: 5) . . . 52
CS62: SPARSEBAYESIAN MODEL CHOICE(Room: 4) . . . 53
CS65: ADVANCES IN ASYMMETRIC AND NONLINEAR FINANCIAL ECONOMETRICS(Room: 3) . . . 53
CS74: COMMODITY MARKETS(Room: 6) . . . 54
CP01: POSTER SESSION(Room: Hall) . . . 55
Parallel Session J – ERCIM (Sunday 02.12.2012 at 10:55 - 13:00) 57 ESI02: BAYESIAN NONPARAMERICS(Room: Multipurpose) . . . 57
ES12: HIGH DIMENSIONAL DATA ANALYSIS AND STATISTICAL LEARNING(Room: 9) . . . 57
ES23: PARTICLE FILTERING(Room: 7) . . . 58
ES25: STOCHASTICS ORDERS AND THEIR APPLICATIONS(Room: 12) . . . 59
ES36: ROBUSTNESS ISSUES IN COMPLEX DATA ANALYSIS(Room: 13) . . . 59
ES75: EXTREMES AND DEPENDENCE(Room: 11) . . . 60
ES76: MEDICAL STATISTICS(Room: 10) . . . 61
ES63: COPULASII (Room: 8) . . . 62
EP03: POSTER SESSIONIII (Room: Hall) . . . 63
Parallel Session K – CFE (Sunday 02.12.2012 at 14:30 - 16:10) 65 CS11: VOLATILITY MODELLING IN THE PRESENCE OF OUTLIERS(Room: 1) . . . 65
CS12: BAYESIAN NONLINEAR ECONOMETRICS(Room: 4) . . . 65
CS27: APPLICATIONS OF PENALIZED SPLINES TO ECONOMICS(Room: 2) . . . 66
CS50: CORRELATION BY VOLATILITY(Room: 5) . . . 67
CS55: CONTINUOUS TIME FINANCIAL MODELS(Room: 6) . . . 67
CS72: ADVANCES INDSGEMODELING(Room: 3) . . . 68
Parallel Session K – ERCIM (Sunday 02.12.2012 at 14:30 - 16:10) 69 ESI04: SPATIAL STATISTICS(Room: Multipurpose) . . . 69
ES42: ROBUST STATISTICAL MODELLING(Room: 13) . . . 69
ES48: DISEASE MAPPING(Room: 10) . . . 70
ES58: RECENT ADVANCES IN NON-AND SEMIPARAMETRIC REGRESSION WITH CENSORED DATA(Room: 11) . . . 70
ES66: RECENT ADVANCES IN FUNCTIONAL DATA ANALYSIS(Room: 7) . . . 71
ES68: COPULASIII (Room: 8) . . . 72
ES15: BAYESIAN SEMI-AND NONPARAMETRIC MODELLINGIII (Room: 9) . . . 72
ES02: PARALLEL MATRIX COMPUTATIONS AND APPLICATIONS(Room: 12) . . . 73
Parallel Session L – CFE (Sunday 02.12.2012 at 16:40 - 18:45) 75 CSI02: NEW METHODS IN DYNAMIC MODELING AND ECONOMETRICS(Room: Multipurpose) . . . 75
CS67: NON LINEAR MODELS FOR MACROECONOMICS(Room: 4) . . . 75
CS10: JUMPS IN PRICES AND VOLATILITIES(Room: 6) . . . 76
CS19: MODELLING AND FORECASTING FINANCIAL MARKETS(Room: 5) . . . 77
CS30: TIME-VARYING PARAMETER MODELS(Room: 1) . . . 77
CS37: NUMERICAL ANALYSIS AND COMPUTATION OF UNIT ROOT DISTRIBUTIONS(Room: 2) . . . 78
CS22: WAVELETS AND MACROECONOMIC ANALYSIS(Room: 3) . . . 79
Parallel Session L – ERCIM (Sunday 02.12.2012 at 16:40 - 18:45) 81 ES06: STATISTICS OF EXTREMES AND APPLICATIONSI (Room: 11) . . . 81
ES16: ROBUST FUNCTIONAL DATA ANALYSIS(Room: 13) . . . 82
ES17: STATISTICAL METHODS FOR NON-PRECISE DATA(Room: 8) . . . 82
ES34: MODEL VALIDATION(Room: 9) . . . 83
ES26: BIOSTATNET: YOUNG RESEARCHERS FORUMII (Room: 7) . . . 84
ES77: CONTRIBUTIONS TO LONGITUDINAL/SPATIAL DATA ANALYSIS(Room: 10) . . . 84
ES95: BAYESIAN STATISTICS(Room: 12) . . . 85
EP05: POSTER SESSIONV (Room: Hall) . . . 86
EP04: POSTER SESSIONIV (Room: Hall) . . . 88
Parallel Session M – CFE (Monday 03.12.2012 at 08:30 - 10:10) 90 CSI04: ADVANCES IN ECONOMETRICS(Room: Auditorium) . . . 90
CS04: QUANTITATIVE EVALUATION OF FISCAL POLICIES(Room: 6) . . . 90
CS05: BAYESIAN ECONOMETRICS WITH APPLICATIONS(Room: 3) . . . 91
CS20: RISK MANAGEMENT IN ENERGY MARKETS: MARKET DESIGN AND TRADING STRATEGIES(Room: 1) . . . 91
CS23: COUNTERPARTY CREDIT RISK,A TRANSVERSAL FINANCIAL REGULATION(Room: 4) . . . 92
CS32: FINANCIAL MARKETS LIQUIDITY(Room: 5) . . . 92
CS45: STATISTICAL SIGNAL EXTRACTION AND FILTERING(Room: Multipurpose) . . . 93
CS59: FILTERING AND MODELLING FINANCIAL TIME SERIES(Room: 2) . . . 94
Parallel Session M – ERCIM (Monday 03.12.2012 at 08:30 - 10:10) 95 ES67: HIGH DIMENSIONAL PROBLEMS IN APPLICATIONS TO GENETICS(Room: 9) . . . 95
ES39: OPTIMAL EXPERIMENTAL DESIGN(Room: 8) . . . 95
ES92: CLUSTERING AND CLASSIFICATION(Room: 10) . . . 96
ES72: NONPARAMETRIC AND ROBUST MULTIVARIATE METHODS(Room: 7) . . . 97
ES70: ROBUST METHODS FOR COMPLEX DATA(Room: 13) . . . 97
ES50: CONTRIBUTIONS TO TIME SERIES MODELING AND COMPUTATION(Room: 11) . . . 98
ES79: STATISTICS OF EXTREMES AND APPLICATIONSII (Room: 12) . . . 99
Parallel Session N – CFE (Monday 03.12.2012 at 10:40 - 12:20) 100 CS07: MEASURING SYSTEMIC RISK(Room: Multipurpose) . . . 100
CS39: BAYESIAN FINANCIAL ECONOMETRICS(Room: 3) . . . 100
CS17: STATISTICAL SIGNAL PROCESSING APPLIED TO ASSET MANAGEMENT(Room: 1) . . . 101
CS41: ESTIMATING THE EFFECTS OF FISCAL POLICY(Room: 2) . . . 101
CS97: COINTEGRATION(Room: 4) . . . 102
CS98: FINANCIAL TIME SERIESI (Room: 6) . . . 103
CS03: CONTRIBUTIONS TO FINANCIAL MARKETS AND MACRO(Room: 5) . . . 103
Parallel Session N – ERCIM (Monday 03.12.2012 at 10:40 - 12:20) 105 ESI03: ADVANCES IN NONPARAMETRIC AND ROBUST MULTIVARIATE METHODS(Room: Auditorium) . . . 105
ES03: IMPRECISION IN STATISTICAL DATA ANALYSIS(Room: 11) . . . 105
ES13: RESAMPLING PROCEDURES FOR DEPENDENT DATA(Room: 9) . . . 106
ES22: NONPARAMETRIC AND ROBUST STATISTICS(Room: 7) . . . 106
ES69: MIXTURE MODELS WITH SKEW-NORMAL OR SKEW T-COMPONENT DISTRIBUTIONS(Room: 13) . . . 107
ES43: COMPOSITIONAL DATA ANALYSIS: ADVANCES AND APPLICATIONS(Room: 8) . . . 108
ES09: STATISTICAL ALGORITHMS AND SOFTWARE(Room: 12) . . . 108
ES60: STATISTICAL METHODS IN GENOMICS AND PROTEOMICS(Room: 10) . . . 109
Parallel Session P – CFE (Monday 03.12.2012 at 12:30 - 13:30) 111 CS77: UNIT ROOT(Room: 1) . . . 111
CS78: PORTFOLIO RISK MEASURES(Room: 10) . . . 111
CS79: FINANCIAL ECONOMETRICS: MODELS AND APPLICATIONS(Room: 6) . . . 112
CS80: MARKOV SWITCHING MODELS (Room: 11) . . . 112
CS81: MODELS FOR FINANCIAL AND COMMODITY MARKETS(Room: 13) . . . 113
CS69: FINANCIAL MARKETS AND COPULAS(Room: 9) . . . 113
CS92: FINANCIAL ECONOMETRICS: INFERENCES(Room: 3) . . . 114
CS94: TIME SERIES ECONOMETRICSII (Room: 2) . . . 114
CS85: FINANCIAL MARKETSII (Room: 8) . . . 115
CS76: CONTRIBUTIONS TOBAYESIAN ECONOMETRICS AND APPLICATIONS(Room: Multipurpose) . . . 115
CS68: PANEL DATA (Room: 5) . . . 116
CS25: CONTRIBUTIONS ON SYSTEMIC RISK(Room: 4) . . . 116
CS02: FORECASTING FINANCIAL MARKETS(Room: 7) . . . 117
CS83: FINANCIAL MODELLING AND APPLICATIONS(Room: 12) . . . 117
Parallel Session Q – ERCIM (Monday 03.12.2012 at 15:00 - 16:40) 118 ES33: ADVANCES IN DISTANCE-BASED METHODS AND APPLICATIONS(Room: 7) . . . 118
ES65: LONGITUDINAL/SPATIAL DATA ANALYSIS(Room: 11) . . . 118
ES44: APPLIED STATISTICS(Room: 13) . . . 119
ES61: IMPRECISE PROBABILITIES AND DATA ANALYSIS(Room: 12) . . . 120
ES52: MODELS FOR TIME SERIES AND LIFE FORECASTING(Room: 9) . . . 120
ES57: NONPARAMETRIC INFERENCE FORLEVY PROCESSES(Room: 8) . . . 121
ES73: MIXTURE MODELS(Room: Auditorium) . . . 122
ES21: STATISTICAL GENETICS/BIOINFORMATICS(Room: 10) . . . 122
Parallel Session Q – CFE (Monday 03.12.2012 at 15:00 - 16:40) 124 CS91: COMPUTATIONAL METHODS IN ECONOMETRICS (Room: 4) . . . 124
CS96: FINANCIAL ECONOMETRICS(Room: 6) . . . 124
CS75: FINANCIAL TIME SERIESII (Room: Multipurpose) . . . 125
CS31: CONTRIBUTIONS TO TIME-VARYING PARAMETER MODELS(Room: 5) . . . 126
CS42: CONTRIBUTIONS TO BUSINESS CYCLE ANALYSIS(Room: 1) . . . 127
CS51: CONTRIBUTIONS TO JUMPS AND VOLATILITIES(Room: 2) . . . 127
CS84: ENERGY MARKETS(Room: 3) . . . 128
Parallel Session S – ERCIM (Monday 03.12.2012 at 17:10 - 18:10) 129 ES83: HEALTH DATA AND MEDICAL STATISTICS(Room: 13) . . . 129
ES90: DESIGNS AND SURVEYS(Room: 5) . . . 129
ES71: SPATIAL DATA ANALYSIS(Room: 12) . . . 130
ES84: QUANTILE REGRESSION(Room: 3) . . . 130
ES55: CONTRIBUTIONS TO CIRCULAR AND SPHERICAL DATA ANALYSIS(Room: Multipurpose) . . . 131
ES91: EXPLORATORY MULTIVARIATE ANALYSIS(Room: 1) . . . 131
ES93: STATISTICAL MODELLING(Room: 6) . . . 132
ES94: COMPUTATIONAL STATISTICS(Room: 4) . . . 132
ES80: COMPOSITIONAL DATA ANALYSIS AND RELATED METHODS(Room: 7) . . . 132
ES85: MODELS AND COMPUTATIONAL TOOLS IN DATA ANALYSIS(Room: 10) . . . 133
ES30: CONTRIBUTIONS TO OPTIMIZATION HEURISTICS IN ESTIMATION AND MODELLING(Room: 11) . . . 133
ES96: FACTOR ANALYSIS AND CATEGORICAL DATA(Room: 8) . . . 134
ES82: METHODS FOR APPLIED STATISTICS(Room: 9) . . . 134
ES78: MODEL SELECTION (Room: 2) . . . 135 137
E389: Robust segmentation through Hotelling T2test
Presenter: Marco Riani, University of Parma, Italy Co-authors: Andrea Cerioli, Anthony Atkinson
A form of robust segmentation using the forward search that allows the data to determine the number of clusters is described. Similarly to other existing robust methods of cluster analysis we also allow for outliers and so do not force all units to be clustered. Given that our analysis relies on forward plots of particular statistics, in order to provide sensitive inferences about the existence of clusters, it is necessary to augment such graphs with envelopes of the distributions of the statistics being plotted. We focus on a sort of Hotelling t-test where the two samples are made up respectively of the units which are inside and outside the subset at step m of the forward search. This allows for a robust split of each tentative group in two separate subgroups which could be useful also in hierarchical divisive clustering.
E527: Constrained EM algorithms for Gaussian mixtures of factor analyzers Presenter: Salvatore Ingrassia, University of Catania, Italy
Co-authors: Francesca Greselin
Mixtures of factor analyzers are becoming more and more popular in the area of model based clustering of high-dimensional data. In data modeling, according to the likelihood approach, it is well known that the loglikelihood function may present spurious maxima and singularities and this is due to specific patterns of the estimated covariance structure. To reduce such drawbacks, we propose a constrained procedure which maintains the eigenvalues of the covariance structure into suitable ranges. Applications of this approach in robust clustering is then outlined.
E563: Robust conditional tests for elliptical symmetry
Presenter: Isabel Rodrigues, Technical University of Lisbon and CEMAT, Portugal Co-authors: Ana Bianco, Graciela Boente
A robust procedure for conditional testing the hypothesis of elliptical symmetry is presented. That also provides a specialized test of multivariate normality. We derive the asymptotic behaviour of the robust conditional testing procedure under the null hypothesis of multivariate normality and under an arbitrary elliptically symmetric distribution. Their influence function is also studied. A simulation study allows us to compare the behaviour of the classical and robust test, under different contamination schemes.
ES01 Room 2 MATRIX COMPUTATIONS AND STATISTICS Chair: Ahmed Sameh
E1060: On some matrix based methods for analyzing networks and text Presenter: E. Gallopoulos, University of Patras, Greece
Co-authors: V. Kalantzis, E.-M. Kontopoulou, C. Bekas
Matrix based methods in areas such as sociometrics and text mining has been established for some time but in recent years the field has been growing with great strides in order to cope with the vast increase in the scale of social and other networks and the massive amounts of text available over the Web by attempting the best possible use of the capabilities of modern computer systems. We will present some of our work in network and text mining where matrix iterative methods and statistics meet. Specifically, we will show methods for estimating graph centrality suitable for large networks. We will also show some new developments on a software environment, the Text to Matrix Generator MATLAB Toolbox (TMG), for dimensionality reduction and its application in text mining.
E865: Window estimation of the general linear model with singular dispersion matrix Presenter: Stella Hadjiantoni, Queen Mary, University of London, United Kingdom Co-authors: Erricos John Kontoghiorghes
The re-estimation of the least squares solution after observations are deleted, known as downdating, is often required. The problem of deleting observations from the general linear model (GLM) with a possible singular dispersion matrix is considered. A new method to estimate the downdated GLM, updates the original model with the imaginary deleted observations. This results in a non-positive definite dispersion matrix which comprises complex covariance values. For the case of a non singular dispersion matrix, this updated GLM has been proved to give the same normal equations than the downdated model. The proposed updated GLM is formulated as a generalized linear least squares problem (GLLSP). The main computational tool is the generalized QR decomposition (GQRD) which is employed based on hyperbolic Householder transformations; however, no complex arithmetic is used in practice. The special structure of the matrices and previous computations are efficiently utilized. E1046: Computational strategies for non-negativity model selection
Presenter: Cristian Gatu, Alexandru Ioan Cuza University of Iasi, Romania Co-authors: Erricos John Kontoghiorghes
The problem of regression subset selection under the condition of non-negative coefficients is considered. The straightforward solution would be to estimate the corresponding non-negative least squares of all possible submodels and select the best one. A new computationally efficient procedure which computes only unconstrained least squares is proposed. It is based on an alternative approach to quadratic programming that derives the non-negative least squares by solving the normal equations for a number of unrestricted least squares subproblems. The algorithm generates a combinatorial tree structure that embeds all possible submodels. This innovative approach is computationally superior to the straightforward method. Specifically, it reduces the double exponential complexity to a a single traversal of a tree structure. The computational efficiency of the new selection strategy is further improved by adopting a branch-and-bound device that prunes non-optimal subtrees while searching for the best submodels. The branch-and-bound algorithm is illustrated with a real dataset. Experimental results on artificial random datasets confirm the computational efficacy of the new strategy and demonstrates its ability to solve large model selection problems that are subject to non-negativity constrains.
E1047: A GSVD strategy for estimating the SEM and SURE models
Presenter: Mircea Ioan Cosbuc, Alexandru Ioan Cuza University of Iasi, Romania Co-authors: Cristian Gatu, Erricos John Kontoghiorghes
Computational strategies for estimating the Simultaneous Equations Model and the Seemingly Unrelated Regression Equations are proposed. The methods use the Generalized Singular Value Decomposition as the main numerical tool. They exploit the block diagonal and banded structure of the matrices involved in the factorization and do not presume that the covariance matrices are nonsingular. An efficient implementation of these methods is described and its performance is compared to classical methods that treat the models as Generalized Linear Models. Not only are the procedures faster for large systems, but they also preserve a banded structure of the data matrices, allowing the efficient storage of the sparse matrices involved. The algorithms make use of the LAPACK and BLAS functions through their C interfaces.
