In the following we show how it is possible to obtain parallelizable, unbiased and computationally cheap estimates of Crossed random effects models with a linear cost in the number of datapoints (and paramaters) exploiting couplings. Crossed random effects models (CREM) CREM model a continuous response variables \(Y\) as depending on ...

Algorithmic Fairness Tuesday, October 3rd, 2023, 7:30 PT / 10:30 ET / 15:30 CET 2nd joint webinar of the IMS New Researchers Group, Young Data Science Researcher Seminar Zürich and the YoungStatS Project. When & Where: Tuesday, October 3rd, 20...

Testing differences: from ANOVA to BNP Detecting and quantifying differences between groups is a problem of crucial significance across various fields, often addressed by practitioners using standard analysis of variance (ANOVA). However, ANOVA is subject to several well-known limitations. It primarily detects differences only in group means, assumes homogeneity within ...

Introduction Abundant multivariate spatial data from the natural and environmental sciences demands research on the joint distribution of multiple spatially dependent variables (Wackernagel (2013), Cressie and Wikle (2011), Banerjee and Gelfand (2014)). Here, our goal is to estimate associations over spatial locations for each variable and those among the variables. In this document, ...

Meanders, monotone meanders, and Baxter permutations Versions of the following question can be traced back at least to the work of Henri Poincaré (Poincaré (1912)): In how many ways a simple loop in the plane can cross a line a specified number of ...

Overview In many real data applications we are often required to model jointly \(d\geq 3\) continuous random variables, denoted as \(Y_1,\dots,Y_d\) . The multivariate distribution, which allows us to describe the joint behaviour of those variables, can be denoted as \(F(Y_1,\dots,Y_d)=P(Y_1\le ...

Passive scalar turbulence is the study of how a scalar quantity, such as temperature or salinity, is transported by an incompressible fluid. This process is modeled by the advection diffusion equation \[\begin{equation} \partial_tg_t + u_t\cdot\nabl...

Recent advances in extreme value theory Thursday, April 20th, 6:00 PT / 9:00 ET / 15:00 CET Extreme value theory is concerned with the accurate statistical assessment of the risk of rare events. Such extreme events have small occurrence probabiliti...

Rough Volatility New insights about the regularity of the instantaneous variance obtained from realized variance data (see Gatheral, Jaisson, and Rosenbaum (2018), Bennedsen, Lunde, and Pakkanen (2021, to appear), Fukasawa, Takabatake, and Westphal...

Overview The Procrustes problem aims to match matrices using similarity transformations (i.e., rotation, reflection, translation, and scaling transformations) to minimize their Frobenius distance. It allows the comparison of matrices with dimension...

Distribution generalization in causal inference Monday, March 20th, 2023, 7:00 PT / 10:00 ET / 15:00 CET 1st joint webinar of the IMS New Researchers Group, Young Data Science Researcher Seminar Zürich and the YoungStatS Project. When & Where: ...

Exchangeable arrays have been studied since the late 70’s (Aldous (1983), Kallenberg (2005)). Eagleson and Weber (1978) and Silverman (1976) establish Strong Law of Large Numbers and Central Limit Theorems for such arrays. Because non-sparse networks and multiway clustering are related to exchangeable arrays, they have received recent attention in statistics and econometrics (Davezies, ...

Overview Traditionally the excitation noise of spatial and temporal models is Gaussian. Take, for instance, an AR1 (autoregressive of order 1) process, where the increments \(x_{i+1}-\rho x_i, \ \ |\rho|

Dear Followers of the YoungStatS project, Dear All! It has been an exciting year for our project, including 7 One World YoungStatS webinars and blogposts from leading authors in different areas of statistics, probability and econometrics. In partic...

Overview In this post we first review the concept of semi-parametric copula and the accompanying estimation procedure of pseudo-likelihood estimation (PLE). We then generalize the estimation problem to the setting where the copula signal is hidden ...

Abstract The mixture cure model in survival analysis has received large and growing attention in the last few decades. Here we present an overview drawing together early results and some recent new developments, and pointing out areas where further...

Complex systems are difficult to understand. We need good tools to study the interactions that define such systems. In this blog post, we describe how the framework in paper Mogensen and Hansen (2022) provides such a tool. This summary of the paper...

Abstract It is increasingly common for data to be collected adaptively, where experimental costs are reduced progressively by assigning promising treatments more frequently. However, adaptivity also poses great challenges on post-experiment inferen...

Abstract It is increasingly common for data to be collected adaptively, where experimental costs are reduced progressively by assigning promising treatments more frequently. However, adaptivity also poses great challenges on post-experiment inferen...

Nonparametric inference based on statistical depth Monday, October 17th, 7:00 PT / 10:00 ET / 16:00 CET The notion of center of an object, be it a set of observations, a physical object or a random variable, is difficult to define. This motivated t...