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Alexis DERUMIGNY (CREST) “About Kendall’s Regression”.

February 15, 5:30 pm - 6:30 pm

FINANCIAL ECONOMETRICS SEMINAR

Time: 17:30 pm – 18h30 pm
Date: 15th of February 2018
Place: Room 3001.

Alexis DERUMIGNY (CREST) “About Kendall’s Regression”.

Abstract: Conditional Kendall’s tau is a measure of dependence between two random variables, conditionally on some observed covariates.  We propose and study nonparametric estimators of such quantities using kernel smoothing techniques. Then, we assume a regression-type relation between conditional Kendall’s tau and covariates, in a parametric setting with possibly a large number of regressors. This model may be sparse, and the underlying parameter is estimated through a penalized criterion. The theoretical properties of all the estimators are stated. We prove non-asymptotic bounds with explicit constants that hold with high probability. We derive their consistency, their asymptotic law and some oracle properties.

 

Organizers:
Jean-Michel ZAKOIAN (CREST )

Sponsors:
CREST and ILB

Location:
Address
 : ENSAE ParisTech
5, avenue Henry Le Chatelier
91120 Palaiseau
How to come?

 

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Date:
February 15
Time:
5:30 pm - 6:30 pm
Event Categories:
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