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DTSTART:20220327T010000
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DTSTART;TZID=Europe/Helsinki:20221215T103000
DTEND;TZID=Europe/Helsinki:20221215T233000
DTSTAMP:20260711T115400
CREATED:20221202T055547Z
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SUMMARY:Christian GOURIEROUX (Univ. of Toronto\, TSE\, and CREST) "Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood"
DESCRIPTION:The Financial Econometrics Seminar: \nTime: 10:30 pm\nDate: 15th of December 2022\nRoom 3001 \nChristian GOURIEROUX (Univ. of Toronto\, TSE\, and CREST) “Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood” \nAbstract : This paper considers nonlinear dynamic models where the main parame-ter of interest is a nonnegative matrix characterizing the network (contagion) effects. This network matrix is usually constrained either by assuming a lim-ited number of nonzero elements (sparsity)\, or by considering a reduced rank approach for nonnegative matrix factorization (NMF). We follow the latter approach and develop a new probabilistic NMF method. We introduce a new Identifying Maximum Likelihood (IML) method for consistent estimation of the identified set of admissible NMF’s and derive its asymptotic distribution.\nMoreover\, we propose a maximum likelihood estimator of the parameter ma-trix for a given non-negative rank\, derive its asymptotic distribution and the associated efficiency bound. \nJoint work : Joan JASIAK (York University). \n  \nOrganizers:\n\nJean-Michel ZAKOIAN  (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/christian-gourieroux-univ-of-toronto-tse-and-crest-structural-modelling-of-dynamic-networks-and-identifying-maximum-likelihood/
CATEGORIES:Finance-Insurance,Financial Econometrics
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