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X-WR-CALDESC:Events for CREST
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DTSTART:20240331T010000
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DTSTART;TZID=Europe/Helsinki:20240328T110000
DTEND;TZID=Europe/Helsinki:20240328T120000
DTSTAMP:20260711T013611
CREATED:20240229T132145Z
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SUMMARY:Benjamin POIGNARD (Osaka University) - "Factor multivariate stochastic volatility models"
DESCRIPTION:Finance & Financial Econometrics : \nTime: 11.00 am\nDate: 28th of March 2023\nRoom 3001 \nBenjamin POIGNARD (Osaka University) – “Factor multivariate stochastic volatility models” \nAbstract :Factor modelling provides a pertinent compromise between parsimony and flexibility when specifying the co-movements of high-dimensional random vectors. We accommodate a factor structure on multivariate stochastic volatility (MSV) models to handle vectors of high dimension. In this so-called factor MSV (fMSV) model\, the factor structure is estimated under the sparse approximate factor assumption and under the sparse assumption on the factor loading matrix. The estimation procedure of the dynamics of the log-volatilities relies on the state-space specification. Based on simulated and real data experiments\, the in-sample and out-of-sample forecasting performances of our procedure are compared with some competing MGARCH-based models. \nOrganizers:\n\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/benjamin-poignard-osaka-university-factor-multivariate-stochastic-volatility-models/
CATEGORIES:Finance-Insurance,Financial Econometrics,Seminars
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DTSTART;TZID=Europe/Helsinki:20240328T140000
DTEND;TZID=Europe/Helsinki:20240328T151500
DTSTAMP:20260711T013611
CREATED:20240322T092434Z
LAST-MODIFIED:20240322T092434Z
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SUMMARY:Antoine MAILLARD (ETH Zurich) - From the theory of disordered systems to the mathematics of data science
DESCRIPTION:Statistical Seminar: Every Monday at 2:00 pm.\nTime: 2:00 pm – 3:15 pm\nDate: 28th March 2024\nPlace : 3001 \n  \nAntoine MAILLARD (ETH Zurich) – From the theory of disordered systems to the mathematics of data science \n  \nAbstract: \nI will introduce a connection between statistical learning or high-dimensional inference\, and models of statistical mechanics in which a large number of elementary units interact with each other in a disordered manner. This relationship is the basis of a vast mathematical program leveraging tools and insights from the physics of disordered systems to improve our understanding of high-dimensional probabilistic models\, with applications e.g. in machine learning and constraint satisfaction problems. I will then detail concrete examples of this program by presenting recent advances concerning the phase retrieval problem\, as well as a challenging open problem of high-dimensional probability and statistics known as the ellipsoid fitting conjecture. \n  \n  \nOrganizers:\nJaouad MOURTADA (CREST)\, Anna KORBA (CREST)\, Karim LOUNICI (CMAP) \n  \nSponsors:\nCREST-CMAP \n
URL:https://crest.science/event/antoine-maillard-eth-zurich-from-the-theory-of-disordered-systems-to-the-mathematics-of-data-science/
CATEGORIES:Seminars,Statistics
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DTSTART;TZID=Europe/Helsinki:20240328T181000
DTEND;TZID=Europe/Helsinki:20240328T200000
DTSTAMP:20260711T013611
CREATED:20240326T092259Z
LAST-MODIFIED:20240326T092323Z
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SUMMARY:#TechForFuture
DESCRIPTION:Un évènement La Tribune  \nTable ronde : “IA et désinformation\, comment sauver nos démocraties ?” \n28 mars à 18h10 au Grand Rex \nParticipants : \n\nPaola TUBARO\nAnne ALOMBERT\nDavid COLON\n\nAnimation : Marine Protais\, journaliste à La Tribune \nhttps://techforfuture.fr/#1677080391542 \n  \n
URL:https://crest.science/event/techforfuture/
CATEGORIES:Conferences and Workshops,Sociology
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