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X-WR-CALDESC:Events for CREST
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TZID:Europe/Helsinki
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TZOFFSETFROM:+0200
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DTSTART:20250330T010000
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BEGIN:VEVENT
DTSTART;VALUE=DATE:20251210
DTEND;VALUE=DATE:20251213
DTSTAMP:20260709T235531
CREATED:20251208T092822Z
LAST-MODIFIED:20251208T092834Z
UID:18626-1765324800-1765583999@crest.science
SUMMARY:Workshop on Advances in MCMC Methods
DESCRIPTION:Nicolas Chopin will participate to the workshop on Advances in MCMC Methods and present his paper “What is actual the complexity of tempering (SMC)? \nWhat is actual the complexity of tempering (SMC) ? \nThere is some discrepancy in the literature regarding the complexity of tempering with respect to d\, the dimension of the sampling space. The complexity is partly determined by the length of the temperature ladder\, that is\, the sequence of tempering exponents 0=lambda_0 < … < lambda_T = 1. In the AIS (annealed importance sampling) literature\, it is often recommended to take T = O(d). Some SMC (Sequential Monte Carlo) papers instead suggest that ESS-based criteria leads to T=O(d^{1/2}).\nIn this talk\, I will present results from both a recent paper (with Francesca Crucinio and Anna Korba\, ICML 2024) and some preliminary work (with Yvann Le Fay and Matti Vihola) that shed light on this discrepancy. Basically\, for moments with respect to the target distribution\, T=O(d^{1/2})$ suffices to leads to estimates with variance O(1). However\, for the normalising constant\, variance is then O(T) = O(d^{1/2})$.\nThe actual complexity of the considered sampler will also depend\, of course\, on the mixing properties of the MCMC kernels used to rejuvenate the particles. I will explain how we can exploit some existing\, non-asymptotic results on such kernels to obtain the overall complexity of the sampler. \n
URL:https://crest.science/event/advances-in-mcmc-methods/
CATEGORIES:Conferences and Workshops,Statistics
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BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20251211T100000
DTEND;TZID=Europe/Helsinki:20251211T110000
DTSTAMP:20260709T235531
CREATED:20251031T130604Z
LAST-MODIFIED:20251031T130604Z
UID:18537-1765447200-1765450800@crest.science
SUMMARY:Amedeo ANDRIOLLO  (Université Paris-Dauphine PSL)  "Causality versus Serial Correlation: an Asymmetric Portmanteau Test"
DESCRIPTION:Finance-Insurance\nTime: 10.00 am\nDate:11th of December 2025\nRoom 3001 \nAmedeo ANDRIOLLO (Université Paris-Dauphine PSL) “Causality versus Serial Correlation: an Asymmetric Portmanteau Test” \nAbstract : I study the problem of testing for noncausality in mean (one-sided conditional mean independence) between two multivariate time series within the class of testing procedures based on serial cross-correlation. Existing tests in this class either require parametrization of the joint process or are characterized under the null hypothesis of mutual independence. As a result\, these tests may suffer from size distortions when misspecifying inverse causality\, i.e.\, dependencies in the causal direction opposite to the one being tested. I propose a modified Portmanteau test statistic that incorporates a correction term to offset the influence of inverse causality\, thereby eliminating the need to fully model the joint dynamics. I demonstrate that the proposed test statistic converges asymptotically to a standard normal distribution under the null hypothesis of noncausality in mean\, resulting in correct asymptotic size. As an empirical application\, I explore the statistical properties of my proposed test by studying three widely used measures of macroeconomic structural shocks\, showing that the proposed test provides more reliable inference than the benchmark test. \nOrganizers:  Jean-Michel ZAKOIAN \n  \n
URL:https://crest.science/event/amedeo-andriollo-universite-paris-dauphine-psl-causality-versus-serial-correlation-an-asymmetric-portmanteau-test/
CATEGORIES:Finance-Insurance,Seminars
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DTSTART;TZID=Europe/Helsinki:20251211T110000
DTEND;TZID=Europe/Helsinki:20251211T120000
DTSTAMP:20260709T235531
CREATED:20251031T125956Z
LAST-MODIFIED:20251031T125956Z
UID:18536-1765450800-1765454400@crest.science
SUMMARY:Pierluigi VALLARINO (Universita della Svizzera Italiana\, Lugano Switzerland)  "A General randomized test for alpha"
DESCRIPTION:Finance-Insurance\nTime: 11.00 am\nDate:11th of December 2025\nRoom 3001 \nPierluigi VALLARINO (Universita della Svizzera Italiana\, Lugano Switzerland) “A General randomized test for alpha” \nAbstract : We propose a methodology to construct tests for the null hypothesis that the pricing errors of a panel of asset returns are jointly equal to zero in a linear factor asset pricing model – that is\, the null of “zero alpha”. We consider\, as a leading example\, a model with observable\, tradable factors\, but we also develop extensions to accommodate for non-tradable and latent factors. The test is based on equation-by-equation estimation\, using a randomized version of the estimated alphas\, which only requires rates of convergence. The distinct features of the proposed methodology are that it does not require the estimation of any covariance matrix\, and that it allows for both N and T to pass to infinity\, with the former possibly faster than the latter. Further\, unlike extant approaches\, the procedure can accommodate conditional heteroskedasticity\, non-Gaussianity\, and even strong cross-sectional dependence in the error terms. We also propose a de-randomized decision rule to choose in favor or against the correct specification of a linear factor pricing model. Monte Carlo simulations show that the test has satisfactory properties and it compares favorably to several existing tests. The usefulness of the testing procedure is illustrated through an application of linear factor pricing models to price the constituents of the S&P 500. \n  \nOrganizers:  Jean-Michel ZAKOIAN \n  \n
URL:https://crest.science/event/pierluigi-vallarino-universita-della-svizzera-italiana-lugano-switzerland-a-general-randomized-test-for-alpha/
CATEGORIES:Finance-Insurance,Seminars
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DTSTART;TZID=Europe/Helsinki:20251211T140000
DTEND;TZID=Europe/Helsinki:20251211T153000
DTSTAMP:20260709T235531
CREATED:20250903T091939Z
LAST-MODIFIED:20251210T101132Z
UID:18323-1765461600-1765467000@crest.science
SUMMARY:Mads MEIER JÆGER (University of Copenhagen) - "Breadth\, Depth\, or Consecration? Omnivorousness Tastes in Music and Perceptions of Status and Competence"
DESCRIPTION:Sociology Seminar \nTime: :14:00 pm – 15:30 pm \nDate: 11th of december\nRoom : 3049 \n  \nMads MEIER JÆGER (University of Copenhagen) – ” Breadth\, Depth\, or Consecration? Omnivorousness Tastes in Music and Perceptions of Status and Competence” \n  \nAbstract :   \n“This study examines whether omnivorous music tastes—broad preferences spanning multiple genres—create more favorable perceptions of status and competence compared to traditional highbrow–lowbrow distinctions. Using a pre-registered survey experiment\, researchers presented respondents with vignettes of hypothetical individuals’ top 10 most-streamed artists\, manipulating four key attributes: number of genres (omnivorousness)\, genre consecration level\, listening volume (voracity)\, and artist consecration. Data on genre and artist consecration came from a separate survey of 1\,284 respondents. Results reveal distinct patterns in how musical taste affects social perceptions. Omnivorous tastes (listening to more genres) enhanced perceptions of sociability and cosmopolitanism\, with people viewing omnivores as more social\, creative\, and open-minded. Conversely\, preferences for more consecrated genres like classical music and jazz improved perceptions of traditional status markers—social rank\, economic competence\, cultural sophistication\, and trustworthiness—but decreased sociability ratings. Artist-level consecration and listening volume showed minimal effects on perceptions. These findings suggest that omnivorous and consecrated tastes operate through different mechanisms: omnivorous preferences signal modern social capital (creativity\, sociability)\, while consecrated genre preferences signal traditional cultural capital (wealth\, sophistication). This supports theories that contemporary cultural distinction involves both traditional highbrow-lowbrow hierarchies and newer omnivore–univore divisions. This study is joint work with Rikke Haudrum Rasmussen and Mikkel Haderup Larsen.” \nLien zoom : https://zoom.us/j/98418855998?pwd=qJDmO3Xt4Y4p2nKcnV873LHpgGeId0.1 \nOrganizers:\nPaola TUBARO (Pôle sociologie CREST) \nPatrick PRÄG (Pôle sociologie CREST) \nJulia NICOLAS  (Pôle sociologie CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/https-scholar-google-dk-citationsusersf0nzk4aaaajhlda/
CATEGORIES:Seminars,Sociology
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