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Seminars 2013-2014     


Wednesday, October 22, South Hall 5607F, 3:30-5PM, Refreshments served at 3:15 PM

Dr. Sreenivas Konda (UCSB)

Title: Consistency of Large Autocovariance Matrices

Abstract:We consider Autoregressive (AR) processes of large p, but less than n, to approximate a linear time series. Using Bartlett's formula and strong mixing conditions, we show the consistency of the large sample autocovariance matrix by banding procedure. These large sample autocovariance matrices are consistent in operator norm as long as (log p)/n goes to 0. Parameters of large AR(p) model are estimated using a regularization procedure and banding of the autocovariance matrix. We also briefly review application of banding in finding the inverse of sum of two special matrices. Real examples from physics and business  are used to illustrate the proposed methods.

Wednesday, November 5, South Hall 5607F, 3:30-5PM, Refreshments served at 3:15 PM

Dr. Wenguang Sun (USC)

Title: False Discovery Control in Large-Scale Spatial Multiple Testing

Abstract: This talk considers both point-wise and cluster-wise spatial multiple testing problems. We derive oracle procedures which optimally control the false discovery rate, false discovery exceedance and false cluster rate, respectively. A data-driven finite approximation strategy is developed to mimic the oracle procedures on a continuous spatial domain. Our multiple testing procedures are asymptotically valid and can be effectively implemented using Bayesian computational algorithms for analysis of large spatial data sets.

Numerical results show that the proposed procedures lead to more accurate error control and better power performance than conventional methods. We demonstrate our methods for analyzing the time trends in tropospheric ozone in eastern US. This is the joint work with Brian Reich, Tony Cai, Michele Guindani and Armin Schwartzman.

Wednesday, November 12, South Hall 5607F, 3:30-5PM, Refreshments served at 3:15 PM

Dr. Damla Senturk (UCLA)

Title: TBA




Wednesday, October 8, South Hall 5607F, 3:30-5PM, Refreshments served at 3:15 PM

Dr. Ania Supady-Chavan (KeyCorp)

Title: Time Series Modeling and Forecasting an application to Banks’ stress-testing process.

Abstract: I want to invite you to participate in a small presentation on how time series modeling can be performed to establish position during simulated stress. My goal is to gain your interest in the area of challenging current modeling techniques and looking beyond standard model assumptions testing to assess the true risk of the formulated model for the intended use. I am interested in exploring the procedures that happen behind the scenes of any code’s syntax to better explore statistics that play crucial role in assessing models performance as well as the forecasting process. The forecasting of next periods ahead is the process that I would like to emphasize the most.



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Statistics & Applied Probability
University of California
Santa Barbara, California 93106-3110
(805) 893-2129
South Hall 5607A