Category Archives: Trip

In the Alps, for a break

Last week, I was in France, after almost a month in Canada and in the U.S. Unfortunately, the university was closed… yes, closed, no way to get in. So I had to work from home, to finish (and submit) some papers, write some codes to get simulations to work on when I’ll get back… But now, it’s time for a 10 day break, in the Alps…

I will then get back to work a little bit (yes, even if the university is still closed in the beginning of August – French style), and then, there will be another week off…

 

 

Short trip in St Louis, MO

Now that my daughter is back with a friend of her in Montréal, I will start a (short) trip in the US, starting in St Louis, Missouri.

I will visit Ahmed in Saint Louis, Ahmed works for Wells Fargo. For French speaking people, Wells Fargo is very famous, because of Lucky Luke, the comics series.

I will then move to Detroit, to give a talk at the seminar at Ann Arbor (University of Michigan).

On my way to Montréal

Avant de descendre aux États-Unis, je serais pour quelques jours à Montréal. Ca sera l’occasion de revoir plein de monde… Je serais de retour en juillet. A oui, et toute la semaine prochaine, je squatterais sur Twitter le compte , et j’en suis pas peu fier… Ca sera l’occasion de parler un peu du quotidien d’un enseignant-chercheur (plus chercheur qu’enseignant en cette periode de l’annee…). A suivre sur twitter uniquement…

“Statistical Learning and Econometrics” Workshop at Erasmus University Rotterdam

This week, I will be in Rotterdam, at the WorkshopStatistical Learning and Data Science, with Trevor Hastie (Stanford University), Jason Roos (RSM-Erasmus University Rotterdam), David Martens (University of Antwerpen ), Didier Nibbering (ESE-Erasmus University Rotterdam) and Gérard Biau (Université Pierre et Marie Curie).

I will give a talk on quantile and expectile regressions. Slides are online.

Econometrics and Machine Learning

I will be in London, UK, at the Centre for Central Banking Studies, invited as a keynote speaker for a major conference. For my talk, on Econometric Models and Statistical Learning Techniques, the agenda is the follownig

  • introduction on High Dimensional Data and Modeling
  • foundations of econometric models, and probabilistic aspects
  • machine learning techniques, with a discussion on boosting, cross validation
  • classification, from the logistic regression to trees and random forest
  • machine learning tools that can be used in econometrics, such as bootstrap, principal component analysis / partial least squares, and instrumental variables and variable selection

Slides are avaible (as usual, the pdf version is more informative than the one on slideshare where animations are missing)

 

Econometrics: Learning from Statistical Learning Techniques

In two weeks, I will be invited as a keynote speaker in London, to give a talk on what can central bank policymakers learn from other disciplines. Which is an interesting question. Initially, I wanted to give a talk on actuarial science, large risks, and connexion with finance, but I will finally give a talk on connexions between Econometrics and Machine Learning, and how we can – as Econometricans – actually learn a lot from people coming from the Statistical Learning community – in the spirit of Varian (2013). I will upload the slides within the next ten days….