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).
Category Archives: Trip
Dependence in Finance and Insurance, Aegina, Greece
I will present results of the pricing games at the conference on Recent Developments in Dependence Modelling with Applications in Finance and Insurance in in Αίγινα, Greece tomorrow. Slides are now online,
“Statistical Learning and Econometrics” Workshop at Erasmus University Rotterdam
This week, I will be in Rotterdam, at the Workshop ‘Statistical 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….
Niort, Data Day
Lundi et mardi, je serais à Niort où la MAIF organise un Data Day avec plusieurs conférences (tables rondes) autour de la donnée
L’arrivée du digital créée de nouvelles opportunités, de nouveaux besoins, et de nouveaux risques. Dans ce contexte fortement évolutif et très complexe comment les personnes que nous sommes vont-ils évoluer autour de l’information de son usage et de sa gouvernance ? Quelles tendances peut-on observer ? Quelles compétences à quels horizons et pour quelles attentes ?
Probit Transformation for Nonparametric Kernel Estimation of the Copula Density, Lille
This Monday I will be in Lille to give a talk at the Journées de Statistiques. The talk will be based on the joint work with Gery Geenens and Davy Paindaveine, on “Probit transformation for nonparametric kernel estimation of the copula density”. The papier can be found online, on http://arxiv.org/abs/1404.4414
“Copula modelling has become ubiquitous in modern statistics. Here, the problem of nonparametrically estimating a copula density is addressed. Arguably the most popular nonparametric density estimator, the kernel estimator is not suitable for the unit-square-supported copula densities, mainly because it is heavily affected by boundary bias issues. In addition, most common copulas admit unbounded densities, and kernel methods are not consistent in that case. In this paper, a kernel-type copula density estimator is proposed. It is based on the idea of transforming the uniform marginals of the copula density into normal distributions via the probit function, estimating the density in the transformed domain, which can be accomplished without boundary problems, and obtaining an estimate of the copula density through back-transformation. Although natural, a raw application of this procedure was, however, seen not to perform very well in the earlier literature. Here, it is shown that, if combined with local likelihood density estimation methods, the idea yields very good and easy to implement estimators, fixing boundary issues in a natural way and able to cope with unbounded copula densities. The asymptotic properties of the suggested estimators are derived, and a practical way of selecting the crucially important smoothing parameters is devised. Finally, extensive simulation studies and a real data analysis evidence their excellent performance compared to their main competitors.”
The slides are available on Dropbox (it is a 54Mo file with animated pictures, that do not appear on the version below).
A short visit to Bristol, UK
Still in the region of Bath, in the UK. Saturday evening, we had a barbecue with Andreas Kyprianou. Among many other things, he mentioned the Stochastic Analysis and Applications research school that will be hosted in Ulan Bator, at the National University of Mongolia, this summer. I mention it here for those who might be interested to go there. The program is simply amazing!
Going to Lille, for a couple of days
I will be going to Lille, tomorrow, to visit Florian Pelgrin, at EDHEC. I will be giving a talk on Monday. I will spend some time in Lille, and be back for my course on Wednesday morning.
PhD Defense in Barcelona
Monday, a bit before noon, Leo Guelman (organisor of the Toronto R User Group, and author of the great uplift package) defended his PhD thesis, on Optimal Personalized Treatment Learning Models with Insurance Applications, supervized by Montserrat Guillén.
After the defense, I was invited to give an interview, on data science.
Back in Montréal
I will be in Montréal for the next two weeks,
The blog will be off, for a while.
Back to work, in Rennes
This is the end of the summer break. I will spend this year in Rennes. And probably also in various places, to work with colleagues, as well as working on some data science for actuaries programs. There will be more information on the blog, before the end of 2014. Including probably a lot of codes…
London, Bayes and the Lloyd’s
Monday, we really had a great conference in London.
It was a great pleasure since I did learn a lot of things. And also a great honor to be the last speaker. Tuesday morning, I wanted to go to Thomas Bayes’grave, which is the the graveyard next to the CASS Business School. I had a good a apriori about where the grave should be,
but to be honest, it was not possible to get close enough to be able to read the name on it (even if I now know that it is the large one in the right lower corner of the picture)
Actually, on the internet, you can find some picture where the stone is clean, so you can learn that the grave is the “cotton” one – at least, you can easily read that name.
It was actualy more simple to see William Blake’s grave, as well as Daniel Defoe’s.
Then, with Leo, we’ve been to the Lloyd’s to see some friends, as well as Richard Rogers’s building.
At the 11th floor, you have a lot of rooms for meetings, as well as old paintings, to tell a bit more about the history of the company,
The building is just amazing. Unfortunately, to get in, there is a dress code. A sort of strict one actually. Leo is working for RBC, so he casually wears a suit. But I don’t. I mean, I did have a shirt, but as someone mentioned, “there is no collar !” (I don’t want to put my friend into trouble for helping me getting in).
So, after going throught the basement, we’ve been able to reach the elevator, and go on top.
The building is not exactly located where Edward Lloyd got his coffee shop (even after moving at the end of 1691 on Lombard street), but the Lloyd’s is still a legend for anyone interested in the history of insurance, and more generally, the history of risk modeling (and management).
Càdiz, Nonparametric Statistics
Emmanuel Flachaire will be presenting some joint work in Càdiz, Spain, tomorrow evening, at the second conference of the International Society of NonParametric Statistics. Jeff invited me a few months ago, to go there, but unfortunately, I’ve already been moving a lot recently. The talk will be based on the same work that I mentioned at the SSC annual conference (Canadian Statistical Society), in Toronto, at the end of May. His talk is on quantiles and inequality indices estimation from heavy-tailed distribution. As mentioned in my previous post, we will upload the slides (and the paper) in a close future.
So, Emmanuel will go there, and enjoy the beach (and the conference, the program is truly amazing).
Toronto, Statistical Conference
I will be in Toronto this week, for the SSC annual conference (Canadian Statistical Society), to present some recent work, with Emmanuel Flachaire. Because of some administrative duty last week, I am a bit late, so I won’t be able to upload the slides before the talk. Sorry about that…
More to come when I’ll be back in Montréal !