[Forum SIS] Bocconi DEC Statistics Seminar - April 21st

[Isadora Antoniano]

Dear all,

We are glad to announce the next:



*DEC - Statistics Seminar*

Thursday,
* April 21st*

*Bocconi University,*

Room 3-E4-SR03

Via Rontgen 1 - 3rd floor

Time: *12:30 pm*



*Nils Hjort *( University of Oslo)

*"Confidence distributions for change-points and regime shifts"*


*Abstract: *

Suppose observation *y1…..yn* stem from a parametric model *f(y,T)* with
the parameter taking one value *TL* for *y1…..yτ* and for another
value *TR* for
*yR+1…..yn. *I will provide and examine two different general strategies
for not merely estimating the break point *τ * but also to complement such
an estimate with full confidence distributions, both for the change-point
and for associated measures of differences between the two levels of *T*
.The first idea involves testing homogeneity for the two segments to the
left and the right of a candidate change-point value at a fine-tuned level
of significance. Carrying out such a scheme requires having a
goodness-of-fit test for constancy of the parameter over a segment of
indices, and I also develop classes of such tests. The second general
method uses the log-likelihood function, profiled over the other
parameters, and I show how this may lead to confidence inference for *τ*.
The methods are illustrated for a couple of real data stories, with these
meeting different types of challenges.

Kind regards,

Raffaella Piccarreta and Isadora Antoniano



The DEC statistics seminars schedule is available at
http://www.unibocconi.eu/statseminar



*ATTENTION:*

If you are a guest and you do not have a Bocconi ID Card to access to the
Bocconi Buildings, please confirm your participation by sending an email to
martina.ercoli a unibocconi.it
In addition, we suggest to print, fill out and send the attached form (to
give your consent to personal data handling) via email to the same address.
In this way, the check-in procedure at the entrance will be faster and
easier.



***************************************************
Isadora Antoniano Villalobos
Assistant Professor
DEC - Department of Decision Sciences,
Bocconi University, via Guglielmo Röntgen 1 (3rd floor, room D1-09). 20136,
Milano.
email: isadora.antoniano a unibocconi.it

Web page: http://faculty.unibocconi.eu/isadoraantonianovillalobos
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