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Activity Details

402 * Tue, 8/1/2017, 2:00 PM - 3:50 PM CC-320
Variance, Change Points, and Outliers — Contributed Papers
Business and Economic Statistics Section
Chair(s): Robert Reynolds
2:05 PM A Thresholding-Based Prewhitened Long-Run Variance Estimator and Its Dependence-Oracle Property Ting Zhang, Boston University
2:20 PM Multivariate Stochastic Volatility Modeling via the Spectral Decomposition Victor Solo, University of New South Wales
2:35 PM Addressing 'Consistent but Fragile:' New Tools for Robust Covariance Matrix Estimation and Outlier Identification Randal Verbrugge, Federal Reserve Bank of Cleveland ; Christian Garciga, Federal Reserve Bank of Cleveland
2:50 PM Estimation of Correlation Matrix with Block Structure Xialu Liu, San Diego State University
3:05 PM Asymptotic Distribution Free Change-Point Detection for Modern Data Lynna Chu, University of California, Davis ; Hao Chen, University of California, Davis
3:20 PM Variance Change Point Detection and Its Variations for Robustness Kyungduk Ko, Boise State University
3:35 PM Adaptive Detection of Variance Change Point — Santosh Srivastava, IBM Research, New Delhi India ; Ritwik Chaudhuri, IBM India Pvt. ltd. ; Ankur Narang, IBM Research New Delhi India ; Maya Gupta, Google Research ; Sudhanshu Singh, IBM India Pvt. ltd.
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