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Three independent modules will take place. Details are provided below.

Dates: 11-13 December 2024.
Venue: Bush House, King’s College London, UK. ( Strand campus )
Address: Strand, London WC2R 2LS, United Kingdom.
Room: The sessions will take place in different rooms (see details in the programme below). For virtual access, see below.

HiTEc offers the possibility of applying for grants (see below).

Regularization methods in statistics with an application to brain imaging studies.

Presenters: Jaroslaw (Jarek) Harezlak, Indiana University, USA.
Email: Contact

Dates: 11th December 2024 (morning, early afternoon).

TBA.

Bayesian nonparametrics methods.

Presenters: Michele Guindani, UCLA, USA, and Francesco Denti, University of Padua, Italy.
Email: Contact

Dates: 11th December 2024 afternoon to 13th December 2024 morning.

This course provides a hands-on introduction to Bayesian Nonparametric methods, focusing on widely-used models like Dirichlet Processes and Pitman-Yor processes mixture modles. Through interactive sessions involving also coding exercises, participants will learn how to implement and apply these models using real-world data. The course also discusses more recent topics in Bayesian Nonparametrics, including hierarchical and nested nonparametric mixtures, mixtures of finite mixtures, and latest trends like biclustering and multi-view clustering for complex data structures.

Robust modelling of volatility and other non-negative variables.

Presenters: Genaro Sucarrat, BI Norwegian Business School, Norway.
Email: Contact

Dates: 13th December 2024 afternoon.

Autoregressive Conditional Heteroscedasticity (ARCH) models can successfully be used to model uncertainty, volatility, and other non-negative variables (duration, volume, etc.). This tutorial provides a (biased) overview of robust models within the ARCH class, both univariate and multivariate versions (the latter via equation-by-equation methods).

Here, "robust" means that the estimation method is valid under density mis-specification, or that certain types of non-stationarities are allowed, or both. The models and methods covered have proved themselves very useful in applications, and are freely available in the statistical software R. The tutorial provides an overview of the models combined with practical exercises in R, thus enabling participants to get a hands-on experience in the implementation of the methods.

The instructor of the tutorial is Dr. Genaro Sucarrat (BI Norwegian Business School): https://www.sucarrat.net/

References

• C. Amado and T. Teräsvirta (2013): "Modelling volatility by variance decomposition", Journal of Econometrics 175, pp. 142–153, https://dx.doi.org/10.1016/j.jeconom.2013.03.006
• S. Campos-Martins and Sucarrat (2024): "Modelling Nonstationary Financial Volatility with the R Package tvgarch (2024)", Journal of Statistical Software 108, pp. 1-38, https://doi.org/10.18637/jss.v108.i09
• R. Engle (2002): "Dynamic Conditional Correlation", Journal of Business and Economic Statistics 20, pp. 339-350, https://doi.org/10.1198/073500102288618487
• R. Engle and J.R. Russell (1998): "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data", Econometrica 66, pp. 1127-1162, https://doi.org/10.2307/2999632
• C. Francq and G. Sucarrat (2023): "Volatility Estimation when the Zero-Process is Nonstationary", Journal of Business and Economic Statistics 41, pp. 53-66, https://doi.org/10.1080/07350015.2021.1999821
• C. Francq and L.Q. Thieu (2019): "QML Inference for volatility models with covariates", Econometric Theory 35, pp. 37-72, https://doi.org/10.1017/S0266466617000512
• C. Francq and J.M. Zakoian (2016): "Estimating multivariate volatility models equation by equation", Journal of the Royal Statistical Society Series B, Volume 78, pp. 613–635, https://doi.org/10.1111/rssb.12126
• G. Sucarrat (2021): "garchx: Flexible and Robust GARCH-X Modelling", The R Journal 13, pp. 276-291, https://doi.org/10.32614/RJ-2021-057

• 09:30 - 11:00 Tutorial I (BH (NE)0.01)
• 11:00 - 11:30 Coffee break
• 11:30 - 12:30 Tutorial I (BH (NE)0.01)
• 12:30 - 14:00 Lunch break
• 14:00 - 15:30 Tutorial I (BH (NE)0.01)
• 15:30 – 16:00 Coffee break
• 16:00 – 18:00 Tutorial II (BH (NE)0.01)

Thursday, 12 December 2024

• 09:00 - 10:30 Tutorial II (BH (S)2.01)
• 10:30 - 11:00 Coffee break
• 11:00 - 12:30 Tutorial II (BH (S)2.01)
• 12:30 - 14:00 Lunch break
• 14:00 - 16:00 Tutorial II (BH (SE)2.10)
• 16:00 - 16:30 Coffee break
• 16:30 – 18:30 Tutorial II (BH (SE)2.10)

Friday, 13 December 2024

• 09:00 – 11:00 Tutorial II (BH (NE)-1.01)
• 11:00 - 11:30 Coffee break
• 11:30 - 13:30 Tutorial II (BH (NE)-1.01)
• 13:30 - 15:00 Lunch break
• 15:00 – 17:00 Tutorial III (BH (S)4.04)
• 17:00 – 17:30 Coffee break
• 17:30 – 19:30 Tutorial III (BH (S)4.04)

PhD students and young researchers, according to the COST definition (under 40 years), from eligible COST countries* can apply for a limited number of grants. The granted participants will be reimbursed a daily allowance of 160 euros per day plus travel expenses of up to 350 euros.

• In order to apply for the grants, candidates should submit their CV by e-mail to hiteccostaction@gmail.com.
• Deadline for applications: 6th September 2024.
• Granted candidates will be informed by e-mail after the deadline and must send their flight tickets and registration 7 days after the notification to secure their grants. Otherwise, their grants will be revoked and assigned to other candidate.
• The granted candidates must attend all the sessions and sign the attendance list in order to obtain their grants.

*Eligible COST countries: Albania, Armenia, Austria, Belgium, Bosnia and Herzegovina, Bulgaria, Croatia, Cyprus, Czech Republic, Denmark, Estonia, Finland, France, Georgia, Germany, Greece, Hungary, Iceland, Ireland, Italy, Latvia, Lithuania, Luxembourg, Malta, the Republic of Moldova, Montenegro, The Netherlands, The Republic of North Macedonia, Norway, Poland, Portugal, Romania, Serbia, Slovakia, Slovenia, Spain, Sweden, Switzerland, Turkey, Ukraine, United Kingdom and Israel.

• The granted candidates must attend all the sessions of the course in order to obtain their grants.

Organized by the HiTEc COST Action CA21163 with the collaboration of CFE-CMStatistics.

Sponsored by COST.

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