BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Computational Optimisation Group - ECPv6.15.11//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-ORIGINAL-URL:http://optimisation.doc.ic.ac.uk
X-WR-CALDESC:Events for Computational Optimisation Group
REFRESH-INTERVAL;VALUE=DURATION:PT1H
X-Robots-Tag:noindex
X-PUBLISHED-TTL:PT1H
BEGIN:VTIMEZONE
TZID:UTC
BEGIN:STANDARD
TZOFFSETFROM:+0000
TZOFFSETTO:+0000
TZNAME:UTC
DTSTART:20140101T000000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=UTC:20150519T140000
DTEND;TZID=UTC:20150519T140000
DTSTAMP:20260521T093216
CREATED:20170124T102136Z
LAST-MODIFIED:20170124T102136Z
UID:552-1432044000-1432044000@optimisation.doc.ic.ac.uk
SUMMARY:Seminar: Estimating variance matrices
DESCRIPTION:Title: Estimating variance matricesSpeaker: Prof. Karim Abadir Affiliation: Imperial College Business SchoolLocation: Room 218 Huxley BuildingTime: 2:00pm \nAbstract.  This talk introduces a new method for estimating variance matrices. Starting from the orthogonal decomposition of the sample variance matrix\, we exploit the fact that orthogonal matrices are never ill-conditioned and therefore focus on improving the estimation of the eigenvalues. We estimate the eigenvectors from just a fraction of the data\, then use them to transform the data into approximately orthogonal series that deliver a well-conditioned estimator (by construction)\, even when there are fewer observations than dimensions. We also show that our estimator has lower error norms than the traditional one. Our estimator is design-free: we make no assumptions on the distribution of the random sample or on any parametric structure the variance matrix may have. Simulations confirm our theoretical results and they also show that our simple estimator does very well in comparison with other existing methods\, especially when the data are generated from fat-tailed densities.  \nAbout the speaker.  Karim Abadir is the Chair of Financial Econometrics at Imperial College\, London. He obtained his DPhil from Oxford University. His MA (Economics) and BA (Major in Economics\, Minor in Business) are from the American University in Cairo. He started his academic career as a lecturer in Economics at Lincoln College\, Oxford. He then joined the University of Exeter as a Senior Lecturer in Statistics and Econometrics\, rising to the position of Reader in Econometrics. From 1996-2005\, he held a Chair in Econometrics and Statistics at the University of York\, joint between the Departments of Mathematics and Economics.He is credited with having solved in his DPhil a major long-standing problem in Mathematical Statistics and Time Series that was open since the 1950’s. More recently\, he has predicted the timing of the 2008 recession a year in advance\, and the different timings of the recoveries in various Western countries.He is a founding member of the liberal party Al Masreyeen Al Ahrrar (translates as Free/Liberal Egyptians)\, established in 2011.
URL:http://optimisation.doc.ic.ac.uk/event/seminar-estimating-variance-matrices/
END:VEVENT
END:VCALENDAR