Archive for volatility

JSM 2009 impressions [day 4]

Posted in Statistics, University life with tags , , , , on August 6, 2009 by xi'an

A very full day today, where I wish I could have been ubiquitous…! I first attended the particle learning session, and thus missed both Gabor Lugosi’s Medallion lecture and the memorial session for David Friedman. The particle learning session has several interesting talks, among which Raquel Prado’s with informed priors about roots in an AR model and Christian Macaro‘s on an innovative construction of mixtures of AR chains as volatilities to overcome the difficulty in handling long memory processes. I then chaired the session organised by Julien Cornebise on population Monte Carlo, a quite exciting and well-attended session, where I found the results of Mark Huber on the product estimator to offer some strong potential to study nested sampling. This means I missed Charlie Geyer’s talk, among others. The afternoon session was where I talked, along with Jun Liu and Simon Tavaré, who both gave talks full of exciting directions in connection with genomics. The planning was so horrendous that both Gareth Roberts and Judea Pearl were giving special invited lectures at the time, not to mention four Bayesian sessions in parallel… The day ended with the COPSS awards, among which The Florence Nightingale David Award was awarded to Nancy Reid for her role model in the profession, a well-deserved recognition indeed!