Annual Report - Université catholique de Louvain reddot/stat/documents...UCL in Quantitative...

IMMAQInstitute for Multidisciplinary Research in Quantitative Modelling and AnalysisUCLUniversité catholique

de Louvain

Annual ReportSeptember 2010 - August 2011

Institute of Statistics, Biostatistics and Actuarial Sciences

Institute of Statistics, Biostatistics and Actuarial Sciences

Annual Report September 2010 – August 2011

IMMAQUniversité catholique de Louvain

Updated version March 2012

3Annual report 2010-2011

Foreword 5

1. Personnel 9

2. Research activities 19 2.1. Presentation 20 2.2. Research contracts 21 2.2.1. Research projects under contracts and cooperation projects 21 2.2.2. Applied research contracts 25

3. Publications 27 3.1. Reprints 28 3.2. Discussion papers 30 3.3. Other publications 33 3.4. Editorial activities 34

4. Seminars and workshops 35 4.1. Statistics seminars 36 4.2. Applied statistics workshops 37 4.3. Short courses 38

5. Doctoral training 41 5.1. Completed doctoral dissertations 42 5.2. Doctoral dissertations in progress 42 5.3. Doctoral seminars 44

6. Organization of scientific meetings 45 7. Academic visits 51 8. Participation to conferences and scientific meetings 57

9. Appendix 63

Contents

4 5Annual report 2010-2011 Annual report 2010-2011

The Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) of the Université catholique de Louvain (UCL) is a research centre of high international reputation. It has been created in September 2009 by merging the Institute of Statistics (founded in 1992) and the Institute of Actuarial Sciences (existing since 1939) at UCL and, as such, it promotes, stimulates and coordinates numerous activities related to the three fields it represents at UCL. As a research institute ISBA collaborates with the teaching unit LSBA (Louvain School of Statistics, Biostatistics and Actuarial Sciences) and the technological platform SMCS (Statistical Methodology and Computing Support). A detailed account of all the activities of these partner units can be found in their specific annual reports. Together with the CORE (Centre for Operational Research and Econometrics) and the IRES (Institut des recherches économiques et sociales), the ISBA forms the IMMAQ (Institute of Multidisciplinary Research for Quantitative Modelling and Analysis) – where researchers develop and use in their various fields of expertise a coherent set of tools and methods for quantitative modelling and analysis.

At present, the ISBA counts about 15 professors, 10 of whom are full-time, and about 30 researchers (PhD students, postdocs and scientific collaborators), who can count on the sup-port of a team of administrative staff and IT staff, as well as the staff of the SMCS. Several part-time and invited professors broaden the scope of expertise of the Institute in specific topics, such as data mining or Bayesian statistics. The Institute also accommodates a number of short-term as well as long-term foreign visiting scholars. Members of the Institute have a wide variety of research interests, ranging from theoretical to applied topics and over a broad spectrum of methodological topics. The main research areas at the Institute develop along the three following main directions: (i) mathematical sta-tistics (semi- and non-parametric statistics, Bayesian statistics, multivariate analysis, regres-sion, mixture models, survival analysis, extreme value statistics, inverse problems, time series analysis, econometrics, …), (ii) biostatistics, and (iii) quantitative analysis of insurance and financial risks. The different research directions represented by the members of the ISBA can be found at the beginning of Section 3 of this report.These three research axes are however not pursued one independently from another. On the one hand, research at the ISBA is based on a common methodological foundation, and the fields of application benefit from each other. On the other hand, members of the Institute actively collaborate with scientists from other disciplines on important research investi-gations. Within the IMMAQ, the ISBA continues to develop its interdisciplinary research stronger than ever before: the Institute has initiated research projects with other UCL units such as econometrics, finance, demography, psychometrics, epidemiology, sample surveys,

Foreword


technometrics, spatial statistics, bioinformatics and machine learning. Moreover, the ISBA maintains a transfer of expertise outside the academic world via several collaborations with the pharmaceutical, financial, insurance or public sector.

Research activity continued to flourish in 2010/11. The best proof of our excellent research activities is our 29th position in the 2011 QS World University Ranking in the field of Statistics and Operational Research ! In addition, members of the Institute published 25 papers in international refereed journals. Research to appear soon, or under evaluation, was reported in 42 discussion papers.

The Institute of Statistics is the coordinator of an IAP research network in statistics (Interuniversity Attraction Pole, Phase VI 2007-2011) on the theme “Statistical Analysis of Association and Dependence in Complex Data”. The network involves nine research teams, of which five are Belgian and four are European, non-Belgian partners. The current network is a continuation of the network “Statistical techniques and modelling for complex substan-tive questions with complex data”, financed from 2002 till 2006 by the Belgian Science Policy. In addition to the IAP, several research projects are funded by public and private bodies.

Members of the Institute serve on the editorial boards of several prestigious journals. These editorial activities for international journals provided within the ISBA is a clear mark of inter-national recognition.

There are three regular seminar series held at the Institute. At the Statistics Seminars, invited speakers present their research results. A diversity of subjects is presented at this seminar by foreign visitors of the Institute. From time to time, a joint statistics and econometrics seminar, organised in collaboration with CORE, takes place. The “Atelier de statistique appli-quée/Applied Statistics Workshop” is organised by the Institute on a regular basis. It focuses on problem driven statistics, where a real world problem of substantial practical interest is treated. At the “Young Researchers Day - YRD” organized twice a year, PhD students in statistics present their recent research work. These doctoral seminars constitute an extra stimulant for PhD students and other young researchers.

The Graduate School in Statistics and Actuarial Sciences has been created in 2006, under the patronage of the “Fonds National de la Recherche Scientifique (FNRS)”. It is associated to the Graduate Colleges in Sciences and in Agronomy/Bioengineering, but has also links to those in Medicine, Economic Sciences, and Engineering, as Statistics and Actuarial Sciences are related to many other disciplines. The Graduate School gathers students from various French-speaking Belgian universities. It offers various activities, such as short courses, work-shops and an annual colloquium, some of which held at UCL under the auspices of the Institute, others in partner universities.

In May 2010, an international workshop on “Econometric and statistical modelling of mul-tivariate time series” was organised by the principal investigators of a five years ARC project on the same topic. More than a hundred local and international researchers attended this three-days meeting which was highlighted by the presence and plenary talk of the 2003 economics Nobel prize Professor Rob Engle from New York University.Apart from that, members of the ISBA actively participated in organising and co-organising national and international meetings and other scientific activities (for which we refer to the specific sections of this report).

We would like to thank the Université catholique de Louvain for supporting the activities of the Institute, as well as all the members of the Institute for developing a friendly, open and stimulating research environment. In the future, we hope to further increase the strengths of the Institute as a research centre of international reputation.

Louvain-la-Neuve, December 2011

Ingrid Van Keilegom Research Director of the Institute of Statistics, Biostatistics and Actuarial Sciences

Rainer von SachsChairman of the Institute of Statistics, Biostatistics and Actuarial Sciences


1. PERSONNEL

> Permanent academic members

> Administrative staff

> Associate academic members

> Associate fellows

> Emeriti

> Researchers and doctoral students

> Post-doctoral researchers

> Research associates

> Doctors honoris causa

> Visiting researchers

> Short term visitors


BERNADETTE GOVAERTS

Professor, Université catholique de Louvain (IMMAQ/ISBA and SMCS).Ph. D. Université catholique de Louvain, 1987.Industrial statistics; chemometrics; experimental design; sta-tistical quality control; pre-clinical biostatistics; development, validation and monitoring of laboratory analytical methods; statistical consulting.President of the executive committee of the Statistical Methodology and Computing Support service; President of the IMMAQ computing commission.

> Homepage: http://www.uclouvain.be/bernadette.govaerts

CHRISTIAN HAFNER

Professor, Université catholique de Louvain (IMMAQ/ISBA).Ph. D. Humboldt-Universität Berlin, Germany, 1996.Non and semiparametric statistics; time series; volatility mod-els; financial econometrics.Coordinator for the Statistics Minor program; Responsible for the Master program in statistics; President of the jury for the Master in Statistics; President of the LSBA; Copromotor of the ARC project 07/12-002 “Econometric modelling of multivariate financial time series” (2007-2012).

> Homepage: http://www.uclouvain.be/christian.hafner

JAN JOHANNES

Professor, Université catholique de Louvain (IMMAQ/ISBA).Ph. D. Humboldt-Universität Berlin, Germany, 2002.Statistical ill-posed inverse problems; spatio-temporal mod-els; nonparametric and semiparametric inference; adaptive estimation; nonparametric Bayesian inference.Local coordinator of the IAP research network in statistics; Responsible for the computing facilities at ISBA.

> Homepage: http://www.uclouvain.be/jan.johannes

PHILIPPE LAMBERT

Part-time professor, Université catholique de Louvain (IMMAQ/ISBA). Full-time professor, Université de Liège.Ph. D. Universiteit Hasselt (Limburgs Universitair Centrum), 1995.Bayesian statistics; biostatistics; Bayesian smoothing methods; Bayesian semi- and nonparametric statistics.Academic secretary of the Institute of Statistics, Biostatistics and Actuarial Sciences (2002 - 2006).

> Homepage : http://www.uclouvain.be/philippe.lambert

PERMANENT ACADEMIC MEMBERS

MICHEL DENUIT

Professor, Université catholique de Louvain (IMMAQ/ISBA).Ph. D. Université Libre de Bruxelles, 1997.Stochastic inequalities; risk theory; statistics applied to insur-ance; actuarial sciences; applied probability.Chairman of the Institute of Statistics (2006-2009); Responsible for the Master in Actuarial Sciences.

> Homepage: http://www.uclouvain.be/michel.denuit

DOMINIQUE DEPRINS

Part-time professor, Université catholique de Louvain (IMMAQ/ISBA).Ph. D. Université catholique de Louvain, 1989.Epistemology in probability and statistics.Academic secretary of Facultés Universitaires Saint-Louis(1999-2005); Pedagogic adviser (since 2004).

> Homepage: http://www.uclouvain.be/dominique.deprins

PIERRE DEVOLDER

Professor, Université catholique de Louvain (IMMAQ/ISBA and LSM).Ph. D. Université Libre de Bruxelles, 1986.Pension theory; asset and liability management; stochastic and mathematical finance; solvency and risk measures; pen-sion and life insurance.President of the Jury for the Master in Actuarial Sciences; Member of the board of AFIR (International Actuarial Association, section Financial Risks); Chairman of the board of the spinoff REACFIN.

> Homepage: http://www.uclouvain.be/pierre.devolder

ANOUAR EL GHOUCH

Professor, Université catholique de Louvain (IMMAQ/ISBA).Ph. D. Université catholique de Louvain, 2007.Nonparametric and semiparametric statistics; survival analy-sis; incomplete data; likelihood; quantile inference.Academic responsible of the IMMAQ library; Academic responsible of student mobility; Secretary of the jury for the Master in Statistics; Member of the committe of Prix Quetelet.Distinction received: FRFC project: “Semiparametric inference for cure models”

> Homepage: http://www.uclouvain.be/anouar.elghouch


JOHAN SEGERS

Professor, Université catholique de Louvain (IMMAQ/ISBA).Ph. D. Katholieke Universiteit Leuven, 2001.Extreme value theory; dependence modelling via copulas; empirical processes; time series; curve estimation under shape constraints.Coordinator of the seminar series and the doctoral program at ISBA; Copromotor of the ARC project 07/12-002 “Econometric modelling of multivariate financial time series” (2007-2012); Extramural fellow of CentER, Tilburg University, The Netherlands (2006-2011); Secretary of the Section Mathematical Statistics of the Netherlands Society for Statistics and Operations Research (2005-2008); Treasurer of the Graduate School in Statistics and Actuarial Sciences (FNRS).

> Homepage: http://www.uclouvain.be/johan.segers

LÉOPOLD SIMAR

Professor emeritus, Université catholique de Louvain (IMMAQ/ISBA). Ph. D. Université catholique de Louvain, 1974.Frontier estimation; resampling methods; multivariate statis-tical techniques.Founder President 1992-2004 of the Institute of Statistics; Member of the European Network of Excellence Prime (2004-2009); Associate partner of the Scuola Superiore Santa Anna, Pisa, Italy (project AQUAMETH); Dean of Faculté des Sciences Economiques, Sociales et Politiques, FUSL (1978 -1990); President of the Belgian Statistical Society (1999-2002); “Professore di Chiara Fama’’, 2006 and 2007 (Italian Ministry of Research, Scuola Superiore Santa Anna, Pisa & University of Pisa) and “Chaire d’Excellence Pierre de Fermat”, 2008 and 2009, Région Midi-Pyrénées (Université des Sciences Sociales, Toulouse); Honorary Member 2009 of the Belgian Statistical Society.

> Homepage: http://www.uclouvain.be/leopold.simar

INGRID VAN KEILEGOM

Professor, Université catholique de Louvain (IMMAQ/ISBA). Ph. D. Universiteit Hasselt (Limburgs Universitair Centrum), 1998. Mathematical statistics; non- and semiparametric regression; semiparametric M- and Z-estimation; survival analysis; empir-ical likelihood methods.Research Director of ISBA; Coordinator of the IAP research net-work in statistics (2007-2011); Holder of an ERC (European Research Council) grant on “M- and Z-estimation in semiparametric statistics: applications in various fields”; Fellow of the Institute of Mathematical Statistics since 2008; Member of the Council of the IMS (2010-2013).

> Homepage: http://www.uclouvain.be/ingrid.vankeilegom

CATHERINE LEGRAND

Professor, Université catholique de Louvain (IMMAQ/ISBA).Ph. D. Universiteit Hasselt, 2006.Biostatistics: survival data analysis (and in particular frailty models), design and analysis of clinical trials (and in particular oncology clinical trials).Responsible for the certificate of statistics; Responsible for the mas-ter program in Biostatistics; Board member of the Belgian Statistical Society (since 2008); In charge of Prix Quetelet.

> Homepage: http://www.uclouvain.be/catherine.legrand

MICHEL MOUCHART

Professor emeritus, Université catholique de Louvain (IMMAQ/ISBA).Ph. D. Université catholique de Louvain, 1973.Causality; structural modelling; econometrics of duration data and of panel data. Statistics, econometrics, philosophy of science (epistemology of statistical methods).Elected member of the International Statistical Institute.

> Homepage: http://www.uclouvain.be/michel.mouchart

CHRISTIAN RITTER

Part-time professor, Université catholique de Louvain (IMMAQ/ISBA).Ph. D. University of Wisconsin, Madison, USA, 1992.Industrial statistics; statistical consulting; statistics in spreadsheets.Creation of Ritter and Danielson Consulting sprl (2007) to provide R&D assistance.

> Homepage: http://www.uclouvain.be/christian.ritter

JEAN-MARIE ROLIN

Professor emeritus, Université catholique de Louvain (IMMAQ/ISBA).Probability theory and stochastic processes; mathemati-cal statistics; nonparametric Bayesian statistics; Bayesian survival analysis; Bayesian analysis of counting processes.Member of the Bernoulli Society and of the Belgian Statistical Society.

> Homepage: http://www.uclouvain.be/jean-marie.rolin


ADMINISTRATIVE STAFF

> Nancy GUILLAUME (head of unit from September, 2010) > Marguerite-Marie HANON > Sophie MALALI > Tatiana REGOUT > Monique TANGA > Sheila WEYERS (head of unit until August 31, 2010) > Danielle WILIQUET (during S. Malali’s maternity leave: July - October 2011)

ASSOCIATE ACADEMIC MEMBERS

> Pierre ARS, Louvain School of Management> Céline AZIZIEH, Louvain School of Management> Luc BAUWENS, Faculty of Economic, Social and Political Sciences and Communication> Patrick BOGAERT, Faculty of Biological, Agronomic and Environmental Engineering> Marie-Paule KESTEMONT, Louvain School of Management> Eric LE BOULENGÉ, Faculty of Sciences> Guy LORIES, Faculty of Psychology and Educational Sciences> Annie ROBERT, Faculty of Medicine and Dentistry> Marco SAERENS, Louvain School of Management> Sébastien VAN BELLEGEM, Faculty of Economic, Social and Political Sciences and Communication> Michel VERLEYSEN, Louvain School of Engineering> Jean François WALHIN, Louvain School of Management> Serge WIBAUT, Faculty of Economics, Social and Political Sciences

ASSOCIATE FELLOWS

> Cédric HEUCHENNE, Faculty of Sciences

EMERITI

> Michel MOUCHART > José PARIS > Jean-Marie ROLIN > Léopold SIMAR

RESEARCHERS AND DOCTORAL STUDENTS

George BABAJAN • Anne BENOIT • Fabian BOCART • Louis BOULANGER • Boris DEMESHEV • Rachida EL MEHDI • Baptiste FÉRAUD • Bernard FRANCQ • Jean-Marc FREYERMUTH • Gordon GUDENDORF • Julien HUNT • Jonathan JAEGER • Daniel KOCH • Marco MUNDA • Diane PIERRET • Mathieu PIGEON • Mohammed RIDA SOUMALI • Réjane ROUSSEAU • Rudolf SCHENK • Maik SCHWARZ • Aleksandar SUJICA • Majda TALAMAKROUNI • Habiba TASSA • Cédric TAVERNE • Catherine TIMMERMANS

POST-DOCTORAL RESEARCHERS

> Auguste GADDAH > Hohsuk NOH> Rawane SAMB

RAINER VON SACHS

Professor, Université catholique de Louvain (IMMAQ/ISBA).Ph. D. Universität Heidelberg, Germany, 1991.Mathematical statistics; nonparametric curve estimation; analysis of (nonstationary) time series; spectral density esti-mation; statistical signal processing; biomedical time series; financial time series; wavelets and related localization methods. Head of ISBA and of IMMAQ; Main coordinator of the ARC project 07/12-002 “Econometric modelling of multivariate financial time series” (2007-2012); Fellow of the Institute of Mathematical Statistics; Elected Member of the International Statistical Institute.

> Homepage: http://www.uclouvain.be/rainer.vonsachs


> Camilla MASTROMARCO, University of Salento, Italy (2011)> Roberta MELIS, University of Sassari, Italy (2011)> Juan Carlos PARDO-FERNANDEZ, University of Vigo, Spain (2010 & 2011)> François ROUEFF, Paris Tech (Ecole normale supérieure de Télécommunications), Paris, France (2010)> Anna SIMONI, University of Bocconi, Italy (2011)> Philippe SOULIER, Université Paris X, Paris, France (2010)> Abderrahim TAAMOUTI, Universidad Carlos III de Madrid, Madrid, Spain (2010)> Anne VANHEMS, Université de Toulouse I, Toulouse, France (2010)> Elena VIGNA, University of Turin, Italy (2011)> Stanislas VOLGUSHEV, Ruhr University Bochum, Germany (2010)> Paul WILSON, Clemson University, Clemson, South Carolina, USA (2011)> Jun YU, Singapore Managment University, Singapore (2011)> Valentin ZELENUYK, University of Queensland, Australia (2010 & 2011)

Speakers at the “Econometric and Statistical Modelling of Multivariate Time Series” (May 25-27, 2011)

> Richard A. DAVIS, Columbia University, New York, USA> Robert F. ENGLE (Nobel Prize 2003), New York University Stern School of Business, New York, USA> Christian GOURIÉROUX, University of Toronto, Toronto, Canada & CREST, Paris, France> Marc HALLIN, Université Libre de Bruxelles, ECARES, Brussels, Belgium> Dennis KRISTENSEN, Columbia University, New York, USA> Jeroen ROMBOUTS, HEC Montreal, Quebec, Canada & CORE, Louvain-la-Neuve, Belgium> Timo TERÄSVIRTA, Aarhus University & CREATES, Aarhus, Denmark> Qiwei YAO, London School of Economics, London, United Kingdom > Jun YU, Singapore Management University, Singapore

The Institute also benefits from the following support

IMMAQ LIBRARY

> Séverine DINJAR > Alain GILLIS> Sébastien SCHILLINGS

STATISTICAL METHODOLOGY AND COMPUTING SERVICE (SMCS)

> Céline BUGLI > Alain GUILLET > Nathalie LEFÈVRE > Catherine RASSE

COMPUTING STAFF OF UCL

> Laurent BUSET > Philippe DEGHELT > Jean-Pierre DEHOUX > Christophe PONCIN > Raphaël TURSIS > Pierre VANGEEL

RESEARCH ASSOCIATES

> Véronique DELOUILLE

DOCTORS HONORIS CAUSA

> Luc DEVROYE, Mc Gill University, Montreal, Canada (2002)> Peter HALL, Australian National University, Canberra, Australia (1997)

VISITING RESEARCHERS

> Ingrid HOBAEK HAFF, University of Oslo, NorwaySeptember 23, 2010 - November 29, 2010

> François ROUEFF, Paris Tech (Ecole normale supérieure de Télécommunications), Paris, FranceSeptember 1, 2010 - December 31, 2010

> Federico ROTOLO, University of Padua, ItalyJanuary 10, 2011 - December 31, 2011

> Christian HAEDO, Università degli Studi di Bologna I, Buenos Aires, ArgentineJanuary 24, 2011 - February 27, 2011 and August 3 - 31, 2011

> Carla Maria GONÇALVES DE MACEDO MOREIRA, University of Vigo, Spain March 1, 2011 - May 31, 2011

> Roberta MELIS, University of Sassari, ItalyMarch 14, 2011 - April 11, 2011

SHORT TERMS VISITORS

> Jacqueline ASSCHER, Technion, Haïfa, Israël (2011)> Florent AUTIN, Université Aix Marseille 1, LATP, France (2010)> Luiza BADIN, Academy of Economic Studies, Bucharest, Romania (2011)> Melanie BIRKE, University of Bochum, Germany (2010)> Taoufik BOUEZMARNI, McGill University, Sherbrooke, Quebec (2010)> Christoph BREUNIG, University of Mannheim, Germany (2010 & 2011)> Fabienne COMTE, Université Paris Descartes, Paris, France (2010)> Rosa CRUJEIRAS, University of Santiago de Compostela, Spain (2010)> Rainer DAHLHAUS, University of Heidelberg, Germany (2011)> Laurent DELSOL, Université d’Orléans, France (2011)> Isabel Maria FERRAZ CORDEIRA, GSI - Universidade do Minho, Portugal (2011)> Mark Joseph A. FIECAS, Brown University, Providence, USA (2010)> Jürgen FRANKE, University of Kaiserslautern, Germany (2010)> Piotr FRYZLEWICZ, London School of Economics, London, United Kingdom (2010 & 2011)> Carla Maria GONÇALVES DE MACEDO MOREIRA, University of Vigo, Spain (2010 & 2011)> Wenceslao GONZÁLEZ-MANTEIGA, University of Santiago de Compostela, Spain (2011)> Christian HAEDO, Università degli Studi di Bologna I, Buenos Aires, Argentine (2011)> Ingrid HOBAEK HAFF, Norwegian Computing Center, Norway (2010 & 2011)> Aloïs KNEIP, University of Bonn, Germany (2010)> Ivan KOJADINOVIC, Université de Pau et des Pays de l’Adour, Pau, France (2011)> Arne KOVAC, University of Bristol, Bristol, United Kingdom (2010)> Olivier LOPEZ, Université Pierre et Marie Curie (UPMC), Paris, France (2011)


2. RESEARCH ACTIVITIES

> Presentation

> Research contracts

• Description of research projects under contracts and cooperation projects

• Applied research contracts

dd


2.2. RESEARCH CONTRACTS

2.2.1. Research projects under contracts and cooperation projects

This section discusses ongoing research projects and cooperation projects that are financed by outside agencies in the form of grants and contracts.

M- and Z-estimation in semiparametric statistics: applications in various fields (2008-2013)

> FINANCING: European Research Council under the European Community’s Seventh Framework Programme 2008-2013> GRANT HOLDER: I. Van Keilegom> RESEARCHERS: A. Sujica, A. Gaddah (post-doc.)

Project description

The area of semiparametric statistics is, in comparison to the areas of fully parametric or nonparametric statistics, relatively unexplored and still in full development. Semiparametric models offer a valid alter-native for purely parametric ones, that are known to be sensitive to incorrect model specification, and completely nonparametric models, which often suffer from lack of precision and power. A drawback of semiparametric models so far is, however, that the development of mathematical properties under these models is often a lot harder than under the other two types of models. The present project tries to solve this difficulty partially, by presenting and applying a general method to prove the asymptotic properties of estimators for a wide spectrum of semiparametric models.

The objectives of this project are twofold. On one hand a general theory will be applied by Chen, Linton and Van Keilegom (2003) for a class of semiparametric Z-estimation problems, to a number of novel research ideas, coming from a broad range of areas in statistics. On the other hand it will be shown that some estimation problems are not covered by this theory. A more general class of semiparametric estimators (M-estimators called) will be considered and a general theory for this class of estimators will be developed. This theory will open new horizons for a wide variety of problems in semiparametric statistics.

Feasibility study for creating a European university data collection, EUMIDA (2009-2010)

> FINANCING: European Commission> QUALITY MANAGER FOR THE EUMIDA PROJECT: L. Simar, associated with the Facoltà di Ingegneria, University of Pisa, Pisa, Italy

Project description

The European Commission (DG Research, DG Education and Culture and EUROSTAT ) has appointed the EUMIDA Consortium led by University of Pisa to explore the feasibility of building a consistent and transparent European statistical infrastructure at the level of individual higher education institutions. The goal is to provide these institutions and policy makers with relevant information for the bench-marking and monitoring of trends for modernisation in higher education institutions.The analysis will be carried out both at European (EU-27) and at Country level, including Norway and Switzerland as additional case studies.

Statistical analysis of association and dependence in complex data - IAP Phase VI (2007-2011)

> FINANCING: Interuniversity Attraction Pole Programme, Belgian Science Policy, Brussels, Belgium> PROMOTOR: I. Van Keilegom> RESEARCHERS: J. Jaeger, D. Koch, S. Liu, R. Schenk, H. Noh (post-doc.), R. Samb (post-doc.)

2.1. PRESENTATION

The research areas in which the members of the Institute of Statistics, Biostatistics and Actuarial Sciences are working are diverse. The main areas of expertise are non- and semi-parametric regression techniques, time series analysis, survival analysis, medical and industrial statistics, extreme value analy-sis and statistics for the actuarial sciences, as well as insurance and financial mathematics.

In the context of non- and semi-parametric regression, the Institute is a leading expert in the area of frontier estimation and particularly in the application of non- and semi-parametric approaches for this problem in the context of efficiency analysis. A lot of research is also carried out in the context of inverse problems in econometrics, and its applications in instrumental regression and deconvolution problems. The study of semi-parametric regression models (e.g. single index models, partial linear models) and of non-parametric location-scale models, is another area in which the Institute is taking a leading role. More generally, a lot of activity can be summarized by the development of up-to-date methodology for denoising statistical signals in one and in higher dimensions. Modern non-linear methods, among others based on wavelets, do not only serve to this end but also for the development of functional data and image analyses and clustering.

The analysis of time series is a second cornerstone of the research activities at the Institute. The focus lies on the modelling and analysis of non-stationary time series, multivariate (high-dimensional) time series, factor models, volatility models, spectral density estimation and goodness-of-fit methods. Moreover, applications in statistical signal processing, and biomedical, economic and financial time series are studied.

The analysis of data coming from medical or industrial studies is a further research topic to which much attention is paid at the Institute. Medical data are often subject to censoring (survival analysis). The non- and semi-parametric modelling of this type of data is studied in detail, both the asymptotics for these models, as the application to medical data. Moreover, the study of clinical trials gives rise to developping models, both frequentist and bayesian, for biological processes, but this applies also to the context of industrial statistics, e.g. in chemometrics, and in quality control. More specifically, the focus lies on experimental design and multicriteria optimisation with applications in drug discovery, and on the analysis and modelling of time intensity curves in sensometrics.

The quantitative analysis of financial and insurance risks is intended to help economic agents to design efficient strategies for managing these risks. The ISBA research team has developed a widely recog-nized expertise in that field, especially in stochastic orderings and inequalities, financial econometrics, dependence modeling, in particular by means of copulas, actuarial risk theory, mathematical finance, and extreme value theory: modelling of extremes in univariate and multivariate time series, and in particular in Markov chains.


Project description

This project aims to study the risk management tools for stabilizing the revenue in the agricultural sector.

Adaptative regularization in nonparametric instrumental regression

> FINANCING: Fonds Spéciaux de Recherche (FSR)> GRANT HOLDER: I. Van Keilegom> RESEARCHER: M. Schwarz

Project description

We focus on the nonparametric estimation of a regression function in endogenous models. The regression function is identified through a set of instrumental variables. Stability problems occur in the estimation process, leading to an ill-posed inverse problem. The general objective is to develop adaptive methods of inversion (of regularization), based on the theory of adaptive, nonparametric, local inference

Adaptive nonparametric Bayesian estimation in inverse problems (2010-2012)

> FINANCING: Fonds Spéciaux de Recherche (FSR)> GRANT HOLDER: J. Johannes> RESEARCHER: R. Schenk

Project description

The objective of the project is the development of adaptive nonparametric Bayesian models for ill-posed inverse problems with noise in the operator. More precisely, we intend to study lower bounds for a-posteriori concentration rates, to construct prior distributions allowing to attain those and to compare the results with the minimax theory for adaptive estimation in purely frequentist models for ill-posed inverse problems.

Efficiency and productivity of an industry (2009-2011)

> GRANT HOLDER: L. Simar> PARTNER INSTITUTION: GREMAQ, Toulouse School of Economics, Agence Nationale de la Recherche (ANR), France

Pension valuation and solvency (2009 – 2012)

> FINANCING: Chaire AG Insurance > GRANT HOLDER: P. Devolder> RESEARCHER: H. Tassa

Project description

Development of a coherent and universal model of valuation and solvency requirement of pension liabilities for pension funds and insurance companies in a stochastic environment.

Health insurance and longevity (2009-2012)

> FINANCING: Chair DKV Belgium> GRANT HOLDER: P. Devolder

Project description

Development of actuarial and financial techniques for the pricing, hedging and reserving of health, dis-ability and long term care insurances ; analysis of the influence of the longevity risk on these products.

> PARTNER INSTITUTIONS: Katholieke Universiteit Leuven, (Belgium); Universiteit Hasselt, (Belgium); Universiteit Gent, (Belgium) > EUROPEAN PARTNERS: Université Joseph Fourier, Grenoble, France; Universiteit Utrecht, The Netherlands; Universidad de Santiago de Compostela, Spain; London School of Hygiene and Tropical Medicine, United Kingdom

Project description

One key aim of statistics is to analyze in an appropriate way the dependence and association present in a dataset. The data that are collected nowadays to analyze these dependence structures are often of a complex nature and also the research questions are of an ever increasing complexity. This requires the construction of new models, or the adaptation of existing models, which is a challenging task. The development of new methods and intensive interaction between experts will also be required to cope with these complex data. The global objective of the network is to develop new models and method-ological tools to do inference and to analyze these complex data structures.

Website: http://www.stat.ucl.ac.be/IAP/PhaseVI/index.html

Econometric modelling of multivariate financial time series (2007-2012)

> FINANCING: Action de Recherche Concertée (ARC), Communauté Française de Belgique> PROMOTORS: L. Bauwens, C. Hafner, J. Segers, R. von Sachs (main promotor)> RESEARCHERS: A. Dufays, J-M Freyermuth, G. Gudendorf, D. Pierret, O. Reznikova> ASSOCIATE RESEARCHERS: J. Hunt, D. Koch, D. Korobilis (post-doc.), J. Lahaye, B. Samkharadze, F. Violante

Project description

This interdisciplinary research project deals with modelling, estimation and prediction of the dynamics and the temporal dependence in the mean and the variance-covariance structure of multivariate time series data arising in economic and financial applications. Particular emphasis is put on questions such as dimension reduction (factor approach, modelling of co-movements), non-stationary behaviour over time, modelling of structural breaks (regime-switching), volatilities with and without jump behaviour, etc.These questions are addressed by a number of econometricians and statisticians using and comparing a series of modern approaches in parametric, semi-parametric and non-parametric statistics. Applications to real data will help to access the quality of the proposed models and estimation procedures.

Study of different cure models in regression: construction of semiparametric infer-ential methods adapted to the available information and to the complex relations assumed between variables (2011-2014)

> FINANCING: Fonds de la recherche fondamentale collective (FRFC), FNRS> PROMOTORS: A. El Ghouch, C. Heuchenne, C. Legrand, I. Van Keilegom (main promotor) > RESEARCHERS: C.M. Gonçalves de Macedo Moreira (post-doc.), H. Noh (post-doc.)

Project description

Study of different cure models in regression: construction of semiparametric inferential methods adapted to the available information and to the complex relations assumed between variables.

Mécanismes assurantiels ou de mutualisation des risques agricoles en Région wal-lonne (2011)

> FINANCING: Marché de services D31-1251, Services de recherche et de développement, DGARNE, SPW > GRANT HOLDERS: B. Henry de Frahan (ELI-A, UCL), C. Saegerman (UREAR, ULg), M. Denuit & P. Devolder (ISBA, UCL), B. Dubuisson (PJPR, UCL)


2.2.2. Applied research contracts

GlaxoSmithKline Biologicals: IDMC for a Phase III Clinical Trial in Lung Cancer (2009-2013)

> FINANCING: GlaxoSmithKline Biologicals> GRANT HOLDER: C. Legrand

GlaxoSmithKline Biologicals is currently conducting a large phase III clinical trial in lung cancer aiming to investigate the effect of an antigen-specific cancer immunotherapeutic as adjuvent treatment for patients with resectable non-small cell lung cancer. This clinical trial will enroll more than 2000 patients and to ensure the safety of these patients, this trial is regularly monitored by an independent commit-tee of experts (Independent Data Monitoring Committee). The role of this IDMC is to review, at regular time interval, all the data available to ensure that further continuation of the trial is ethical and eventu-ally to make recommendations with regards to the conduct of the trial. This IDMC is composed of 5 experts; 4 medical doctors and 1 statistician. Catherine Legrand, Institut de Statistique, Biostatistique et Sciences Actuarielles (ISBA), acts as independent statistician in this IDMC.

SAS Partnership (2008-2012)

> FINANCING: SAS > GRANT HOLDER: C. Legrand

The SAS software is one of the most used statistical software in the world. Since several years, there exist a partenariat between SAS and Institut de Statistique, Biostatistique et Sciences Actuarielles (ISBA) through which courses of programming in SAS and data mining techniques are organized. These courses are open to all master students as well as to PhD students and to all researchers of the UCL. Within the context of this partenariat, SAS also support (financially and logistically) the organisation of short courses within ISBA.

Risk management for energy markets (2010 – 2014)

> FINANCING: Chaire GDF Suez> GRANT HOLDER: P. Devolder> RESEARCHER: G. Babajan

Project description

The project aims to develop research in risk management applied to energy markets.The main purpose is to develop new tools for commodity pricing based on stochastic techniques in continuous time especially applied to gas and electricity markets. LEVY processes will be the central tool in this perspective.Applications to valuation of electricity derivatives will also be considered.

Metodología y Aplicaciones en Estadística Semiparamétrica, Funcional y Espacio Temporal (2009-2013)

> FINANCING: Spanish Ministry of Education and Science> ASSOCIATE PARTNERS: I. Van Keilegom (main partner: W. González-Manteiga, Universidad de Santiago de Compostela, Spain)

Identification of a statistical model for the estimation of the vaccine efficacy of an influenza vaccine (2010-2014)

> FINANCING: Chaire GSK biologicals> GRANT HOLDER: C. Legrand> RESEARCHER: A. Benoit

Project description

The project aims to identify and to develop optimal statistical techniques for the design and the analysis of the efficacy clinical trials of anti-flu vaccines, in collaboration with GSK Biologicals. The identified best approach and the motivation of this selection will be published in statistical journals so that peer-reviewed papers including academic authors will be available to be used as reference in the statistical analysis plan to be submitted and discussed with regulatory agencies.

Specification of the frailty density in a frailty model and application to the analysis of data from multicenter clinical trials (2010-2012)

> FINANCING: Fonds Spéciaux de Recherche (FSR)> GRANT HOLDER: C. Legrand> RESEARCHER: M. Munda

Project description

Over the past years, frailty models became probably the most popular model to analyse clustered survival data. However, very little work has been done on the choice of the frailty density. In this proj-ect, we would like to investigate further the type of dependence induced by various choices of frailty density, the impact of misspecification of this density, and aim to develop diagnostics and goodness-of-fit tests. This research has direct application to the analysis of data from multicenter survival clinical trials. Indeed, frailty models may become the standard way to take the clustering in such multicenter datasets into account.


3. PUBLICATIONS

> Reprints

> Discussion papers

> Other publications

> Editorial activities

dd


1050 DENUIT, M. AND L. EECKHOUDT Stronger measures of higher-order risk attitudes Journal of Economic Theory, 145, 5, 2027-2036, 2010

1051 DENUIT, M. AND L. EECKHOUDT Bivariate stochastic dominance and substitute risk (in)dependent utilities Decision Analysis, 7, 3, 302-312, 2010

1052 BIFFIS, E., DENUIT, M. AND P. DEVOLDER Stochastic mortality under measure changes Scandinavian Actuarial Journal, 2010(4), 284-311, 2010

1053 DENUIT, M. Positive dependence of signals Journal of Applied Probability, 47, 893-897, 2010

1054 CHRISTIANSEN, M. AND M. DENUIT First-order mortality rates and safe-side actuarial calculations in life insurance ASTIN Bulletin, 40, 587-614, 2010

2011/01 VAN KEILEGOM, I., DE UÑA-ÁLVAREZ, J. AND L. MEIRA-MACHADO Nonparametric location-scale models for censored successive survival times (previously RP1101) Journal of Statistical Planning and Inference, 14, 1118-1131, 2011

2011/02 MANNER, H. AND J. SEGERS Tails of correlation mixtures of elliptical copulas (previously RP1102) Insurance: Mathematics and Economics, 48, 153-160, 2011

2011/03 GUDENDORF, G. AND J. SEGERS Nonparametric estimation of an extreme-value copula in arbitrary dimensions (previously RP1103) Journal of Multivariate Analysis, 102, 37-47, 2011

2011/04 CETINYUREK, A. AND P. LAMBERT Smooth estimation of survival functions and hazard ratios from interval-censored data using Bayesian penalized B-splines (previously RP1104) Statistics in Medicine, 30, 75-90, 2011

2011/05 P. LAMBERT Smooth and semi- and nonparametric Bayesian estimation of bivariate densities from bivariate histogram data (previously RP1105) Computational Statistics and Data Analysis, 55, 429-445, 2011

2011/06 EL GHOUCH, A., VAN KEILEGOM, I. AND I. W.MCKEAGUE Empirical likelihood confidence intervals for dependent duration data (previously RP1106) Econometric Theory, 27, 178-198, 2011

2011/07 MOTTA, G., HAFNER, C. AND R. VON SACHS Locally stationary factor models: identification and nonparametric estimation (previously RP1107) Econometric Theory, 27, 6, 2011

2011/08 LINTON, O., MAMMEN, E., PERCH NIELSEN, J. AND I. VAN KEILEGOM Nonparametric regression with filtered data (previously RP1108) Bernoulli 17, 1, 60-87, 2011

3.1. REPRINTS

1037 RUSSO, F., MOUCHART, M. AND G. WUNSCH Causalità nelle scienze sociali: una sfida o una chimera? Sis-Magazine, 2010

1038 GENEST, C. AND J. SEGERS On the covariance of the aymptotic empirical copula process Journal of Multivariate Analysis, 101, 1837-1845, 2010

1039 LAURENT, S. On standardness and I-cosiness Séminaire de Probabilités XLIII, Lecture Notes in Mathematics, 121, 2010

1040 LAURENT, S. On Vershikian and I-cosy random variables Teoriya Veroyatnostei i ee Primeneniya, 55, 104-132, 2010

1041 MOUCHART, M. AND M. VANDRESSE A double-frontier approach for measuring market imperfection Ann Oper Res, 173, 137-144, 2010

1042 SANCHEZ, X., LAMBERT, P. AND D.J. LLEWELLYN Efficacy of pre-ascent climbing route visual inspection in indoor sport climbing Scandinavian Journal of Medicine and Science in Sport, 21, Issue 5, 2010

1043 OMEY, E. AND J. SEGERS Generalised regular variation of arbitrary order Banach Center Publications, 90, 111-137, 2010

1044 MOLANEZ-LOPEZ, E.M., CAO, R. AND I. VAN KEILEGOM Smoothed empirical likelihood confidence intervals for the relative distribution with left- truncated and right-censored data The Canadian Journal of Statistics, 38, 3, 453-473, 2010

1045 SCHWARZ, M., VAN BELLEGEM, S. AND J.P. FLORENS Nonparametric frontier estimation from noisy data Festschrift in honour of Léopold Simar, forthcoming 2010

1046 HEUCHENNE, C. AND I. VAN KEILEGOM Goodness-of-fit tests for the error distribution in nonparametric regression Computational Statistics and Data Analysis, 54, 1942-1951, 2010

1047 GEENENS, G. AND L. SIMAR Nonparametric test for conditional independence in two-way contingency tables Journal of Multivariate Analysis, 101, 765-788, 2010

1048 DAOUIA, A., FLORENS, J.P. AND L. SIMAR Frontier estimation and extreme values theory Bernoulli, 16(4), 1039-1063, 2010

1049 DENUIT, M. AND B. REY Prudence, temperance, edginess and risk apportionment as decreasing sensitivity to detrimental changes Mathematical Social Sciences, 60, 137-143, 2010


1044 DENUIT, M. AND M. MESFIOUI (2010) Dispersive effect of cross-aging with Archimedean copulas

1045 GUILLOTTE, S., PERRON, F. AND J. SEGERS (2010) Nonparametric Bayesian inference on bivariate extremes

1046 KNEIP, A., SIMAR, L. AND I. VAN KEILEGOM (2010) Boundary estimation in the presence of measurement error with unknown variance

1047 DENUIT, M. AND L. EECKHOUDT (2010) Stronger measures of higher-order risk attitudes: an extension

1048 HUNT, J. AND M. HAHN (2010) Estimation and calibration of a continuous-time semi-Markov switching model

1049 DENUIT, M. AND M. MESFIOUI (2010) Ordering functions of random vectors, with application to partial sums

1050 BADIN, L., DARAIO, C. AND L. SIMAR (2010) How to measure the impact of environmental factors in a nonparametric production model?

1051 LAMBERT, P. (2010) Additive location-scale models for interval censored data

1052 PARK, B.U., SIMAR, L. AND V. ZELENUYK (2010) Local maximum likelihood techniques with categorical data

1053 MEIRA-MACHADO,L., ROCA-PARDINAS, J., VAN KEILEGOM, I. AND C. CADARSO-SUAREZ (2010) Estimation of transition probabilities in a non-Markov model with successive survival times

1054 SEGERS, J. (2010) Weak convergence of empirical copula processes under nonrestrictive smoothness assumptions

2011/01 JAEGER, J. AND P. LAMBERT (2011) Bayesian generalized profiling estimation in hierarchical linear dynamic systems

2011/02 AUTIN, F., FREYERMUTH, J.-M. AND R. VON SACHS (2011) Ideal denoising within a family of tree-structured wavelet estimators

2011/03 VAN KEILEGOM, I. AND N. VERAVERBEKE (2011) Statistical models and methods for dependence in insurance data

2011/04 DAHLKE, M., JAY BREIDT, F., OPSOMER, J. AND I. VAN KEILEGOM (2011) Nonparametric endogenous post-stratification estimation (previously DP1104)

2011/05 EINMAHL, J.H.J., KRAJINA, A. AND J. SEGERS (2011) An M-estimator for tail dependence in arbitrary dimensions (previously DP1105)

2011/06 HAEDO, C. AND M. MOUCHART (2011) A stochastic independence approach for different measures of global specialization (previously DP1106)

2011/07 MOUCHART, M., RUSSO, F. AND G. WUNSCH (2011) Inferring causal relations by modelling structures (previously DP1107)

2011/08 XI CHEN, S. AND I. VAN KEILEGOM (2011) Estimation in semiparametric models with missing data

2011/09 ROUEFF, F. AND R. VON SACHS Locally stationary long memory estimation (previously RP1109) Stochastic Processes and their Applications, 121, 813-844, 2011

2011/10 GONZÀLEZ-MANTEIGA, W., PARDO-FERNÀNDEZ, J.C. and I. VAN KEILEGOM ROC curves in non-parametric location-scale regression models (previously RP1110) Scandinavian Journal of Statistics, 38, 169-184, 2011

2011/11 GUILLOTTE, S., PERRON, F. AND J. SEGERS Non-parametric Bayesian inference on bivariate extremes (previously RP1111) Journal of the Royal Statistical Society. Series B, Statistical Methodology, 73, 3, 377-406, 2011

2011/12 SAN MARTÍN, E., JARA, A., ROLIN, J.-M. AND M. MOUCHART On the Bayesian nonparametric generalization of IRT-type models (previously RP1112) Psychometrika, 76, 3,385-409, 2011

2011/13 EICHLER, M., MOTTA, G. AND R. VON SACHS Fitting dynamic factor models to non-stationary time series Journal of Econometrics, 163, 51-70, 2011

2011/14 RUSSO, F., WUNSCH, G. AND M. MOUCHART Inferring causality through counterfactuals in observational studies - Some epistemological issues Bulletin de Methodologie Sociologique, 111, 43-64, 2011 2011/15 MOUCHART, M., RUSSO, F. AND G. WUNSCH Inferring causal relations by modelling structures Statistica, 4, 412-432, 2010

2011/16 VARRON, D. AND I. VAN KEILEGOM Uniform in bandwidth exact rates for a class of kernel estimators Annals of the Institute of Statistical Mathematics, 63, 1077-1102, 2011

2011/17 DAVYDOV, Y. AND S. LIU Transformations des lois multivariées à queue régulière Revue Roumaine de Mathématiques Pures et Appliquées, 55, 6, 483-492, 2010

3.2. DISCUSSION PAPERS

The abstracts of these discussion papers can be found in the Appendix.

1039 FERRATY, F., VAN KEILEGOM, I. AND P. VIEU (2010) Bootstrap and inference when both response and regressor are functional

1040 SIMAR, L. AND A. VANHEMS (2010) Probabilistic characterization of directional distances and their robust versions

1041 SIMAR, L. AND P. W. WILSON (2010) Two-Stage DEA: Caveat Emptor

1042 SCHAFFER, A., SIMAR, L. AND J. RAULAND (2010) Decomposing regional efficiency

1043 DENUIT, M. AND J. DHAENE (2010) Convex order and comonotonic conditional mean risk sharing


3.3. OTHER PUBLICATIONS

> DEPRINS D. Quand la précaution se fait menace souveraine…, in Rhizome Bulletin national de santé mentale et précarité, Paris Contribution à la notion de paranoïa sociale, 39, 6-7, 2010 > DEPRINS D. L’Au-delà du principe de précaution, in Constructif Des contributions plurielles aux grands débats de notre temps, Paris Le principe de précaution en accusation, 27, 47-50, 2010

> DEVOLDER, P. Des comptes notionnels pour sauver nos pensions Monde de l’assurance, 2010

> DEVOLDER, P. Le système des comptes notionnels Principium, 2010

> DEPRINS, D. Point de vue, in Redonner sens au progrès Newsletter de l’Institut Diderot, Paris, 3, 4, 2010

> GAGLIOLO, M. AND LEGRAND, C.(2010) Algorithm Survival Analysis Invited book chapter in: T. Bartz-Beielstein et al., eds. Empirical Methods for the Analysis of Optimization Algorithms, Springer, Berlin, 2010

> COLLÉE, A., LEGRAND, C., GOVAERTS, B., VAN DER VEKEN, P., DE BOODT, F., DEGRAVE, E. Occupational exposure to noise and the prevalence of hearing loss in a Belgian military population: a cross-sectional study Noise Health, 13, 64-70, 2011 (DP1004)

> DEVOLDER, P. Les comptes notionnels La Libre, 2011

> DEPRINS D. La fermeture au probable de l’homme de la précaution, in Psychiatrie Revue de recherche et d’échanges, AFPEP, Paris, Le principe de précaution: Diktat prédictif ou prévention? 155, 61-88, 2011

> HA, ID., SYLVESTER, R., LEGRAND, C., MACKENZIE, G. Frailty modelling for survival data from multi-centre clinical trials Statistics Methodology, 30(17), 2144-59, 2011

> HOLLEVOET, K., NACKAERTS, K., GOSSELIN, R., DE WEVER, W., BOSQUÉE, L., DE VUYST, P., GERMONPRÉ, P., KELLEN, E., LEGRAND, C., KISHI, Y., DELANGHE, J.R., VAN MEERBEECK, J.P. Soluble Mesothelin, Megakaryocyte Potentiating Factor, and Osteopontin as Markers of Patient Response and Outcome in Mesothelioma Journal of Thoracic Oncology, 6 (11), 1930-1937, 2011

> MOUCHART, M. AND F. RUSSO Causal explanation: recursive decompositions and mechanisms Causality in the Sciences, P.M. Illari, F. Russo and J. Williamson (eds), Oxford University Press, 15, 317-337, 2011

2011/09 HUNT, J. AND P. DEVOLDER (2011) A semi-Markov regime switching extension of the Vasicek model

2011/10 HUNT, J. AND P. DEVOLDER (2011) Semi-Markov regime switching interest rate models and minimal entropy measure

2011/11 VANHEMS, A. AND I. VAN KEILEGOM (2011) Semiparametric transformation model with endogeneity: a control function approach

2011/12 KOJADINOVIC, I., SEGERS, J. AND J. YAN (2011) Large-sample tests of extreme-value dependence for multivariate copulas

2011/13 BAUWENS, L., HAFNER, C. AND D. PIERRET (2011) Multivariate volatility modeling of electricity futures

2011/14 DENUIT, M., EECKHOUDT, L. AND H. SCHLESINGER (2011) When Ross meets Bell: the linex utility function

2011/15 DEVOLDER, P. (2011) Solvency requirement for long term guarantee: risk measure versus probability of ruin

2011/16 DEVOLDER, P. AND H. TASSA (2011) Solvency capital, inflation and time horizon in pension liabilities

2011/17 AUTIN, F., FREYERMUTH, J.M. AND R. VON SACHS (2011) Block-Threshold-Adapted Estimators via a maxiset approach

2011/18 GUDENDORF , G. AND J. SEGERS (2011) Nonparametric estimation of multivariate extreme-value copulas

2011/19 BADIN, L., DARAIO, C. AND L. SIMAR (2011) How to Measure the Impact of Environmental Factors in a Nonparametric Production Model?

2011/20 TIMMERMANS, C., DELSOL, L. AND R. VON SACHS (2011) Using Bagadis in nonparametric functional data analysis: predicting from curves with sharp local features

2011/21 AUTIN, F., FREYERMUTH, J.M. AND R. VON SACHS (2011) Combining thresholding rules: a new way to improve the performance of wavelet estimators

2011/22 HEUCHENNE, C., LAURENT, S., LEGRAND, C. AND I. VAN KEILEGOM (2011) Likelihood based inference for semi-competing risks

2011/23 SAMB, R., HEUCHENNE, C. AND I. VAN KEILEGOM Estimation of the error density in a semiparametric transformation model

2011/24 NOH, H., EL GHOUCH, A. AND I. VAN KEILEGOM On assessing model adequacy in linear quantile regression

2011/25 NOH, H., EL GHOUCH, A. AND I. VAN KEILEGOM Quality of fit measures in the framework of quantile

2011/26 MÜLLER, U. AND I. VAN KEILEGOM Efficient parameter estimation in regression with missing


4. SEMINARS AND WORKSHOPS

> Statistics seminars

> Applied statistics workshops

> Short courses

dd

3.4. EDITORIAL ACTIVITIES

> MICHEL DENUIT • Editor The Astin Bulletin • Associate editor Insurance: Mathematics and Economics, Methodology and Computing in Applied Probability

> PIERRE DEVOLDER • Co-editor The Astin Bulletin

> CHRISTIAN HAFNER • Associate editor Banking and Finance Review Computational Statistics International Review of Econometrics Studies in Nonlinear Dynamics and Econometrics

> CATHERINE LEGRAND • Associate editor Biometrics • Member of the Editoral Board of Expert Review of Pharmacoeconomics and Outcomes Research

> MICHEL MOUCHART • Associate editor Statistica

> JOHAN SEGERS • Associate editor Advances in Applied Probability Bernoulli Journal Journal of Applied Probability Stochastic Processes and Their Applications

> LÉOPOLD SIMAR • Associate editor Journal of Productivity Analysis

> INGRID VAN KEILEGOM • Associate editor Annals of the Institute of Statistical Mathematics Annals of Statistics International Journal of Biostatistics Scandinavian Journal of Statistics Statistics and Probability Letters


March 4, 2011-Joint ULB/UCL

> Auguste GADDAH, ISBA, UCL, Belgium «Random censorship single-index quantile regression model» > Maarten JANSEN, ULB, Brussels, Belgium «Lifted smoothing and smoothed lifting»

March 9, 2011 - Joint seminar CORE/ISBA

> Timothy J. VOGELSANG, Michigan State University, USA «Integrated modified OLS estimation and fixed-b inference for cointegrating regressions» March 16, 2011 - Mathematical Finance and Risk Theory

> Carole BERNARD, University of Waterloo, Waterloo, Canada «Financial bounds for insurance prices»

March 18, 2011

> Christian HAEDO (Buenos Aires) & Michel Mouchart, ISBA, UCL, Belgium «A stochastic independence approach for different measures of global specialization»

March 29-30, 2011 - Mathematical Finance and Risk Theory

> Elena VIGNA, Università di Torino, Italy «Theory and applications of doubly stochastic approach for stochastic mortality and longevity»

April 1, 2011 - Joint seminar ISBA/CORE

> Piotr FRYZLEWICZ, London School of Economics (LSE), United Kingdom «Haar-Fisz methodology for interpretable estimation of large, sparse, time-varying volatility matrices»

> Olivier WINTENBERGER, CEREMADE, Université Paris Dauphine, Paris, France «Detecting multiple change points using quasi likelihood» (in collaboration with J.M. Bardet and W. Kengne)

April 29, 2011

> Carla MOREIRA, University of Vigo, Vigo, Spain «Kernel density estimation with double truncated data»

> Rawane SAMB, ISBA, UCL, Belgium «Nonparametric estimation of the residual density»

May 13, 2011

> Ivan KOJADINOVIC, Université de Pau et des Pays de l’Adour, Pau, France «Some non-parametric tests for copulas: tests of independence, exchangeability, extreme-value dependence, goodness of fit, ... »

> Hohsuk NOH, ISBA, UCL, Belgium «Nonparametric coefficient of determination for quantile regression analysis»

4.2. APPLIED STATISTICS WORKSHOPS

October 1, 2010

> Christian RITTER, ISBA, UCL & Danielson Consulting, Belgium «Communicating about statistics via graphs and tables» «Combining software tools to practice statistics»

4.1. STATISTICS SEMINARS

September 22, 2010 - Joint seminar CORE/ISBA

> Lars STENTOFT, HEC, Montreal, Canada «Option pricing with asymmetric heteroskedastic normal mixture models»

October 8, 2010

> François ROUEFF, TELECOM ParisTech, Paris, France «Multiscale analysis for long memory models, including non-stationary ones»

> Anne VANHEMS, Toulouse School of Economics, Toulouse, France «Welfare analysis using nonseparable models»

October 29, 2010

> Veredas DAVID, ULB, Brussels, Belgium «Disentangling systematic and idiosyncratic risk for large panels of assets»

> Johan SEGERS, ISBA, UCL, Belgium «Nonparametric Bayesian inference on bivariate extremes»

November 12, 2010

> Taoufik BOUEZMARNI, University of Sherbrooke, Quebec, Canada «Nonparametric estimation and inference for causality measures»

> Stanislas VOLGUSHEV, University of Bochum, Germany «Some properties of Berans estimator for censored data»

November 26, 2010

> Arne KOVAC, Bristol University, United Kingdom «Penalized regression on a graph»

> Juan Carlos PARDO-FERNANDEZ, University of Vigo, Spain «Nonparametric tests for risk-return relationships»

December 8, 2010 - Joint CORE-ISBA and LSM Finance Seminar

> Anthony G. BELLOTTI, Imperial College London, United Kingdom «Support vector machines in finance: application to the prediction of bank ratings»

December 10, 2010

> Abderrhamin TAAMOUTI, Universidad Carlos III de Madrid, Spain «Nonparametric tests for conditional independence using conditional distributions»

> Atika COHEN, ULB, Brussels, Belgium - EHTP, Casablanca, Morroco «Comment créer et publier ses documents à l’aide de chaîne éditoriale Scenari»

December 15, 2010 - Joint seminar CORE/ISBA and LSM Finance

> Karim ABADIR, Imperial College, London, United Kingdom «Lies, damned lies, and statistics? Examples from finance and economics»

February 16, 2011-Joint seminar CORE/ISBA

> Dimitri KOROBILIS, CORE, UCL, Belgium «On adaptative shrinkage priors for forecasting with many predictors»

February 18, 2011

> François PERRON, University of Montreal, Canada «Polynomials pickands dependence functions»

> Harry VAN ZANTEN, Eindhoven University of Technology, Eindhoven, The Netherlands «Adaptive Bayesian inference using location-scale mixture priors»


October 22, 2010

> Yves BROSTAUX, Université de Liège - Gembloux Agro-Bio Tech (GxABT), Belgium «Détection du comportement agrégatif dans les dispositifs à choix binaires apport des modèles linéaires généralisés» > Maria KEY PRATO, UCB Pharma SA, Brussels, Belgium «Quality by design principles applied to analytical methods for drug development»

December 3, 2010

> Rembert DE BLANDER, Earth and Life Institute (ELI), UCL, Belgium «Iterative estimation correcting for error auto-correlation applied to short panels»

> Vincent SCOURNEAU, IRES/IMMAQ, UCL Louvain-la-Neuve, Belgium «Estimation de la fonction GEV par maximum de vraisemblance; une approche alternative»

February 11, 2011

> Jacqueline ASSCHER, Technion (Haifa), Israel «Strategy employed in designing a series of small experiments to evaluate and improve the precision of a laboratory test»

> Erich NEUWIRTH, University of Vienna, Austria «PISA - complex statistics meets educational policy»

February 25, 2011

> Olivier VAN OVERSTRAETEN, Vadis Consulting, Brussels, Belgium «Data cleaning through statistical tools: an example in entity resolution»

> Manuel PIETTE, BNP-Paribas-Fortis, Brussels, Belgium «Marketing leads optimization at Fortis RBB»

March 11, 2011

> Jacques MARQUET, IACCHOS, UCL, Louvain-la-Neuve, Belgium «Modèles de couple: de l’ influence normative des proches»

> Roselinde KESSELS, University of Antwerp, Antwerp, Belgium «Bayesian optimal designs for discrete choice experiments with full and partial profiles»

March 25, 2011

> Tom LOEYS, Ghent University, Ghent, Belgium «A joint modeling approach for reaction time and accuracy in psycholinguistics experiments»

> Jérôme AMBROISE, ICTEAM, UCL, Louvain-la-Neuve, Belgium «Les méthodes de reconstruction des réseaux d’interaction des gènes à partir de données de microarray d’expression»

4.3. SHORT COURSES

December 6, 2010

> Short course on «Valeurs extrêmes» David Clifton, Department of Engineering Science, University of Oxford, United Kingdom Johan Segers, UCL, Belgium

October 18, 21 and 25, 2010

> Short course on «Long memory processes: theory and applications» Professor François Roueff, Telecom ParisTech, France

November 24-25, 2010

> Short course on «Nonparametric methods in ROC curves» Juan Carlos Pardo Fernández, University of Vigo, Spain

May 2-3, 2011

> Short course on «Single index model» Olivier Lopez, Paris VI University, France

May 10-11, 2011 > Mathematical Finance and Risk Theory Short course on «Numerical methods in income protection models» Isabel Maria Ferraz Cordeiro, Universidade do Minho, Braga, Portugal

May 24, 2011 > Short course on «Continuous time models in financial econometrics» Jun Yu, Singapore Management University, Singapore


5. DOCTORAL TRAINING

> Completed doctoral dissertations

> Doctoral dissertations in progress

> Doctoral seminars


> Gordon GUDENDORF «Extreme value analysis: modelling dependence between many variables» Supervisor: Johan Segers

> Julien HUNT «Calcul stochastique en univers semi-markovien et applications financières» Supervisor: Pierre Devolder

> Jonathan JAEGER «Functionnal estimation in system defined by differential equations using Bayesian smoothing methods» Supervisors: Philippe Lambert, Catherine Legrand

> Daniel KOCH «Optimisation de portefeuilles sous contraintes de solvabilité» Supervisor: Rainer von Sachs

> Marco MUNDA «Frailty Models» Supervisor: Catherine Legrand

> Diane PIERRET «Econometric analysis and risk management in energy markets» Supervisors: Christian Hafner, Luc Bauwens

> Mathieu PIGEON «Mixed regression models for insurance data with credibility updates and particular forms of censoring» Supervisor: Michel Denuit

> Rudolf SCHENK «Adaptative nonparametric Bayesian estimation in inverse problems» Supervisors: Jan Johannes, Ingrid Van Keilegom

> Mohammed RIDA SOUMALI «Asymptotic study of robustness properties of regression estimators in semiparametric regression models» Supervisor: Ingrid Van Keilegom

> Majda TALAMAKROUNI «Guided censored regression» Supervisors: Ingrid Van Keilegom, Anouar El Ghouch

> Habiba TASSA «Evaluation des fonds de pension et solvabilité» Supervisor: Pierre Devolder

> Cédric TAVERNE «Evaluation of some reinforcements of the stated preference methods using the potential of computer based questionnaires» Supervisor: Bernadette Govaerts

> Catherine TIMMERMANS «Analyse de données fonctionnelles appliquées à la physique solaire et à l’étude des relations terre-soleil» Supervisors: Rainer von Sachs, Véronique Delouille (ORB)

5.1. COMPLETED DOCTORAL DISSERTATIONS

> Thomas MEINGUET (2010) «Heavy tailed functional time series» Supervisor: Johan Segers

> Olga REZNIKOVA (2010) «Adaptive modelling of the dependence in multivariate time series» Supervisor: Christian Hafner

> Julien TRUFIN (2010) «Ruin problems in non-standard risk models» Supervisors: Michel Denuit, Pierre Devolder

> Réjane ROUSSEAU (2011) «Outils statistiques pour identification de biomarqueurs de toxicité métabonomiques» Supervisors: Bernadette Govaerts, Michel Verleysen

> Maik SCHWARZ (2011) «Non-parametric estimation in the presence of noise with unknown distribution» Supervisors: Ingrid Van Keilegom, Rainer Dahlhaus (University of Heidelberg, Germany)

5.2. DOCTORAL DISSERTATIONS IN PROGRESS

> George BABAJAN «Risk management for energy markets» Supervisor: Pierre Devolder

> Anne BENOIT “Identification of a statistical model for vaccine efficacy estimation of an influenza vaccine” Supervisor: Catherine Legrand

> Louis BOULANGER «Econometric analysis of alternative assets with application to the art market» Supervisor: Pierre Devolder

> Boris DEMESHEV «Nonparametric robust regression with power basis» Supervisors: Anouar El Ghouch, Ingrid Van Keilegom

> Rachida EL MEHDI «L’analyse d’efficience des domaines de développement au Maroc» Supervisors: Christian Hafner, B. El Kihel

> Baptiste FÉRAUD «Statistical contribution to the analysis of 2D-NMR data and spectra in metabolomic studies» Supervisor: Bernadette Govaerts

> Bernard FRANCQ «Development of statistical tools to test the equivalence between analytical measurement methods» Supervisor: Bernadette Govaerts

> Jean-Marc FREYERMUTH «Tree-strucured wavelet thresholding with applications in nonparametric curve estimation» Supervisor: Rainer von Sachs


5.3. DOCTORAL SEMINARS

September 24, 2010

> Louis BOULANGER «Modeling extremal dependence: Application to CDOs pricing»

> Boris DEMESHEV «Guided local linear regression»

> Ingrid HAFF «Pair-copula constructions of multiple dependence»

> Jonathan JAEGER «Functional estimation in systems defined by differential equation using Bayesian smoothing methods»

> Diane PIERRET «Multivariate volatility modelling of electricity futures»

> Majda TALAMAKROUNI «Guided censored regression»

February 4, 2011

> Rachida EL MEHDI «Stochastic frontier analysis with copulas»

> Mathieu PIGEON «Individual stochastic loss reserving: model and preliminary results»

> Mohammed RIDA SOUMALI «Detecting influential data in partially linear models»

> Rudolf SCHENK «Adaptive local functional regression»

> Majda TALAMAKROUNI «Guided censored regression»

> Catherine TIMMERMANS «Bases giving distances. A new semimetric and its use for nonparametric functional data analysis»

6. ORGANIZATION OF SCIENTIFIC MEETINGS


ECONOMETRIC AND STATISTICAL MODELLING OF MULTIVARIATE TIME SERIES INTERDISCIPLINARY WORKSHOP

Date: May 25-27, 2011Location: Louvain-la-Neuve, Belgium

This interdisciplinary workshop on multivariate time series addressed substantial questions of com-mon interest in econometrics and statistics.The particular topics covered were multivariate volatility models, high frequency data, extreme value modelling, dimension reduction and factor models, time-varying parameter models and structural changes, forecasting.

Organizing and scientific committee

Luc Bauwens (UCL)Christian Hafner (UCL) Rainer von Sachs (UCL)Johan Segers (UCL)Sébastien Van Bellegem (UCL)David Veredas (ULB)

Programme

May 25, 2011

> Opening speech by Vincent Yzerbyt, Pro-Rector for research, UCL, Belgium> Invited paper session (chair: David Veredas, ULB, Belgium)> Timo Teräsvirta (Aarhus University & CREATES, Denmark) “Nonlinear forecasting of macroeconomic variables using automated model selection techniques”> Luc Bauwens (CORE, UCL, Belgium) “CAW-DCC: a dynamic model for vast realized covariance matrices”> Poster session> Invited paper session (chair: François Roueff, Telecom ParisTech, France)> Jun Yu (Singapore Management University, Singapore) “Bias in Estimating Multivariate and Univariate Diffusions”> Dennis Kristensen (Columbia University, USA) “Estimation of Diffusion Models with Time-varying Parameters”> Cocktail

May 26, 2011

> Keynote Session (Luc Bauwens, CORE, UCL, Belgium)> Keynote lecture: Robert F. Engle (New York University Stern School of Business, USA) “Volatility, Correlation and Tails for Systemic Risk Measurement”> Poster session> Invited paper session 3 (chair: Manfred Deistler, Vienna University of Technology, Austria)> Qiwei Yao (London School of Economics, United Kingdom) “Factor modelling for high-dimensional time series: a dimension-reduction approach”> Christian Gouriéroux (University of Toronto, Canada & CREST, France) “Correlated Risks vc Contagion in Stochastic Transition Models”> Invited paper session 4 (chair: Franz Palm, Maastricht University, The Netherlands)> Johan Segers (ISBA, UCL, Belgium) “Modelling extremes of multivariate time series via the tail process”> Matteo Barigozzi (London School of Economics and Political Science, United Kingdom) “Which models to match?”> Dimitris Korobilis (CORE, UCL, Belgium) “Assessing the transmission of monetary policy shocks using dynamic”

> Conference dinner Aula Magna, Louvain-la-Neuve

May 27, 2011

> Invited paper session 5 (chair: Piotr Fryzlewicz, London School of Economics and Political Science, United Kingdom)> Christian Hafner (ISBA, UCL, Belgium)> “Macroeconomic News Surprises and Volatility Spillover in the Foreign Exchange Markets”> Jeroen Rombouts (HEC Montreal, Canada & CORE, UCL, Belgium) “Marginal Likelihood for Markov-Switching and Change-Point Garch Models”> Invited paper session 6 (chair: Jürgen Franke, university of Kaiserslautern, Germany)> Marc Hallin (ECARES, ULB, Belgium) “Quantiles, Time Series, and Spectral Analysis”> Richard A. Davis (Columbia University, USA) “Noncausal Vector AR Processes with Application to Financial Time Series”> Closing lunch

2ND APPLIED BAYESIAN BIOSTATISTICS WORKSHOP

Date: April 27-29, 2011Location: Mont-Saint-Guibert, Belgium

Co-organizer of Bayes 2011: Philippe LambertThe purpose is to present some success stories of the Bayesian thinking in order to propagate the Bayesian practices within the pharmaceutical industry but special attention will be put on adaptive design applications: > Short course on adaptive designThe objective of this course will be to give a 360° overview around the adaptive design. It will start with a general introduction, including regulatory perspective. Applications of adaptive designs in frequentist and Bayesian settings will be presented and some programming exercises in R2WinBUGS will be provided. > Team workshop: how to set up an adaptive design?Participants will be divided into several teams and they will receive a protocol synopsis. The objective will be to dive into the details of the set-up of an adaptive design and to prepare a meeting with the clinical team by thinking about the right questions to ask. Clinical pharmaco-logists will be present to answer questions and help the participants in the design of the study.

Programme

April 27, 2011

> Course on adaptive designs> Welcome to BAYES2011 (Bruno Boulanger, Arlenda) > Adaptive design theory and practice (Part I) (Fabian Tibaldi, GSKBio)> Adaptive design theory and practice (Part II) (Fabian Tibaldi, GSKBio & Astrid Jullion, Arlenda)> Presentation of Bayesian applications

April 28, 2011

> Andy Grieve, ClinResearch & François Vandenhende, ClinBAY Bayesian methods for decision making in early phase: A few case examples> Wilbert van Duijnhoven, Business & Decision Bayesian methodology for an adaptive dose-finding trial with a bivariate binary response> Jonathan Jaeger, ISBA, UCL, Belgium Bayesian ODE-penalized B-spline model> Vincent Bremhorst, ULB & UCB Pharma, Belgium Modeling the plasma concentration - time profile in a single rising dose study using the fractional polynomials approach.


> Christel Faes, University of Hasselt Bayesian modeling of correlated and overdispersed data with application in a toxicity assay measuring gene damage> Marina Savelieva, Novartis Pharma Bayesian PKPD Modeling to Support Trial Design> Team workshop: How to set up an adaptive design?> Discussion with Alvaro Pereira and Denis Gossen, Aepodia

April 29, 2011

> Presentation of Bayesian applications> Bjorn Bornkamp, Novartis Pharma Response Adaptive Dose-Finding under Model Uncertainty using the DoseFinding R package> Pierre Lebrun, Ulg & Arlenda Validation and routine use of Ligand-binding assays, a Bayesian opportunity> Joanna in ‘t Hout, MSD Dose prediction using a Bayesian estimator on biomarker results> Thomasz Burzykowski, University of Hasselt & IDDI Clinical trial design: Bayesian approach can be useful?> Tom Jacobs, UCB> Closing remarks

SYMPOSIUM: “LE SENS DU PROGRÈS”

Date: February 8, 2011Location: Palais du Luxembourg, ParisScientific committee and steering committee: Dominique DeprinsOrganized at the initiative of the prof. Dominique Lecourt and Jean-Claude Seys (Institut Diderot)

“DES FAITS AUX DATA: UN PARADIGME PRÉDICTIF” WORKSHOP

Date: June 22, 2011Location: Paris, FranceScientific committee and organizing committee of the workshop: Dominique DeprinsWorkshop organized at the initiative of François Ewald, Ecole Nationale d’assurance (ENASS)

7TH CONFERENCE ON EXTREME VALUE ANALYSIS, PROBABILISTIC AND STATISTICAL MODELS AND THEIR APPLICATIONS

Date: June 2011, Location: Lyon, France Member of the scientific committee: Johan Segers

WORKSHOP “FOURIER MEETS WAVELETS”

Date: September 6-7, 2010Location: Karlsruhe University of Technology, GermanyJointly co-organized by Rainer von Sachs, Claudia Kirch and Efstathios Paparoditis,

3RD CONFERENCE OF THE INTERNATIONAL BIOMETRIC SOCIETY CHANNEL Network

Date: April 11-13, 2011Location: Bordeaux, FranceMember of the Scientific Committee: Catherine Legrand


7. ACADEMIC VISITS

The members of the Institute visited other institutions and most of them presented seminars.


September 2010

Anouar EL GHOUCH > Department of Mathematics, University of Sherbrooke, Sherbrooke, Quebec, Canada Seminar: “Measuring the Discrepancy of a Parametric Model”

Léopold SIMAR > Research Grant, INRA-GREMAQ, Toulouse School of Economics, France

Ingrid VAN KEILEGOM > Toulouse School of Economics, University of Toulouse I, France Collaboration with J.P. Florens, A. Vanhems and A. Daouia

> Toulouse School of Economics, University of Toulouse I, France Seminar: “Goodness-of-fit tests for multiplicative models with dependent data”

October 2010

Jan JOHANNES > GREMAQ, Toulouse, France Seminar: “Functional linear instrumental regression”

Michel MOUCHART > Universitá degli studi di Bologna, Dipartimento di Scienze Statistiche ”Paolo Fortunati”, Italy Teaching doctoral program and investigation with Professor R.Orsi

Johan SEGERS > Université de Lille I, Lille, France Seminar: “Inférence nonparamétrique bayesienne sur les extrêmes bivariées”

> Zagreb University, Zagreb, Croatia Seminar: “Inference on Copulas: When Ignorance is Bliss”

Léopold SIMAR > Dipartemento di Scienze Aziendale, Centro Studi di Ingegneria Economico-Gestionale (CIEG), Università di Bologna, Italy

November 2010

Christian HAFNER > Université du Luxembourg, Luxemburg Seminar: “Macroeconomic News Surprises and Volatility Spillover in the Foreign Exchange Markets’’

> Universitaet Goettingen, Germany Seminar: “Macroeconomic News Surprises and Volatility Spillover in the Foreign Exchange Markets’’

Johan SEGERS > Technische Universität Dortmund, Germany Seminar: “Nonparametric Bayesian Inference on Bivariate Extremes”

Ingrid VAN KEILEGOM > University of La Coruña, Spain Collaboration with R. Cao Seminar: “The copula-graphic estimator of the survival function under dependent censoring with unknown copula”

December 2010

Philippe LAMBERT > Universität Bielefeld, Germany Seminar: “An additive location-scale model for interval-censored data”

Johan SEGERS > University of Cologne, Germany Seminar: “Nonparametric Bayesian Inference on Bivariate Extremes”


Ingrid VAN KEILEGOM > Department of statistics, Texas A&M University, USA Collaboration with R. Carroll and U. Müller

> University of York, United Kingdom Seminar: “Nonparametric tests for risk-return relationships”

January 2011

Pierre DEVOLDER > Université de Strasbourg, France Assurance vie 3 (gestion actuarielle des fonds de pension)

> EM Lyon, Lyon, France Short course: “Risk measures and Solvency 2”

Michel DENUIT > Faculty of Applied Economics, KULeuven, Leuven, Belgium Seminar: “Approximations for present values of life annuity portfolios”

Johan SEGERS > Télécom ParisTech, Paris, France Seminar: “Regularly Varying Time Series in Function Space”

Ingrid VAN KEILEGOM > University of Mannheim, Germany Collaboration with E. Mammen

February 2011

Léopold SIMAR > University of Bonn, Germany Institute for Economic and Social Sciences

Ingrid VAN KEILEGOM > Toulouse School of Economics, University of Toulouse I, France Collaboration with J.P. Florens and A. Vanhems


March 2011

Dominique DEPRINS > “La probabilité ou le hasard de l’existence”

Seminar organized by Prof. Dr. Fouchet on the question of statistics ULB, Belgium

Christian HAFNER > CREATES, University of Aarhus, Denmark Seminar: “Modelling multivariate volatility of electricity futures”

Jan JOHANNES > University of Mannheim, Germany Seminar: “Adaptive functional linear regression”

Léopold SIMAR > University of Bologne, Italy Dipartemento di Scienze Aziendale, Centro Studi di Ingegneria Economico-Gestionale (CIEG)

> University of Rome La Sapienza, Italy Department of Computer and System Sciences

> Toulouse School of Economics, France Research Grant, INRA-GREMAQ,

Ingrid VAN KEILEGOM > University of Bochum, Germany Collaboration with M. Birke

April 2011

Ingrid VAN KEILEGOM > Toulouse School of Economics, University of Toulouse I, France Collaboration with J.P. Florens and A. Vanhems

> Department of statistics, University of Dortmund, Germany Seminar: “Semi-parametric estimation for dependent right-censoring with an unknown copula”

May 2011

Pierre DEVOLDER > BSB convention, Belgium Seminar: Evolution of pension scheme towards defined contributions: challenges and opportunities

> University of Barcelona, Spain Short course: “Solvency in insurance and finance”


Rainer VON SACHS > Faculty of Economy, KUL, Belgium Seminar: “Ideal denoising within a TSW family” (Prof. G. Claeskens)

June 2011

Dominique DEPRINS > TV Interview on French TV (LCP) as part of the show “Le sens du progress”, following the symposium of the same name organized by the “Institut Diderot” in February 2011, Paris, France.

Léopold SIMAR > Dipartemento di Scienze Economiche e Matematico-Statistiche, Università di Lecce, Italy

July 2011

Jan JOHANNES > University of Bonn, Germany Collaboration with Professor A. Kneip

Ingrid VAN KEILEGOM > Department of statistics, University of Santiago de Compostela, Spain Collaboration with W. Gonzalez Manteiga

> Department of statistics, University of Vigo, Spain Collaboration with J.C. Pardo-Fernandez

Rainer VON SACHS > London School of Economics and Political Science, United Kingdom Collaboration with P. Fryzlewicz


dd 8. CONFERENCES AND

SCIENTIFIC MEETINGS

Members of the Institute attended international conferences in addition to Belgian conferences.


September 2010

Michel DENUIT - Invited as main speaker for the session> “Transition rates: graduation and forecasting” Actuarial Statistics of the European Network for Business and Industrial Statistics 2010 Antwerp, Belgium

Pierre DEVOLDER - Invited talk> “Risk measures, probability of ruin and solvency requirement” IABE Summer School Brussels, Belgium

Bernadette GOVAERTS - Invited talk> Actuarial Statistics of the European Network for Business and Industrial Statistics 2010 Special topic session - Wild river workshop Antwerp, Belgium

Johan SEGERS - Invited talk> “Démystifier la statistique: de la magie mathématique au sens commun” 2e Colloque francophone international sur l’enseignement de la statistique Brussels, Belgium

Ingrid VAN KEILEGOM - Invited talk> “Goodness-of-fit tests for multiplicative models with dependent data” Prague Stochastics 2010 Prague, Czech Republic

Yavuz A. CETINYÜREK and Philippe LAMBERT - Invited talk> “A flexible shared frailty model for interval-censored data” 31st Annual Conference of the International Society for Clinical Biostatistics Montpellier, France

October 2010

Jan JOHANNES> “Functional linear instrumental regression” 18th annual meeting of the Belgian Statistical Society Spa, Belgium

Bernadette GOVAERTS> Member of scientific committee and metabonomic session chairperson 12th Chemometrics in analytical chemistry meeting (CAC 2010) Antwerp, Belgium

Léopold SIMAR - Invited talk> “Regularization of non-parametric frontier estimators”

Dipartemento di Scienze Economiche e Matematico-Statistiche, Università di Lecce, Italy

> “Probabilistic characterization of directional distances and their robust versions” Dipartemento di Scienze Aziendale, Centro Studi di Ingegneria Economico-Gestionale (CIEG) Università di Bologna, Italy

November 2010

Philippe LAMBERT> “Flexible modelling: UCL research projects. Cross-fertilization within the IAP network”

The fourth workshop of the IAP network Leuven, Belgium

Johan SEGERS - Invited talk> “Dependence modeling with emphasis on copulas, tail dependence and time series” The fourth workshop of the IAP network

Leuven, Belgium

Ingrid VAN KEILEGOM - Keynote speaker> “Z-estimation in semiparametric statistics: general theory” and “Z-estimation in semiparametric statistics: applications in various fields”

Stochastics Meeting Lunteren, The Netherlands

February 2011

Pierre DEVOLDER - Invited talk> “Solvency capital, inflation and time horizon in pension liabilities”

AFMath Conference Brussels, Belgium

Christian HAFNER> “Verein für Socialpolitik” Oekonometrischer Ausschuss

Schloss Rauischholzhausen, Germany

Philippe LAMBERT > “Additive models for location and scale from interval-censored data”

Workshop on Bayesian inference for latent Gaussian models with applications Zürich, Switzerland

March 2011

Christian HAFNER> “Extreme dependence in financial markets”

Discussion of “Dynamic correlation or tail dependence hedging for portfolio selection’’ by Elkamhi and Stefanova Erasmus University Rotterdam Rotterdam, The Netherlands

Léopold SIMAR - Invited lectures> “Efficiency and productivity analysis, the statistical approach”

Department of Computer and System Sciences University of Rome La Sapienza, Italy

April 2011

Johan SEGERS - Invited talk> “The tail process of a regularly varying time series: the time-change formula”

Dependence in Probability and Statistics Luminy, Marseille, France


May 2011

Christian HAFNER - Invited talk> “Macroeconomic news surprises and volatility spillover in the foreign exchange markets”

Econometric and statistical modelling of multivariate time series Louvain-la-Neuve, Belgium

Johan SEGERS - Invited talk> “Modelling extremes of multivariate time series via the tail process”

Econometric and statistical modelling of multivariate time series Louvain-la-Neuve, Belgium

Ingrid VAN KEILEGOM - Invited talk> “The copula-graphic estimator of the survival function under dependent censoring with unknown copula”

International symposium on “Recent Advances in Statistics and Probability” in honor of Noel Veraverbeke Hasselt, Belgium

June 2011

Dominique DEPRINS - Invited talk> “Quand l’ incertain s’efface ...” Conférence AssoScience

Toulouse, France

Dominique DEPRINS - Invited talk> “La probabilité dans la statistique décisionnelle par apprentissage: un changement de paradigme?”

Workshop “Des Faits aux “data”: un paradigme prédictif”, organized at the initiative of François Ewald, ENASS Paris, France

Pierre DEVOLDER - Invited talk> “Market and longevity risks for pension liabilities”

Applied Stochastic Models and Data Analysis (ASMDA) Conference Rome, Italy

Pierre DEVOLDER - Invited talk> “Solvency measure for pension liabilities: time, inflation and longevity aspects”

AFIR Colloquium Madrid, Spain

Christian HAFNER - Invited talk> “Multivariate Modelling of electricity futures”

International symposium on forecasting Prague, Czech Republic

Jan JOHANNES> “On the effect of noisy observations of the regressor in a functional linear model”

Second International Workshop on Functional and Operatorial Statistics (iWFOS) Santander, Spain

Johan SEGERS - Invited talk> “Nonparametric Bayesian inference on bivariate extremes”

7th Conference on Extreme Value Analysis, Probabilistic and Statistical Models and their Applications Lyon, France

Johan SEGERS - Invited talk, keynote lecture> “Studying extremal dependence via copulas”

Workshop on Copula Models and Dependence Montreal, Canada

Léopold SIMAR - Invited talk> “How to measure the impact of environmental factors in a nonparametric production model?”

Dipartemento di Scienze Economiche e Matematico-Statistiche Università di Lecce, Italy

Léopold SIMAR - Invited member of the scientific committee, discussant and chairman of a keynote session> Presentation of “Statistical inference with DEA estimators of directional distances’’

12th European Workshop on Efficiency and Productivity Analysis Verona, Italy

Léopold SIMAR - Invited member of the scientific committee and invited discussant> Workshop on Efficiency measurement: new methods and applications to food sector

Toulouse, France

Ingrid VAN KEILEGOM - Invited talk> “The copula-graphic estimator of the survival function under dependent censoring with unknown copula”

14th Applied Stochastic Models and Data Analysis (ASMDA) conference, Rome, Italy

Ingrid VAN KEILEGOM - Keynote speaker> “Boundary estimation in the presence of measurement error with unknown variance” Conference on Modern Nonparametric Methods Fort Collins, USA

Ingrid VAN KEILEGOM - Invited talk> “Frontier estimation in nonparametric location-scale models”

Workshop on Efficiency Measurement: new Methods and Application to the Food Sector Toulouse, France

July 2011

Philippe LAMBERT> “Nonparametric additive location-scale model when the response and some covariates are interval censored”

26th International Workshop on Statistical Modelling Valencia, Spain

Ingrid VAN KEILEGOM - Invited talk> “Semi-parametric estimation in a single index model with endogenous variables”

Joint Statistical Meetings Miami Beach, USA


dd 9. APPENDIX

Abstracts of the discussion papers.


1039 - Bootstrap and inference when both response and regressor are functional

> FERRATY, F., VAN KEILEGOM, I. AND P. VIEU [2010]

We consider a nonparametric regression model where the response Y and the covariate X are both functional (i.e. valued in some infinite-dimensional space). We define a kernel type estimator of the regression operator and we first establish its point wise asymptotic normality. The double functional feature of the problem makes the formulas of the asymptotic bias and variance even harder to esti-mate than in more standard regression settings, and we propose to overcome this difficulty by using resampling ideas. Both a naive and a wild component wise bootstrap procedure are studied, and their asymptotic validity is proved. These results are also extended to data-driven bases which are a key point for implementing this methodology. The theoretical advances are completed by some simulation stud-ies showing both the practical feasibility of the method and the good behavior for finite sample sizes of the kernel estimator and of the bootstrap procedures to build functional pseudo-confidence area.

1040 - Probabilistic characterization of directional distances and their robust versions

SIMAR, L. AND A. VANHEMS [2010]

In productivity analysis, the performance of production units is measured through the distance of the individual decision making units (DMU) to the technology which is defined as the frontier of the production set. Most of the existing methods, Farrell-Debreu and Shephard radial measures (input or output oriented) and hyperbolic distance functions, rely on multiplicative measures of the distance and so require dealing with strictly positive inputs and outputs. This can be critical when the data contain zero or negative values as in financial data bases for the measure of funds performances. Directional distance function is an alternative that can be viewed as an additive measure of efficiency. We show in this paper that using a probabilistic formulation of the production process, the directional distance can be expressed as simple radial or hyperbolic distance up to a simple transformation of the inputs/outputs space. This allows to propose simple methods of estimation but also to transfer easily most of the known properties of the estimators shared by the radial and hyperbolic distances. In addition, the formulation allows defining robust directional distances in the lines of α-quantile or order- m partial frontiers. Finally we can also define conditional directional distance functions, conditional to environ-mental factors. To illustrate the methodology, we show how it can be implemented using a Mutual Funds database.

1041 - Two-Stage DEA: Caveat Emptor

SIMAR, L. AND P.W. WILSON [2010]

This paper examines the wide-spread practice where data envelopment analysis (DEA) efficiency esti-mates are regressed on some environmental variables in a second-stage analysis. In the literature, only two statistical models have been proposed in which second-stage regressions are well-defined and meaningful. In the model considered by Simar and Wilson (2007), truncated regression provides consis-tent estimation in the second stage, where as in the model proposed by Banker and Natarajan (2008a), ordinary least squares (OLS) provides consistent estimation. This paper examines, compares, and con-trasts the very different assumptions underlying these two models, and makes clear that second-stage OLS estimation is consistent only under very peculiar and unusual assumptions on the data-generating process that limit its applicability. In addition, we show that in either case, bootstrap methods provide the only feasible means for inference in the second stage. We also comment on ad hoc specifications of second-stage regression equations that ignore the part of the data-generating process that yields data used to obtain the initial DEA estimates.

1042 - Decomposing regional efficiency

SCHAFFER, A., SIMAR, L. AND J. RAULAND [2010]

Applying an outlier robust extension of the data envelopment analysis (DEA) followed by a geoadditive regression analysis, this study identifies and decomposes the efficiency of 439 German regions in using infrastructure and human capital. The findings show that the regions’ efficiency is driven by a spatial

and a non-spatial, arguably structural factor. As a consequence, concrete regional funding schemes, shaped by best practice results, might not be appropriate for all regions. Instead, a more differentiated funding scheme that accounts for both spatial and structural factors seems more promising.

1043 - Convex order and comonotonic conditional mean risk sharing

DENUIT, M. AND J. DHAENE [2010]

Using a standard reduction argument based on conditional expectations, this paper argues that risk sharing is always beneficial (with respect to convex order or second degree stochastic dominance) provided the risk-averse agents share the total losses appropriately (whatever the distribution of the losses, their correlation structure and individual degrees of risk aversion). Specifically, all agents hand their individual losses over to a pool and each of them is liable for the conditional expectation of his own loss given the total loss of the pool. We call this risk sharing mechanism the conditional mean risk sharing. If all the conditional expectations involved are non-decreasing functions of the total loss then the conditional mean risk sharing is shown to be Pareto-optimal. Explicit expressions for the individual contributions to the pool are derived in some special cases of interest: independent and identically distributed losses, comonotonic losses, and mutually exclusive losses. In particular, conditions under which this payment rule leads to a comonotonic risk sharing are examined.

1044 - Dispersive effect of cross-aging with Archimedean copulas

DENUIT, M. AND M. MESFIOUI [2010]

In this paper, we compare conditional distributions derived from bivariate Archimedean copulas in terms of their respective variability using the dispersive stochastic order. Specifically, we consider the effect of increasing the second component on the variability of the conditional distribution of the first component. Characterizations are provided in terms of the generator and of the marginal distributions. Several examples involving standard parametric copulas such as Clayton and Frank are discussed.

1045 - Nonparametric Bayesian inference on bivariate extremes

GUILLOTTE, S., PERRONY, F. AND J. SEGERS [2010]

The tail of a bivariate distribution function in the domain of attraction of a bivariate extreme-value dis-tribution may be approximated by the one of its extreme-value attractor. The extreme-value attractor has margins that belong to a three-parameter family and a dependence structure which is character-ized by a probability measure on the unit interval with mean equal to one half, called spectral measure. Inference is done in a Bayesian framework using a censored-likelihood approach. A prior distribution is constructed on an infinite-dimensional model for this measure, the model being at the same time dense and computationally manageable. A trans-dimensional Markov chain Monte Carlo algorithm is developed and convergence to the posterior distribution is established. In simulations, the Bayes esti-mator for the spectral measure is shown to compare favorably with frequentist nonparametric estima-tors. An application to a data-set of Danish fire insurance.

1046 - Boundary estimation in the presence of measurement error with unknown variance

KNEIP, A., SIMAR, L. AND I. VAN KEILEGOM [2010]

Boundary estimation appears naturally in economics in the context of productivity analysis. The perfor-mance of a firm is measured by the distance between its achieved output level (quantity of goods pro-duced) and an optimal production frontier which is the locus of the maximal achievable output given the level of the inputs (labor, energy, capital, etc.). Frontier estimation becomes difficult if the outputs are measured with noise and most approaches rely on restrictive parametric assumptions. This paper contributes to the direction of nonparametric approaches. A slightly simplified version of the general problem can be written as Y = X • Z, where Y is the observable output, X is the unobserved variable of interest with support [0, Τ] and density ƒ, and Z is the noise. Suppose that ƒ (Τ) > 0, and that Z is


independent of X and is log-normally distributed with log Z ~ N (0, σ2) for some unknown variance σ2. The novelty of our approach consists in proposing a method for simultaneous estimation of Τ and σ. The asymptotic consistency and the rate of convergence of the estimators are established, and simula-tions are carried out to verify the performance of the estimators for small samples. We briefly describe how the approach could be extended to the problem of estimating a frontier function.

1047 - Stronger measures of higher-order risk attitudes: an extension

DENUIT, M. AND L. EECKHOUDT [2010]

In this note, we analyze the stronger measures of higher-order risk attitudes when one compares risks with equal means that are ordered by sth degree dominance. In this way, we generalized results obtained recently for the more specific and limited case of sth degree increases in risk.

1048 - Estimation and calibration of a continuous-time semi-Markov switching model

HUNT, J. AND M. HAHN [2010]

We present a continuous time semi-Markov switching model of a financial market where the hold-ing time distributions are gamma distributed. The notion of equivalent local martingale measures is studied in some detail. We characterize equivalent martingale measures such that the structure of the semi-Markov process is preserved under the change of measure. We then present Markov chain Monte Carlo methods for estimating the parameters of the model when treating the semi-Markov process as hidden. This approach also allows for model selection. Based on this, we briefly discuss a technique of model calibration in our context. This will allow to select the parameters that best fit the data available on the market or in other terms to select a specific martingale measure amongst those preserving the gamma distributed semi-Markov structure. We then apply our results to real-world data.

1049 - Ordering functions of random vectors, with application to partial sums

DENUIT, M. AND M. MESFIOUI [2010]

It is known that the sums of the components of two random vectors (X1, X2,..., Xn) and (Y1, Y2,…,Yn) ordered in the multivariate (s1; s2; … ; sn)-increasing convex order are ordered in the univariate (S1 + S2 + … + Sn)-increasing convex order. More generally, real-valued functions of (X1, X2,…, Xn) and (Y1, Y2,…,Yn) are ordered in the same sense as long as these functions possess some specified non-negative cross derivatives. This note extends these results to multivariate functions. In particular, we consider vectors of partial sums (S1 + S2 + … + Sn) and (T1, T2,…, Tn) where Sj = X1 +…+ Xj and Tj = Y1 +…+ Yj and we show that these random vectors are ordered in the multivariate (s1; s1+s2, … s1+…+sn)- increasing convex order. The consequences of these general results for the upper orthant order and the orthant convex order are discussed.

1050 - How to measure the impact of environmental factors in a nonparametric produc-tion model?

BĂDIN, L., DARAIO, C. AND L. SIMAR [2010]

The measurement of technical efficiency of decision making units is useful for making comparisons and informing managers and policy makers on existing differentials and potential improvements across a sample of analyzed units. The step further is to relate the obtained efficiency estimates to some external or environmental variables which may influence the production process and hence, affect the performance evaluation and explain the efficiency differentials. Conditional efficiency measures (Daraio and Simar, 2005; 2007a), including conditional FDH, conditional DEA, conditional order−m and conditional order−α, have been recently introduced and became rapidly a useful tool to investi-gate the impact of external-environmental factors on the performance of Decision Making Units in a nonparametric framework. In this paper, we clarify what can be learned by analyzing these conditional efficiency scores, showing that the impact of these factors on the production process can have differ-ent facets: impact on the attainable set in the input × output space, and/or impact on the distribution

of the inefficiency scores. The approach proposes statistical inference on the level of the impact, using up-to-dated bootstrap algorithms for which we prove the consistency. The procedure is illustrated through simulated samples and with a real data set in the Banking industry.

1051 - Additive location-scale models for interval censored data

LAMBERT, P. [2010]

An additive model for the location and dispersion of a continuous response with an arbitrary smooth conditional distribution is proposed. B-splines are used to specify the three components of the model. It can be extended to deal with interval censored data and multiple covariates. As an illustration, the relation between age, the number of years of full-time education and the net income (provided as intervals) available per person in Belgian households is studied from survey data.

1052 - Local maximum likelihood techniques with categorical data

PARK, B.U., SIMAR, L. AND V. ZELENYUK [2010]

In this paper we provide asymptotic theory of local maximum likelihood techniques for estimating a regression model where some regressors are discrete. Our methodology and theory are particularly useful for models that give us a likelihood of the unknown functions we can use to identify and esti-mate the underlying model. This is the case when the conditional density of the variable of interest, given the explanatory variables, is known up to a set of unknown functions. Examples of such mod-els include probit and logit models, truncated regression models, stochastic frontier models, etc. In developing the theory we use the Racine and Li (2004) kernels for discrete regressors. The asymptotic properties of the resulting estimator are derived and the method is illustrated in various simulated scenarios. The results indicate a great flexibility of the approach and good performances in various complex scenarios, even with moderate sample sizes.

1053 - Estimation of transition probabilities in a non-Markov model with successive survival times

MEIRA-MACHADO, L., ROCA-PARDINAS, J., VAN KEILEGOM, I. AND C. CADARSO-SUÁREZ [2010]

Times between consecutive events are often of interest in medical studies. Usually the events represent different states of the disease process and are modeled using multi-state models. This paper introduces and studies a feasible estimation method for the transition probabilities in a progressive three-state model. We assume that the vector of gap times (Τ1, Τ2) satisfies a nonparametric location-scale regres-sion model Τ2 = m (Τ1) + σ (Τ1)∈ , where the functions m and σ are ‘smooth’, and ∈ is independent of Τ1. Under this model, Van Keilegom, de Uña-Álvarez and Meira-Machado (2011) proposed estimators of the transition probabilities. In this paper, we study the performance of their estimator in practice, we propose some modifications and study practical issues related to the implementation of the estima-tor. In an extensive simulation study the good performance of the method is shown. Simulations also demonstrate that the proposed estimator compares favorably with alternative estimators. Furthermore, the proposed methodology is illustrated with a real database on breast cancer.

1054 - Weak convergence of empirical copula processes under nonrestrictive smooth-ness assumptions

JOHAN SEGERS [2010]

Weak convergence of the empirical copula process is shown to hold under the assumption that the first-order partial derivatives of the copula exist and are continuous on certain subsets of the unit hypercube. The assumption is nonrestrictive in the sense that it is needed anyway to ensure the candi-date limiting process to exist and have continuous trajectories. In addition, resampling methods based on the multiplier central limit theorem which require consistent estimation of the first-order derivatives continue to be valid. The price to pay for the weaker assumption is the loss of an explicit rate for the remainder term. Under certain growth conditions on the second-order partial derivatives, an almost


sure rate can still be established. The conditions are verified for instance in the case of the Gaussian copula with full-rank correlation matrix, many Archimedean copulas, and many extreme-value copulas.

2011/01 - Bayesian generalized profiling estimation in hierarchical linear dynamic systems

JAEGER, J. AND P. LAMBERT [2011]

Ordinary differential equations (ODEs) are widely used to model physical, chemical and biological pro-cesses. Current methods for parameter estimation are computationally intensive and not suitable for inference and prediction. Frequentist approaches based on ODE-penalized smoothing techniques have recently solved part of these drawbacks. In this paper we propose a full Bayesian approach based on ODE-penalized B-splines to jointly estimate ODE-parameters and state function from linear systems of differential equations. Simulations inspired by pharmacokinetic studies show that the proposed method provides comparable results to methods based on explicit solution of the ODEs and outper-forms the frequentist ODE-penalized smoothing approach. We extend the basic model to a hierarchical one in order to study cases where several subjects are involved. This Bayesian hierarchical approach is illustrated on real data for the study of perfusion ratio after a femoral artery occlusion.

2011/02 - Ideal denoising within a family of tree-structured wavelet estimators

AUTIN, F., FREYERMUTH, J.M. AND R. VON SACHS [2011]

We focus on the performances of tree-structured wavelet estimators belonging to a large family of keep-or-kill rules, namely the Vertical Block Thresholding family. For each estimator, we provide the maximal functional space (maxiset) for which the quadratic risk reaches a given rate of convergence. Following a discussion on the maxiset embeddings, we identify the ideal estimator of this family that is the one associated with the largest maxiset. We emphasize the importance of such a result since the ideal estimator is different from the usual (plug-in) estimator used to mimic the performances of the Oracle. Finally, we confirm our theoretical results through extensive numerical experiments.

2011/03 - Statistical models and methods for dependence in insurance data

VAN KEILEGOM, I. AND N. VERAVERBEKE [2011]

We first wish to congratulate the authors for this insightful and inspiring review on copulas, and in particular on extreme value and tail copulas. In this comment we would like to discuss briefly an out-look on two possible extensions of the ideas put forward in this review. The first one is on the influ-ence of covariates, and the second one is on the exploration of insurance data that are subject to right censoring.

2011/04 - Nonparametric endogenous post-stratification estimation

DAHLKE, M., JAY BREIDT, F., OPSOMER, J. AND I. VAN KEILEGOM [2011]

Post-stratification is used to improve the precision of survey estimators when categorical auxiliary information is available from external sources. In natural resource surveys, such information may be obtained from remote sensing data classified into categories and displayed as maps. These maps may be based on classification models fitted to the sample data. Such «endogenous post-stratification» violates the standard assumptions that observations are classified without error into post-strata, and post-stratum population counts are known. Properties of the endogenous post-stratification estimator (EPSE) are derived for the case of sample-fitted nonparametric models, with particular emphasis on monotone regression models. Asymptotic properties of the nonparametric EPSE are investigated under a superpopulation model framework. Simulation experiments illustrate the practical effects of first fit-ting a nonparametric model to survey data before post-stratifying.

2011/05 - An M-estimator for tail dependence in arbitrary dimension

EINMAHL, J.H.J., KRAJINA, A. AND J. SEGERS [2011]

Consider a random sample in the max-domain of attraction of a multivariate extreme value distribution such that the dependence structure of the attractor belongs to a parametric model. A new estimator for the unknown parameter is defined as the value that minimizes the distance between a vector of weighted integrals of the tail dependence function and their empirical counterparts. The minimisation problem has, with probability tending to one, a unique, global solution. The estimator is consistent and asymptotically normal. The spectral measures of the tail dependence models to which the method applies can be discrete or continuous. Examples demonstrate the applicability and the performance of the method.

2011/06 - A stochastic independence approach for different measures of global specialization

HAEDO, C. AND M. MOUCHART [2011]

Based on data in the form of a two-way contingency table “Regions × Activities”, the concepts of specialization and of concentration are naturally based on the analysis of the conditional distributions, or profiles. The natural tool for measuring the degrees of specializations are provided by discrepan-cies, more precisely distances or divergences, among distributions: between profiles and a uniform distribution for absolute concepts, between profiles and the corresponding marginal distribution for the relative concepts or between the joint distribution and the product of the marginal distributions for the global concept. This is the approach of stochastic independence that conducts the analysis in terms of stochastic independence between activities and regions and the global discrepancy is viewed as a measure of row-column association. This paper presents the results of an extensive analysis of the numerical values of measures derived from this approach and from other approaches widely used in the literature. A main conclusion of this analysis is that although the different measures under consid-eration display rather similar numerical behavior, differences of ranking about the degree of specializa-tion among activities, among regions or among countries call for a particular care when interpreting the numerical results.

2011/07 - Inferring causal relations by modelling structures

MOUCHART, M., RUSSO, F. AND G. WUNSCH [2011]

This paper provides an overview of structural modelling in its close relation to explanation and causa-tion. It stems from previous works by the authors and stresses the role and importance of the notions of invariance, recursive decomposition, exogeneity and background knowledge. It closes with some considerations about the importance of the structural approach for practicing scientists.

2011/08 - Estimation in semiparametric models with missing data

XI CHEN, S. AND I. VAN KEILEGOM [2011]

This paper considers the problem of parameter estimation in a general class of semiparametric models when observations are subject to missingness at random. The semiparametric models allow for esti-mating functions that are non-smooth with respect to the parameter. We propose a nonparametric imputation method for the missing values, which then leads to imputed estimating equations for the finite dimensional parameter of interest. The asymptotic normality of the parameter estimator is proved in a general setting, and is investigated in detail for a number of specific semiparametric models. Finally, we study the small sample performance of the proposed estimator via simulations.

2011/09 - A semi-Markov regime switching extension of the Vasicek model

HUNT, J. AND P. DEVOLDER [2011]

We briefly recall some essential notions on interest rates and zero-coupon bonds. We then de ne a


sound mathematical framework to study a model of the short rate in which the parameters are allowed to vary according to an underlying semi-Markov process. We give some properties of the short rate in our model. We follow by studying the notion of risk-neutral martingale measures in this context. Finally, we discuss the pricing of interest-rate derivatives. In particular, we show that the price of a zero-coupon bond has to satisfy a system of integro-differential equations that is influenced both by the market price of risk and by the market price of regime switch risk.

2011/10 - Semi-Markov regime switching interest rate models and minimal entropy measure

HUNT, J. AND P. DEVOLDER [2011]

In this paper, we present a discrete time regime switching binomial-like model of the term structure where the regime switches are governed by a discrete time semi-Markov process. We model the evolu-tion of the prices of zero-coupon when given an initial term structure as in the model by Ho and Lee that we aim to extend. We discuss and derive conditions for the model to be arbitrage free and relate this to the notion of martingale measure. We explicitly show that due to the extra source of uncertainty coming from the underlying semi-Markov process, there are an infinite number of equivalent martin-gale measures. The notion of path independence is also studied in some detail, especially in the pres-ence of regime switches. We deal with the market incompleteness by giving an explicit characterization of the minimal entropy martingale measure. We give an application to the pricing of a European bond option both in a Markov and semi-Markov framework. Finally, we conclude.

2011/11 - Semiparametric transformation model with endogeneity: a control function approach

VANHEMS, A. AND I. VAN KEILEGOM [2011]

We consider a semiparametric transformation model, in which the regression function has an addi-tive nonparametric structure and the transformation of the response is assumed to belong to some parametric family. We suppose that endogeneity is present in the explanatory variables. Using a con-trol function approach, we show that the proposed model is identified under suitable assumptions, and propose a profile likelihood estimation method for the transformation. The proposed estimator is shown to be asymptotically normal under certain regularity conditions. A small simulation study shows that the estimator behaves well in practice.

2011/12 - Large-sample tests of extreme-value dependence for multivariate copulas

KOJADINOVIC, I., SEGERS, J. AND J. YAN [2011]

Starting from the characterization of extreme-value copulas based on maxstability, large-sample tests of extreme-value dependence for multivariate copulas are studied. The two key ingredients of the pro-posed tests are the empirical copula of the data and a multiplier technique for obtaining approximate p-values for the derived statistics. The asymptotic validity of the multiplier approach is established, and the finite-sample performance of a large number of candidate test statistics is studied through exten-sive Monte Carlo experiments for data sets of dimension two to five. In the bivariate case, the rejec-tion rates of the best versions of the tests are compared with those of the test of Ghoudi et al. (1998) recently revisited by Ben Ghorbal et al. (2009). The proposed procedures are illustrated on bivariate financial data and trivariate geological data.

2011/13 - Multivariate volatility modeling of electricity futures

BAUWENS, L., HAFNER, C. AND D. PIERRET [2011]

We model the dynamic volatility and correlation structure of electricity futures series of the European Energy Exchange index, using an asymmetric GARCH model for volatilities and augmented dynamic conditional correlation (DCC) models for correlations. In particular, we allow for smooth changes in the unconditional volatilities and correlations through a multiplicative component that we estimate

nonparametrically. We also introduce exogenous variables in our new multiplicative DCC model to account for congestion and seasonality in short-term conditional volatilities. We find different cor-relation dynamics for long and short-term contracts and the new model achieves higher forecasting performance compared to a standard DCC model.

2011/14 - When Ross meets Bell: the linex utility function

DENUIT, M., EECKHOUDT, L. AND H. SCHLESINGER [2011]

At first glance, there would appear to be no relationship between Bell’s (1988) concept of one-switch utility function and that of a stronger measure of risk aversion due to Ross (1981).We show however that specific assumptions about the behavior of the stronger measure of risk aver-sion also gives rise to the linex utility function which belongs to the class of one-switch utility functions. In particular, this utility class is the only one that satisfies a stronger version of Kimball’s (1993) standard risk aversion over all levels of wealth

2011/15 - Solvency requirement for long term guarantee: risk measure versus probabil-ity of ruin

DEVOLDER, P. [2011]

Solvency requirements are based on the idea that risk can be accepted if enough capital is present. The determination of this minimum level of capital depends on the way to consider and measure the underlying risk. Apart from the kind of risk measure used, an important factor is the way to integrate time in the process. This topic is particularly important for long term liabilities such as life insurance or pension benefits.In this paper we study the market risk of a life insurer offering a fixed guaranteed rate on a certain time horizon and investing the premium in a risky fund. We develop and compare various risk measurements based either on a single point analysis or on a continuous time test. Dynamic risk measures are also considered.

2011/16 - Solvency capital, inflation and time horizon in pension liabilities

DEVOLDER, P. AND H. TASSA [2011]

Risk measurement as applicable for insurers (Solvency 2) or banks (Basel 2) can also be considered for pension fund liabilities. The purpose of this paper is to present various stochastic models in continuous time in order to estimate solvency capital for two important risks faced by pension funds: market risk and inflation risk. We address the situation of a Defined Benefit Pension Scheme (DB) with liabilities linked to final salary. We try to develop in this context a methodology coherent with IAS norms based on the so called projected unit credit cost method but including a risk measure approach.We also show that pension portability could be modeled using classical ruin theory.

2011/17 - Block-Threshold-Adapted Estimators via a maxiset approach


We study the performance of a large collection of block thresholding wavelet estimators, namely the Horizontal Block Thresholding family. In particular, we adopt a maxiset point of view, i.e. we are asking for the maximal functional space for a given estimator to converge in the L2−sense with a chosen rate of convergence. We provide sufficient conditions on the choices of rates and threshold values to ensure large maxisets. By deriving maxiset embeddings, we identify the best estimator of such a family that is the one associated with the largest maxiset. As a particularity of this paper we propose a refined maxiset approach that models method-dependent threshold values. By a series of simulation studies, we confirm the good performance of the best estimator when comparing to the other members of its family.


2011/18 - Nonparametric estimation of multivariate extreme-value copulas

GUDENDORF, G. AND J. SEGERS [2011]

Extreme-value copulas arise in the asymptotic theory for componentwise maxima of independent ran-dom samples. An extreme-value copula is determined by its Pickands dependence function, which is a function on the unit simplex subject to certain shape constraints that arise from an integral transform of an underlying measure called spectral measure. Multivariate extensions are provided of certain rank-based nonparametric estimators of the Pickands dependence function. The shape constraint that the estimator should itself be a Pickands dependence function is enforced by replacing an initial estimator by its best least-squares approximation in the set of Pickands dependence functions having a discrete spectral measure supported on a sufficiently fine grid. Weak convergence of the standardized estima-tors is demonstrated and the finite-sample performance of the estimators is investigated by means of a simulation experiment.

2011/19 - How to Measure the Impact of Environmental Factors in a Nonparametric Production Model? (Previously DP1050)

BADIN, L., DARAIO, C. AND L. SIMAR [2011]

The measurement of technical efficiency of decision making units is useful for making comparisons and informing managers and policy makers on existing differentials and potential improvements across a sample of analyzed units. The step further is to relate the obtained efficiency estimates to some external or environmental variables which may influence the production process, affect the performances and explain the efficiency differentials. Conditional efficiency measures (Daraio and Simar, 2005; 2007a), including conditional FDH, conditional DEA, conditional order−m and conditional order−α have been recently introduced and became rapidly a useful tool to explore the impact of external-environmental factors on the performance of Decision Making Units in a nonparametric framework. In this paper, we show that analyzing these conditional efficiency scores we can disentangle the impact of these factors on the production process in its components: impact on the attainable set in the input x output space, and/or impact on the distribution of the inefficiency scores. We extend existing methodological tools to investigate these interrelationships, both from an individual and a global perspective. We emphasize the usefulness of regressing the conditional efficiencies on the explaining factors. The analysis of the residuals provides a measure of efficiency whitened from the main effect of the environmental factors. This allows ranking the firms according to their “managerial” efficiency, even when facing heteroge-neous environmental conditions. Our approach is illustrated through simulated samples and with a real data set in the Banking industry.

2011/20 - Using Bagidis in nonparametric functional data analysis: predicting from curves with sharp local features

TIMMERMANS, C., DELSOL, L. AND R. VON SACHS [2011]

Our goal is to predict a scalar value or a group membership from the discretized observation of curves with sharp local local features that might vary both vertically and horizontally. To this aim, we pro-pose to combine the use of the non-parametric functional regression estimator developed by Ferraty and Vieu (2006) [1] with the Bagidis semimetric developed by Timmermans and von Sachs (2010) [2] in view of efficiently measuring dissimilarities between curves with sharp patterns. This association reveals powerful. Under quite general conditions, we obtain the rate of convergence of the nonpara-metric regression estimator in this case, as a function of the parameters of the Bagidis semimetric. We propose to optimize those parameters using a cross-validation procedure, and show the optimality of the selected vector. This last result has a larger scope and concerns the optimization of any vector parameter characterizing a semimetric used in this context. The performances of our methodology are assessed on simulated and real data examples. Results are shown superior than those obtained using competing semimetrics as soon as the variations of the significant sharp patterns in the curves have a horizontal component.

2011/21 - Combining thresholding rules: a new way to improve the performance of wavelet estimators


In this paper, we address the situation where we cannot differentiate wavelet-based threshold estima-tors because their sets of well-estimated functions (maxisets) are not nested. As a generic solution, we propose to proceed via a combination of these estimators in order to achieve new estimators which perform better in the sense that the involved maxisets contain the union of the previous ones. Throughout the paper we propose illuminating interpretations of the maxiset results and provide con-ditions to ensure that this combination generates larger maxisets. As an example, we propose to com-bine vertical- and horizontal-block thresholding estimators that are already known to perform well. We discuss the limitations of our method, and we confirm our theoretical results through numerical experiments.

2011/22 - Likelihood based inference for semi-competing risks

HEUCHENNE, C., LAURENT, S., LEGRAND, C. AND I. VAN KEILEGOM [2011]

Consider semi-competing risks data (two times to concurrent events are studied but only one of them is right-censored by the other one) where the link between the times Y and C to non-terminal and terminal events respectively, is modeled by a family of Archimedean copulas. Moreover, both Y and C are submitted to an independent right censoring variable D. A new methodology based on a maximum likelihood approach is developed to estimate the parameter of the copula and the resulting survival function of Y. The main advantage of this procedure is that it extends to multidimensional parameters copulas. We perform simulations to study the behavior of our proposed estimation procedure and its impact on other related estimators and we apply our method to real data coming from a study on the Hodgkin disease.

2011/23 - Estimation of the Error Density in a Semiparametric Transformation Model

SAMB, R., HEUCHENNE, C. AND I. VAN KEILEGOM [2011]

Consider the semiparametric transformation model Λθo (Y) = m (X) + ε, where θo is an unknown finite dimensional parameter, the functions Λθo and m are smooth, ε is independent of X, and (ε) = 0We propose a kernel-type estimator of the density of the error «, and prove its asymptotic normality. The estimated errors, which lie at the basis of this estimator, are obtained from a profile likelihood estimator of θo and a nonparametric kernel estimator of m. The practical performance of the proposed density estimator is evaluated in a simulation study.

2011/24 - On assessing model adequacy in linear quantile regression

NOH, H., EL GHOUCH, A. AND I. VAN KEILEGOM [2011]

In this paper we consider (possibly misspecified) linear quantile regression models, and study a measure for the quality-of-fit of these models, (a version of which has been) previously proposed by Koenker and Machado (1999). The measure is based on an adaptation to quantile regression of the famous coef-ficient of determination originally proposed for mean regression, and compares a ‘reduced’ model to a ‘full’ model, both of which can be misspecified. We propose an estimator of this measure, and prove its asymptotic distribution both in the non-degenerate and the degenerate case. The finite sample performance of the estimator is studied through a number of simulation experiments. The proposed measure is also applied to a data set on body fat measures.

2011/25 - Quality of fit measures in the framework of quantile regression

NOH, H., EL GHOUCH, A. AND I. VAN KEILEGOM [2011]

In regression experiments, to learn about the strength of the relationship between a covariate vector

Estimation of the Error Density in a

Semiparametric Transformation Model

Rawane Samb

Universite catholique de Louvain ∗

Cedric Heuchenne

University of Liege and Universite catholique de Louvain †

Ingrid Van Keilegom

Universite catholique de Louvain ‡

September 27, 2011

Abstract

Consider the semiparametric transformation model Λθo(Y ) = m(X) + ε, where θo is an unknown

finite dimensional parameter, the functions Λθo and m are smooth, ε is independent of X, and E(ε) = 0.

We propose a kernel-type estimator of the density of the error ε, and prove its asymptotic normality. The

estimated errors, which lie at the basis of this estimator, are obtained from a profile likelihood estimator

of θo and a nonparametric kernel estimator of m. The practical performance of the proposed density

estimator is evaluated in a simulation study.

Key Words: Density estimation; Kernel smoothing; Nonparametric regression; Profile likelihood; Trans-

formation model.

∗R. Samb acknowledges financial support from IAP research network P6/03 of the Belgian Government (Belgian Science

Policy).†C. Heuchenne acknowledges financial support from IAP research network P6/03 of the Belgian Government (Belgian Science

Policy), and from the contract ‘Projet d’Actions de Recherche Concertees’ (ARC) 11/16-039 of the ‘Communaute francaise de

Belgique’, granted by the ‘Academie universitaire Louvain’.‡I. Van Keilegom acknowledges financial support from IAP research network P6/03 of the Belgian Government (Belgian

Science Policy), from the European Research Council under the European Community’s Seventh Framework Programme

(FP7/2007-2013) / ERC Grant agreement No. 203650, and from the contract ‘Projet d’Actions de Recherche Concertees’

(ARC) 11/16-039 of the ‘Communaute francaise de Belgique’, granted by the ‘Academie universitaire Louvain’.

1

74 Annual report 2010-2011

and a dependent variable, we propose a “coefficient of determination” based on the quantiles.Such a coefficient is a “local” measure in the sense that the strength is measured at a pre-specified quantile level. Once estimated, it can be used, for example, to measure the relative importance of a subset of covariates in the quantile regression context. Related to this coefficient, we also propose a new “local” lack-of-fit measure of a given parametric model. We provide some asymptotic results of the proposed measures and carry out a Monte Carlo simulation study to illustrate their use and perfor-mance in practice.

2011/26 - Efficient parameter estimation in regression with missing responses

MÜLLER U., U. AND I. VAN KEILEGOM [2011]

We discuss efficient estimation in regression models that are defined by a finite-dimensional paramet-ric constraint. This includes a variety of regression models, in particular the basic nonlinear regression model and quasi-likelihood regression. We are interested in the case where responses are missing at random. This is a popular research topic and various methods have been proposed in the literature. However, many of them are complicated and are not shown to be efficient. The method presented here is, in contrast, very simple - we use an estimating equation that does not impute missing responses - and we also prove that it is efficient if an appropriate weight matrix is selected. Finally, we show that this weight matrix can be replaced by a consistent estimator without losing the efficiency property.

IMMAQInstitute for Multidisciplinary Research in Quantitative Modelling and AnalysisUCLUniversité catholique

de Louvain

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