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STICERD Econometrics Seminar Series


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These seminars are held on Thursdays in term time at 14.00-15.30, in 32L 3.05 (3rd floor, 32 Lincolns Inn Fields, London), unless specified otherwise.

Entry is on a first-come first-served basis. No registration is required but places are limited. 

Seminar organisers:  Prof. Tai Otsu and Dr. Vassilis Hajivassiliou.

For more information please contact Jane Dickson.

You can subscribe or unsubscribe to our mailing list (emetrics). 



calendar
Thursday  28 February 2019  14:00 - 15:30

TBC

Sophocles Mavroeidis (University of Oxford)

32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH
calendar
Thursday  14 February 2019  14:00 - 15:30

Statistical Theory and Algorithms for Machine Learning of Conditional Distribution Functions

Richard Spady (University of Oxford) , joint with Sami Stouli, University of Bristol

We propose an algorithm for machine learning of conditional distribution functions for a dependent variable (Y ) with continuous support. The algorithm produces a complete description of the conditional distribution function at all observed points in the covariate (X) space, and provides a similar estimate for other possible covariate values. The descriptions it provides are quite general and are globally valid conditional densities. The algorithm is multi-layered and feed-forward. Each layer has the same statistical interpretation: Layer k takes a vector e(k-1)that is nearly perfectly marginally Gaussian and makes it more marginally Gaussian and more independent of X. It does this by applying a continuous monotonic transformation that varies depending on an observation’s X value. Each layer is estimated by an elastic net regularization of maximum likelihood. We demonstrate Wilks’ phenomenon for the composite algorithm and show how to calculate the algorithm’s effective dimension.


32L 4.10, 4th Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH


Please note new venue
calendar
Thursday  28 February 2019  14:00 - 15:30

TBC

Sophocles Mavroeidis (University of Oxford)

32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH
calendar
Thursday  07 March 2019  14:00 - 15:30

TBC

Alberto Abadie (Harvard University)

32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH
calendar
Thursday  07 March 2019  14:00 - 15:30

TBC

Alberto Abadie (Harvard University)

32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH
calendar
Thursday  07 March 2019  14:00 - 15:30

TBC

Alberto Abadie (Harvard University)

32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH
calendar
Thursday  14 March 2019  14:00 - 15:30

TBC

Christoph Rothe (University of Mannheim)

32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH
calendar
Thursday  21 March 2019  14:00 - 15:30

TBC

Testuya Kaji (University of Chicago)

32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH
There are also future events listed for this series. Please see STICERD Econometrics Seminars listed for Next Term