The Quantitative Economics Division of the Department of Economics cordially invites you to the W&R Talk entitled “W&R-Gastvortrag: Admissible Inference for the Structure of the Covariance Matrix in High Dimensions“.
Speaker: Professor Werner Ploberger, Thomas H. Eliot Distinguished Professor in Arts & Sciences at Washington University in St. Louis, USA
When: Wed. June 18, 2025, 14:00-15:30
Where: Südtrakt, S.1.05
Abstract:
We discuss several asymptotically admissible procedures for inference when the dimension of the data increases with the sample size. One example where such problems arise is, in relation to portfolio management, high-dimensional covariance matrices of (a large number of) asset returns. In particular, we consider alternatives describing general misspecifications as well as factor models, relevant in empirical finance applications. We show that Bayesian mixtures of factor models, which describe the uncertainty of the direction of the factor, are contiguous only up to a certain size of the factor.
The talk is based on joint work with Peter Reinhard Hansen, Latané Distinguished Professor of Economics at the University of North Carolina, USA.
About Werner Ploberger:
Werner Ploberger has received both his Ph.D. degree in Applied Mathematics and his Habilitation in Econometrics at TU Wien. He has been affiliated with TU Wien (Austria), where he received tenure in 1993, joined the University of St. Andrew (Scotland) as full professor in 1995 and moved to the University of Rochester (USA) in 1997. He is Thomas H. Eliot Distinguished Professor in Arts & Sciences at Washington University in St. Louis since 2006. His research focuses on statistics, econometric methodology and time series econometrics.
 
Der Beitrag W&R Talk: Admissible Inference for the Structure of the Covariance Matrix in High Dimensions erschien zuerst auf University of Klagenfurt.