Statistics for Financial Engineering: Some R Examples

• R/Finance 2009, University of Illinois at Chicago, April 25, 2009

RPrograms.zip

Large Sample Theory of Penalized Splines

• February 12, 2007, Department of Biostatistics, Harvard University
• April 17, 2007, ORIE, Cornell University
• May 10, 2007, Math, Binghamton University
• July 30, 2007, JSM 2007, Salt Lake City (talk delivered by Yingxing Li)

Calibrating Environmental Engineering Models

• Keynote Address at Harvard University Workshop on Environmental Statistics, November 4, 2006
• Sandia CSRF Workshop on Large-Scale Inverse Problems and Quantification of Uncertainty, September 2007
• JSM 2008, August 3, 2008

Penalized Splines and Financial Market Data

• Keynote Address at Conference on "Statistical Modeling in Finance," Fox School of Business, Temple University, March 24, 2006

Exploring the Information in P-values (original title: Semiparametric Estimation of the Proportion of True Null Hypotheses)

• Nov 4, 2005, Department of Mathematics and Statistics, University of Massachusetts
• Sept 21, 2005, Department of Statistical Science, Cornell University
• Aug 16, 2005, Conference on "Nonparametric Models for Complex Biological Data," University of California, Davis
• Iowa State University, Department of Statistics, April 2005
• Michigan State University, Department of Statistics, April 2005

Measurement Error in Nonlinear Models (short course)

• March 2008, ENAR (with C. Crainiceanu and R. Carroll)
• November 28-30, 2005, Department of Biostatistics, Johns Hopkins University
• March 4-6, 2005, Department of Biostatistics, Harvard
• December 13, 2001: 57th Annual Deming Conference, Atlantic City, NJ.
• Sept 2000: Food and Drug Administration, Rockville, MD
• March 2000, ENAR (with R. Carroll)
• July 1999, Brigham Young University (with R. Carroll)
• Aug 1998, JSM (with R. Carroll and L. Stefanski)

Semiparametric Regression (short course)

• Merck, Rahway, NY, Feb 28, 2008
• August 9, 2005, JSM, Minneapolis (with C. Crainiceanu)
• March 28, 2004, ENAR Meeting, Pittsburgh (with Matt Wand)

Estimating Term Structure with Penalized Splines

• January 27, 2004, OR&IE, Cornell University
• January 2004, OR&FE, Princeton University

Semiparametric Modeling, Penalized Splines, and Mixed Models

• April 23, 2003, Department of Biostatistics, Johns Hopkins University.
• September 24, 2003, Department of Statistical Science, Cornell University.
• January 20, 2004, National Center for Atmospheric Research (NCAR), Boulder, CO
• January 21, 2004, Department of Statistics, Colorado State University.

Nonparametric Random Effects Models And Likelihood Ratio Tests

• Frontiers of Statistical Research: A Celebration of the 40th Anniversary of the Department of Statistics at TAMU, Oct 11, 2002
• Conference on "Emerging Issues in Longitudinal Data Analysis," South Hadley, MA, July 28, 2002

Overheads (pdf)

Nonparametric regression with measurement error: Some recent progress

• June 2002, Cleveland, Workshop on Developments and Challenges in Mixture Models, Bump Hunting and Measurement Error Models
• Sept, 2001, Statistics, Penn State
• April, 2000, Biostatistics, Harvard
• April, 2000, Dept of Statistical Sciences, Cornell
• Sept, 2000, Merck, Blue Bell, PA

Abstract

Overheads (postscript)

Overheads (pdf)

Overheads - new version, June 2002 (pdf)

References

Splines, Generalized Linear Mixed Models, and Stochastic Approximation

• April 22, 2000 - Michigan State University (conference in honor of my thesis advisor, Professor Vaclav Fabian)

Overheads

This is a shortened version of the following talk, Random-Effects Spline Models

Random-Effects Spline Models

• April, 1999: BUDS (Biometrics Unit Discussion Series), Cornell
• June, 1999: NSF/CBMS Regional Conference on Generalized Linear Mixed Models and Related Topics , University of Florida
• June, 1999, Department of Statistics, Brigham Young University
• Jan, 2000, Department of Statistics, North Carolina State University
• Sept, 2000, Meeting of the Philadelphia chapter of the ASA

Abstract

Overheads

References