22-23 May 2017. Lecturer: Professor Bruce E. Hansen, University of Wisconsin-Madison
2017.03.17 |
| Date | Mon 22 May — Tue 23 May |
| Time | 10:11 — 16:30 |
| Location | Fuglesangs Allé 4, 8210 Aarhus V, building 2632(L), room 242 |
PhD course: Selection and Shrinkage in Nonparametric Regression
Lecturer: Bruce Hansen, Department of Economics, University of Wisconsin-Madison
This PhD course is aimed to teach cutting-edge theory and methods for estimation of nonparametric sieve regression.
ECTS: 1
Course content
The course will cover the theory and methods of nonparametric sieve regression with an emphasis on model selection, shrinkage, and model combination. The course will address the following issues:
1. Specification of sieve regression models
2. Asymptotic distribution theory for nonparametric sieve regression
3. Confidence interval construction
4. Selection methods for sieve regression: Mallows, AIC, Cross-Validation
5. Theory of model selection for sieve regression
6. Stein shrinkage methods and theory for regression models
7. Averaging methods and theory for regression models
Learning outcome
After completing the course, the participants will be familiar with:
1. Nonparametric sieve regression models
2. Estimation and inference
3. Selection of a sieve regression
4. Shrinkage methods
5. Model combination methods and theory
Registration
Please sign up in the link below no later than 17 May.