Expand AU Menu

Info-Metrics Institute | Workshop: Shrinkage, Fall 2011

Information Theory and Shrinkage Estimation

The conference is jointly hosted by the Info-Metrics Institute and North Carolina State University. The co-chairs are Mehmet Caner (NCSU), Amos Golan (AU), and Peter Phillips (Yale).

For further information, please

 

Workshop Objectives

Interest in shrinkage estimators goes back half a century but has rapidly increased recently with many new directions of research that cover a vast range of applications in different disciplines. Ongoing research on information-theoretic estimation and inference methods is similarly inter-disciplinary, involving information theory, engineering, mathematical statistics, econometrics and the natural sciences.

Modern shrinkage estimators like adaptive Lasso and Bridge methods are penalized estimators with various penalty designs. These methods assist in model selection, oracle efficient estimation and provide substantial computational advantages. In these respects they may be viewed as methods that utilize information better than existing techniques. They have been found to be particularly helpful in large dimensional systems where shrinkage can deliver sparse estimation, sparsisity in the limit, and improved finite sample performance. The range of applications is vast and includes microeconometric models of labor supply, time series econometric applications to economic growth, aggregate cointegrated systems, and market wide financial volatility, social interaction network estimation, and gene selection in biology.

This one day conference will address these various themes, the inter-connections between shrinkage estimation methodology and info-metrics, and explore recent advances in shrinkage methods and applications.

Workshop Topics

Shrinkage Estimators and Info-Metrics

Regularization Methods and Info-Metrics

Model Discovery and Info-Metrics

 

Program Committee

Mehmet Caner (NC State U) – Co-Chair
Amos Golan (American U) – Co-Chair
George Judge (UC Berkeley)
Robin Lumsdaine (American U)
Peter Phillips (Yale) – Co-Chair
Eric Renault (Brown)

 

Keynotes Speakers

Andrew Barron (Yale)
Victor Chernozhukov (MIT)
Harrison Zhou (Yale)

 

Other Confirmed Speakers

Mehmet Caner (NCSU)
Marine Carrasco (Montreal)
Bruce Hansen (Wisconsin)
George Judge (UC Berkeley)
Eric Renault (Brown)
Song Song (UC Berkeley)
Pascale Valery (HEC-Montreal)
Liao Zhipeng (UCLA)

 

Where/When
November 12, 2011 at American University
See Directions/Maps

Online Registration
Open through November 4

Contact
info-metrics@american.edu

Sponsors
US Comptroller of the Currency
NCSU Department of Economics