[Statlist] Talk on Friday, March 11, 2011 /15.15h with Prof. Elvezio Ronchetti

[Cecilia Rey]

We are pleased to invite you to the following talk
Friday, March 11, 2011
ETH Zurich HG G 19.1 / 15.15h
with Prof. Elvezio Ronchetti, University of Geneva
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With this seminar, we celebrate Professor Frank Hampels 70th birthday.
After the seminar, there will be an apero at ETH, HG G 69


Title and Abstract:

Accurate and Robust Indirect Inference

Indirect inference provides a broad class of estimators and testing  
procedures that can be used to carry out inference
in complex models, where e.g. the likelihood function is not available  
in closed form.
These techniques have now been successfully applied in a variety of  
fields, including engineering, biostatistics, and finance.
Given a model and the data, an estimate of the parameter of an  
auxiliary (simpler) model is first obtained. Then,
pseudo-data are simulated from the original (complex) model and the  
auxiliary estimate is computed on the pseudo-data. Finally, the
estimate of the parameter of the original model is obtained by  
minimizing a distance between the auxiliary estimates computed on
the data and on the pseudo-data.

In this talk we address two important issues.
First it is known that classical (especially over-identification)  
tests based on the asymptotic theory have a poor finite sample
accuracy. Therefore, we introduce new accurate parameter and over- 
identification tests for indirect inference which exhibit an
excellent finite sample behavior.
Secondly, we address the robustness issue of these procedures by  
providing estimators and tests for indirect inference which are not
unduly influenced by small deviations from the assumed model. By  
combining these two properties, we obtain accurate and reliable
procedures for indirect inference.
The theoretical results are illustrated in various models, including  
nonlinear regression, Poisson regression with over-dispersion, and
diffusion models.

Joint work with Veronika Czellar, HEC Paris.
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Please take note that the abstract of the next talk is to be found  
under the following new link:
http://stat.ethz.ch/events/research_seminar

-- 
ETH Z�rich
Seminar f�r Statistik
Cecilia Rey-Lutz, HG G10.3
R�mistrasse 101
CH-8092 Zurich		                      	
mail: rey using stat.math.ethz.ch    	  		
phone: +41 44 632 3438/fax: +41 44 632 1228


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