[Statlist] Research seminar in statistics December 16th 2016, GSEM University of Geneva

[Karen Longden Roure]

Dear All,

We are pleased to invite you to our next Research Seminar -

Looking forward to seeing you

Organisers :
E. Cantoni - D. La Vecchia - E. Ronchetti -
S. Sperlich - F. Trojani - M.-P. Victoria-Feser

Friday December 16th 2016 at 11h15, Uni-Mail M5220

Robust fitting of state-space models with application to fish stock assessments
William Aeberhard - Dalhousie University

ABSTRACT:

State-space models (SSMs) encompass a wide range of popular models encountered in various fields such as mathematical finance, control engineering and ecology. SSMs are essentially characterized by a hierarchical structure, with latent (unobserved) variables governed by Markovian dynamics. Classical estimation of fixed parameters in these models, for instance by maximizing an approximated marginal likelihood, is known to be highly sensitive to the correct specification of the model. This sensitivity is all the more so problematic since assumptions about latent variables cannot be verified by the data analyst. Motivated by the highly non-linear models used for fish stock assessments, we introduce robust estimators for general SSMs which remain stable under deviations from the assumed model. The implementation relies on Laplace's method, where automatic differentiation allows the user to robustly fit such a model in a matter of minutes. A real-life fish stock assessment example illustrates the reliable inference these estimators can yield and how robustness weights can be used as diagnostic tools.

Visit the website: http://www.stat-center.unige.ch/ressem.html

Karen Longden
Program Coordinator
MSc. in Management, MSc. in Economics, MSc. in Statistics
Université de Genève, Uni-Mail
Faculté d'Economie & Management, GSEM


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