Items where Division is "Statistics" and Year is 2017

A

Acciaio, Beatrice and Larsson, Martin (2017) Semi-static completeness and robust pricing by informed investors. Annals of Applied Probability, 27 (4). pp. 2270-2304. ISSN 1050-5164

Acciaio, Beatrice, Larsson, Martin and Schachermayer, Walter (2017) The space of outcomes of semi-static trading strategies need not be closed. Finance and Stochastics, 21 (3). pp. 741-751. ISSN 0949-2984

Alistarh, Dan, Grubic, Demjan, Li, Jerry Z., Tomioka, Ryota and Vojnovic, Milan ORCID: 0000-0003-1382-022X (2017) QSGD: communication-efficient SGD via gradient quantization and encoding. . arXiv.

Alistarh, Dan, Grubic, Demjan, Liu, Jerry, Tomioka, Ryota and Vojnovic, Milan ORCID: 0000-0003-1382-022X (2017) Communication-efficient stochastic gradient descent, with applications to neural networks. In: Guyon, I., Luxburg, U.V., Bengio, S., Wallach, H., Fergus, R., Vishwanathan, S. and Garnett, R., (eds.) Advances in Neural Information Processing Systems 30. Curran Associates, Inc., Long Beach, CA, pp. 1707-1718.

Anastasiou, Andreas (2017) Bounds for the normal approximation of the maximum likelihood estimator from m -dependent random variables. Statistics and Probability Letters, 129. pp. 171-181. ISSN 0167-7152

Anthropelos, Michail and Kardaras, Constantinos ORCID: 0000-0001-6903-4506 (2017) Equilibrium in risk-sharing games. Finance and Stochastics, 21 (3). pp. 815-865. ISSN 0949-2984

Atkinson, Anthony and Pedrosa, David (2017) Optimum design and sequential treatment allocation in an experiment in deep brain stimulation with sets of treatment combinations. Statistics in Medicine, 36 (30). pp. 4804-4815. ISSN 0277-6715

Atkinson, Anthony C. and Biswas, Atanu (2017) Optimal response and covariate-adaptive biased-coin designs for clinical trials with continuous multivariate or longitudinal responses. Computational Statistics and Data Analysis, 113. pp. 297-310. ISSN 0167-9473

Atkinson, Anthony C., Corbellini, Aldo and Riani, Marco (2017) Robust Bayesian regression with the forward search: theory and data analysis. TEST, 26 (4). pp. 869-886. ISSN 1133-0686

Atkinson, Anthony C., Riani, Marco and Cerioli, Andrea (2017) Cluster detection and clustering with random start forward searches. Journal of Applied Statistics, 45 (5). pp. 777-798. ISSN 0266-4763

B

Barigozzi, Matteo and Hallin, Marc (2017) Generalized dynamic factor models and volatilities estimation and forecasting. Journal of Econometrics, 201 (2). pp. 307-321. ISSN 0304-4076

Barigozzi, Matteo and Hallin, Marc (2017) A network analysis of the volatility of high-dimensionalfinancial series. Journal of the Royal Statistical Society. Series C: Applied Statistics. ISSN 0035-9254

Barrieu, Pauline ORCID: 0000-0001-9473-263X, Bellamy, Nadine and Sinclair-Desgagné, Bernard (2017) Assessing contaminated land cleanup costs and strategies. Applied Mathematical Modelling, 42. pp. 478-492. ISSN 0307-904X

Baurdoux, Erik J. ORCID: 0000-0002-5407-0683, Palmowski, Z and Pistorius, Martijn R (2017) On future drawdowns of Lévy processes. Stochastic Processes and Their Applications, 127 (8). pp. 2679-2698. ISSN 0304-4149

Biagini, Sara, Bouchard, Bruno, Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Nutz, Marcel (2017) Robust fundamental theorem for continuous processes. Mathematical Finance, 27 (4). pp. 963-987. ISSN 0960-1627

Bukodi, Erzsébet, Goldthorpe, John H. and Kuha, Jouni ORCID: 0000-0002-1156-8465 (2017) The pattern of social fluidity within the British class structure: a topological model. Journal of the Royal Statistical Society. Series A: Statistics in Society, 180 (3). pp. 841-862. ISSN 0964-1998

C

Callegaro, Giorgia, Campi, Luciano, Giusto, Valeria and Vargiolu, Tiziano (2017) Utility indifference pricing and hedging for structured contracts in energy markets. Mathematical Methods of Operations Research, 85 (2). pp. 265-303. ISSN 1432-2994

Campi, Luciano, Laachir, Ismail and Martini, Claude (2017) Change of numeraire in the two-marginals martingale transport problem. Finance and Stochastics, 21 (2). pp. 471-486. ISSN 0949-2984

Carvalho, Maria and Fankhauser, Samuel ORCID: 0000-0003-2100-7888 (2017) With or without you? Why the European Union’s climate targets will be harder to meet post-Brexit. LSE Brexit (16 Jan 2017). Website.

Cerioli, Andrea, Riani, Marco, Atkinson, Anthony C. and Corbellini, Aldo (2017) The power of monitoring: how to make the most of a contaminated multivariate sample. Statistical Methods and Applications. ISSN 1618-2510

Chang, Jinyuan, Yao, Qiwei ORCID: 0000-0003-2065-8486 and Zhou, Wen (2017) Testing for high-dimensional white noise using maximum cross-correlations. Biometrika, 104 (1). 111 - 127. ISSN 0006-3444

Chen, Yunxiao ORCID: 0000-0002-7215-2324, Li, Xiaoou, Liu, Jingchen and Ying, Zhiliang (2017) Regularized latent class analysis with application in cognitive diagnosis. Psychometrika, 82 (3). 660 – 692. ISSN 0033-3123

Cosso, Andrea, Pham, Huyên and Xing, Hao (2017) BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data. Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 53 (4). pp. 1528-1547. ISSN 0246-0203

Curtice, John, Fisher, Stephen, Kuha, Jouni ORCID: 0000-0002-1156-8465 and Mellon, Jonathan (2017) Focus: on the 2017 exit poll - another surprise, another success. Discover Society (46).

Curtice, John, Fisher, Stephen, Kuha, Jouni ORCID: 0000-0002-1156-8465 and Mellon, Jonathan (2017) Surprise, surprise! (again): the 2017 British general election exit poll. Significance, 14 (4). pp. 26-29. ISSN 1740-9705

D

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Lim, Jia Wei (2017) An analytical solution for the two-sided Parisian stopping time, its asymptotics and the pricing of Parisian options. Mathematical Finance, 27 (2). pp. 604-620. ISSN 0960-1627

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Lim, Jia Wei (2017) An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion. Methodology and Computing in Applied Probability, 20 (1). pp. 189-204. ISSN 1387-5841

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2017) Efficient simulation of clustering jumps with CIR intensity. Operations Research, 65 (6). pp. 1494-1515. ISSN 0030-364X

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2017) A generalised contagion process with an application to credit risk. International Journal of Theoretical and Applied Finance, 20 (1). ISSN 0219-0249

Ding, Yew Y., Kuha, Jouni ORCID: 0000-0002-1156-8465 and Murphy, Michael (2017) Multidimensional predictors of physical frailty in older people: identifying how and for whom they exert their effects. Biogerontology, 18 (2). pp. 237-252. ISSN 1389-5729

Ding, Yew Y., Kuha, Jouni ORCID: 0000-0002-1156-8465 and Murphy, Michael J. (2017) Pathways from physical frailty to activity limitation in older people: identifying moderators and mediators in the English longitudinal study of ageing. Experimental Gerontology, 98. pp. 169-176. ISSN 0531-5565

Dueñas, Marco, Mastrandrea, Rossana, Barigozzi, Matteo and Fagiolo, Giorgio (2017) Spatio-temporal patterns of the international merger and acquisition network. Scientific Reports, 7 (10789). ISSN 2045-2322

E

Etesami, Jalal, Habibnia, Ali and Kiyavash, Negar (2017) Econometric modeling of systemic risk: going beyond pairwise comparison and allowing for nonlinearity. Systemic Risk Centre Discussion Papers (66). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

G

Gaboardi, Marco and Skinner, Chris J. (2017) Special issue on the theory and practice of differential privacy. Journal of Privacy and Confidentiality, 7 (2). ISSN 2575-8527

Gao, Wei, Bergsma, Wicher ORCID: 0000-0002-2422-2359 and Yao, Qiwei ORCID: 0000-0003-2065-8486 (2017) Estimation for dynamic and static panel probit models with large individual effects. Journal of Time Series Analysis, 38 (2). pp. 266-284. ISSN 0143-9782

Guasoni, Paolo, Muhle-Karbe, Johannes and Xing, Hao (2017) Robust portfolios and weak incentives in long-run investments. Mathematical Finance, 27 (1). pp. 3-37. ISSN 0960-1627

I

Idowu, Victory (2017) B4: Reducing Model Risk With Goodness-of-fit. In: The Institute and Faculty of Actuaries Joint Risk, Investment, Pensions Conference 2017, 2017-06-05 - 2017-06-07, Newport, United Kingdom, GBR.

Idowu, Victory (2017) Dependency elicitation using expert judgement. In: The state of the art in the use of expert judgement in risk and decision analyses, 2017-07-03 - 2017-07-05, Delft, Netherlands, NLD.

Idowu, Victory (2017) Modelling expert judgement through fuzzy logic in R. In: R In Insurance 2017, 2017-06-08, Paris, France, FRA.

Idowu, Victory (2017) The model validator’s manifesto. Actuaries Digital.

K

Kardaras, Constantinos ORCID: 0000-0001-6903-4506, Obłój, Jan and Platen, Eckhard (2017) The numéraire property and long-term growth optimality for drawdown-constrained investments. Mathematical Finance, 27 (1). pp. 68-95. ISSN 0960-1627

Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Robertson, Scott (2017) Continuous-time perpetuities and time reversal of diffusions. Finance and Stochastics, 21 (1). pp. 65-110. ISSN 0949-2984

Korkas, Karolos K. and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (2017) Multiple change-point detection for non-stationary time series using wild binary segmentation. Statistica Sinica, 27 (1). pp. 287-311. ISSN 1017-0405

Kotecha, Meena ORCID: 0000-0001-9211-5988 (2017) Beyond teaching excellence. Open Forum Events.

L

Lam, Clifford ORCID: 0000-0001-8972-9129, Feng, Phoenix and Hu, Charlie (2017) Nonlinear shrinkage estimation of large integrated covariance matrices. Biometrika, 104 (2). pp. 481-488. ISSN 0006-3444

Lawson, Nuanpan and Skinner, Chris (2017) Estimation of a cluster-level regression model under nonresponse within clusters. Metron, 75 (3). pp. 319-331. ISSN 0026-1424

M

Malesios, C, Demiris, N, Kalogeropoulos, K ORCID: 0000-0002-0330-9105 and Ntzoufras, I (2017) Bayesian epidemic models for spatially aggregated count data. Statistics in Medicine, 36 (20). pp. 3216-3230. ISSN 0277-6715

Mavridis, Dimitris, Moustaki, Irini ORCID: 0000-0001-8371-1251, Wall, Melanie and Salanti, Georgia (2017) Detecting outlying studies in meta-regression models using a forward search algorithm. Research Synthesis Methods, 8 (2). pp. 199-211. ISSN 1759-2887

N

Nakatudde, Nambassa (2017) Unsourced and incomplete: how referendum campaign leaflets misused statistics. LSE Brexit (18 Jan 2017). Website.

O

Oomen, Roel (2017) Execution in an aggregator. Quantitative Finance, 17 (3). pp. 383-404. ISSN 1469-7688

Oomen, Roel (2017) Last look. Quantitative Finance, 17 (7). pp. 1057-1070. ISSN 1469-7688

P

Peng, Liang and Yao, Qiwei ORCID: 0000-0003-2065-8486 (2017) Estimating conditional means with heavy tails. Statistics and Probability Letters, 127. pp. 14-22. ISSN 0167-7152

R

Robertson, Scott and Xing, Hao (2017) Long term optimal investment in matrix valued factor models. SIAM Journal on Financial Mathematics, 8 (1). pp. 400-434. ISSN 1945-497X

S

Sankar, Subhra, Bergsma, Wicher ORCID: 0000-0002-2422-2359 and Dassios, Angelos ORCID: 0000-0002-3968-2366 (2017) Testing independence of covariates and errors in nonparametric regression. Scandinavian Journal of Statistics, 45 (3). pp. 421-443. ISSN 0303-6898

Sayers, A., Heron, J., Smith, A., Macdonald-Wallis, C., Gilthorpe, M., Steele, F. ORCID: 0000-0001-6417-7444 and Tilling, K. (2017) Joint modelling compared with two stage methods for analysing longitudinal data and prospective outcomes: a simulation study of childhood growth and BP. Statistical Methods in Medical Research, 26 (1). pp. 437-452. ISSN 0962-2802

Shah, V., Gulikers, L., Massoulie, L. and Vojnovic, Milan ORCID: 0000-0003-1382-022X (2017) Adaptive matching for expert systems with uncertain task types. In: Proceedings. of Allerton Conference, 2017. Coordinated Science Laboratory University of Illinois at Urbana-Champaign, Urbana, IL.

Skinner, Chris J. (2017) Comments on the Rao and Fuller (2017) paper. Survey Methodology, 43. pp. 179-181. ISSN 0714-0045

Skinner, Chris J. and Wakefield, Jon (2017) Introduction to the design and analysis of complex survey data. Statistical Science, 32 (2). pp. 165-175. ISSN 0883-4237

Steele, Fiona ORCID: 0000-0001-6417-7444, Clarke, Paul, Leckie, George, Allan, Julia and Johnston, Derek (2017) Multilevel structural equation models for longitudinal data where predictors are measured more frequently than outcomes: an application to the effects of stress on the cognitive function of nurses. Journal of the Royal Statistical Society. Series A: Statistics in Society, 180 (1). 263 - 283. ISSN 0964-1998

T

Thomas, Will (2017) 1984: the year when young Britons started to become more Europhile than their elders. LSE Brexit (12 Jan 2017). Website.

Tzougas, George, Karlis, Dimitris and Frangos, Nicholas (2017) Confidence intervals of the premiums of optimal Bonus Malus Systems. Scandinavian Actuarial Journal, 2018 (2). pp. 129-144. ISSN 0346-1238

V

Vaidakis, Dennis, Moustaki, Irini ORCID: 0000-0001-8371-1251, Zervas, Ioannis, Barbouni, Anastasia, Merakou, Kyriaki, Chrysi, Maria, Creatsa, George and Panoskaltsis, Theodoros (2017) Knowledge of Greek adolescents on human papilloma virus (HPV) and vaccination: A national epidemiologic study. Medicine, 96 (1). e5287. ISSN 0025-7974

Vojnovic, Milan ORCID: 0000-0003-1382-022X (2017) Contest theory. Communications of the ACM, 60 (5). pp. 70-80. ISSN 0001-0782

W

Wong, Shiu Fung, Tong, Howell, Siu, Tak Kuen and Lu, Zudi (2017) A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach. Journal of Time Series Analysis, 38 (2). pp. 243-265. ISSN 0143-9782

X

Xing, Hao (2017) Consumption investment optimization with Epstein-Zin utility in incomplete markets. Finance and Stochastics, 21 (1). pp. 227-262. ISSN 0949-2984

Xing, Hao (2017) Stability of the exponential utility maximization problem with respect to preferences. Mathematical Finance, 27 (1). pp. 38-67. ISSN 0960-1627

Z

Zhu, Yajing, Steele, Fiona ORCID: 0000-0001-6417-7444 and Moustaki, Irini ORCID: 0000-0001-8371-1251 (2017) A general 3-step maximum likelihood approach to estimate the effects of multiple latent categorical variables on a distal outcome. Structural Equation Modeling, 24 (5). pp. 643-656. ISSN 1070-5511