FASTEC: FActorisable Sparse Tail Event Curves Common structure High-dimensional curves with factors Sparse penalization Individual variety Tail behaviour Spread analysis on factor loadings
FASTEC: FActorisable Sparse Tail Event Curves
Common structure
High-dimensional curves with factors
Sparse penalization
Individual variety
Tail behaviour
Spread analysis on factor loadings
fMRI Application
High-dimensional, high frequency & large data set ; 19 volunteers, 256 investment decisions tasks; Around 1003 voxels’ data points, Blood Oxygenation Level Dependent (BOLD) effect every 2 sec; Investment decisions and brain reactions; Economics, Psychology and Statistics; Spectral clustering identifies active zones
Chinese Temperature
Daily data from 1957 to 2013; 159 Chinese weather stations; ; Temperature distribution and extreme weather forecasting; Weather derivatives in financial industry
Aging and Growing over the World
About 40 countries or areas, 1921-2011; Mortality trend over ages; Extremes and expectiles, tail events
Wolfgang Karl HÄRDLE attained his Dr. rer. nat. in Mathematics at Universität Heidelberg in 1982 and in 1988 his habilitation at Universität Bonn. He is Ladislaus von Bortkiewicz Professor of Statistics at Humboldt-Universität zu Berlin and the director of the Sino German Graduate School (洪堡大学 + 厦门大学) IRTG1792 on “High dimensional non stationary time series analysis”. He directs IDA Institute for Digital Assets,
University of Economic Studies, Bucharest, RO. His research focuses on data analytics, dimension reduction and quantitative finance. He has published over 30 books and more than 300 papers in top statistical, econometrics and finance journals. He is highly ranked and cited on Google Scholar, REPEC and SSRN. He has professional experience in financial engineering, S.M.A.R.T. (Specific, Measurable, Achievable, Relevant, Timely) data analytics, machine learning and cryptocurrency markets. He has created the www.quantlet.com platform, a cryptocurrency index, CRIX www.royalton-crix.com He is 玉山学者 (Yushan Scholar), web page hu.berlin/wkh