Presentation on statistics related subjects
A Robust Method for Shift Detection in Time Series (Dehling, Fried, and Wendler 2020)
Keywords: change-point detection, Hoeffding Decomposition, rank statistics, U-statistic
Investigating Smooth Multiple Regression by the Method of Average Derivatives (Härdle and Stoker 1989)
Keywords: ADE regression, kernel estimation, nonparametric estimation
Mixed Effect Model, Large Sample Techniques for Statistics (Jiang 2010)
Keywords: General linear mixed model, inference, model selection
Probability with Martingales (Williams 1991):
Keywords: Fubini’s Theorem, Measure theory, Probability theory
Semiparametric Theory and Missing Data (Tsiatis 2006):
Keywords: asymptotic, EM algorithm, location-shift regression model, multiple-imputation, semiparametric
Stochastic Gradient Markov Chain Monte Carlo (Nemeth and Fearnhead 2021):
Keywords: Bayesian, fast posterior sampling, SGMCMC, statistical computation
Presentation on finance related subjects
Interest rate swap and SIMM initial margin methodology: detail presentation
*Some presentation recordings can be found here.