4th CSDA International Conference on
Computational and Financial Econometrics (CFE'10)
10-12 December 2010, Senate House, University of London, UK

Home  Call For Papers Committees Plenary Talks Invited Sessions Tutorials  Programme Summary Programme Abstract Submission Registration CSDA Annals of CFE Venue, Travel & Accommodation Sponsors Past CFE Contact

TUTORIALS (Dowload the information file TutorialInfo.pdf)

The tutorials will take place at the London School of Economics campus on Thursday the 9th of December 2010. The number of participants to the tutorials is limited and restricted only to those who attend the conference. The host is the Department of Statistics, London School of Economics, Houghton Street, London WC2A 2AE. The STICERD Conference Room, R505, Lionel Robbins Building and the Graham Wallace Room, AGWR in the Old Building (Fifth Floor) at LSE will be used for the Tutorials. View the location for the Tutorial Venue and the buildings by downloading the map of the LSE area and campus. For further information please contact Dr Irini Moustaki.

TUTORIAL 1: Latent Variable Models with applications in Social Sciences

The one-day tutorial will cover recent developments in latent variable modelling and item response theory. Latent variable models are widely used in Social Sciences and Medical Statistics for measuring unobserved constructs such as abilities, attitudes, stages of a disease etc. Various models for modelling categorical and continuous observed variables will be covered such as the multidimensional latent trait model, graded response model, model for nominal responses, the partial credit model as well as latent class models. Multi-group analysis and structural relations among latent variables will also be covered. For each model, issues of model specification, estimation and goodness-of-fit will be discussed. Specialized commercial software and R-routines will be used for illustrating the different models using real applications.

Prerequisites: linear regression model and some knowledge on categorical data analysis.

TUTORIAL 2: Statistical Signal Extraction and Filtering

The lecture notes which will be used during the tutorial can be obtained from the file SignalTutorial.zip and the programme from http://www.le.ac.uk/users/dsgp1/IDEOLOG.zip.

These tutorial lectures will review the theory and the practice of some of the modern methods of statistical signal extraction, and they will encompass some of the most recent developments. The lectures will begin with a review of the well-established Wiener--Kolmogorov theory of linear filtering, together with its interpretations within the time domain and the frequency domain. The theory will be extended to encompass short nonstationary sequences. Various alternative algorithms for realising the filters will be presented. The lectures will proceed to describe filtering methods that exploit the concepts of the Fourier analysis. Such methods presuppose that the de-trended data can be expressed as a combination of trigonometrical or complex exponential functions. The techniques that enable these methods to be applied to trended and nonstationary data will be described. A variety of recently developed filtering methods that continue to evade a full theoretical analysis will also be described. These will include the methods of singular spectral analysis and of empirical mode decompositions.

Tutorial Programme

Lunch possibilities at the LSE

• Brunch Bowl: Old Building 4th Floor.
• The Garrick on Houghton Street.
• Cafe 54: Ground floor of the New Academic Building.

Lunch possibilities outside the LSE