Mini-course "Advanced Statistical Methods" by HDI Lab Chief Research Fellow, Professor Vladimir Spokoiny

Vladimir Spokoiny (WIAS, Berlin; HSE, Moscow) will give a mini-course "Advanced Statistical Methods" on February 11, 14, 18, 21, 25, 28 and April 8, 11.

Course description: The course gives an introduction to the modern parametric statistics theory and covers some advanced topics as well. The basic assumptions of the classical parametric theory are that the parametric specification is exact and the sample size is large relative to the dimension of the parameter space. Unfortunately, this viewpoint limits applicability of the classical theory: it is usually unrealistic to assume that the parametric specification is fulfilled exactly. So, the modern version of the parametric theory has to include a possible model misspecification. The issue of large samples is even more critical. Many modern applications face a situation when the number of parameters p is not only comparable with the sample size n, it can be even much larger than n. It is probably the main challenge of the modern parametric theory to include in a rigorous way the case of “large p small n”. One can say that the parametric theory that is able to systematically treat the issues of model misspecification and of small of fixed samples already includes the nonparametric statistics.

The main part of the course is based on original academic research papers on Mathematical Statistics. The emphasis of the course can be stressed as follows:

-   any model is parametric;

-   any parametric model is wrong;

-   even a wrong model can be useful.

The course material is intended to be technically self-consistent, which means that we review most of necessary background mathematical tools. The lecture notes and required original papers contain all required material.

Schedule:

February: 11.02, 14.02, 18.02, 21.02, 25.02, 28.02, April: 8.04, 11.04

16:00 - 18:00 lecture

18:00 - 20:00 seminar

Venue: room E-R2-B5-2027, Skolkovo Institute of Science and Technology, Bolshoy Boulevard 30, bld. 1 Moscow, Russia 121205

How to get to Skoltech: https://www.skoltech.ru/en/about/contacts/