Statistics at UC Berkeley

Moritz Voss, UCSB
Jan 28, 2020 11:00am 1011 Evans Hall
Abstract:
ABSTRACT: We study the competition of two strategic agents for liquidity in the benchmark portfolio tracking setup of Bank, Soner, Voss (2017), both facing common aggregated temporary and permanent price impact à la Almgren and Chriss (2001). The resulting stochastic linear quadratic differential game with terminal state constraints allows for an explicitly available open-loop Nash...
Alexander Volberg, Michigan State University
Jan 29, 2020 3:10pm 330 Evans Hall
Abstract:
We improve the constant $\frac{\pi}{2}$ in $L^1$-Poincar\'e inequality on Hamming cube. For Gaussian space the sharp constant in $L^1$ inequality is known, and it is the square root of $\frac{\pi}{2}$ (Maurey—Pisier). For Hamming cube the sharp constant is not known, and the square root of $\frac{\pi}{2}$ gives an estimate from below for this sharp constant. On the other hand, Ben Efraim and...
Tim Sullivan, Freie Universität Berlin and Zuse Institute Berlin
Jan 29, 2020 4:00pm 1011 Evans Hall
Abstract:
Numerical computation --- such as numerical solution of a PDE, or quadrature --- can modelled as a statistical inverse problem in its own right. In particular, we can apply the Bayesian approach to inversion, so that a posterior distribution is induced over the object of interest (e.g. the PDE's solution) by conditioning a prior distribution on the same finite information that would be used in a...
Neyman Seminar
Saad Mouti, UC Berkeley
Feb 4, 2020 11:00am 1011 Evans Hall
Abstract:
ABSTRACT:
Amanda Glazer, UC Berkeley
Feb 11, 2020 11:00am 1011 Evans Hall
Abstract:
ABSTRACT: "I never blame myself when I’m not hitting. I just blame the bat and if it keeps up, I change bats. After all, if I know it isn’t my fault that I’m not hitting, how can I get mad at myself?" - Yogi Berra We have all perceived streaks of hits and misses when watching sports. Often people will blame a magical streakiness that leads players to be "hot" or "cold." Are we to believe in...

Statistics at UC Berkeley: We are a community engaged in research and education in probability and statistics. In addition to developing fundamental theory and methodology, we are actively involved in statistical problems that arise in such diverse fields as molecular biology, geophysics, astronomy, AIDS research, neurophysiology, sociology, political science, education, demography, and the U.S. Census. We have forged strong interdisciplinary links with other departments and areas of study, particularly biostatistics, mathematics, computer science, and biology, and actively seek to recruit graduate students and faculty who can help to build and maintain such links. We also offer a statistical consulting service each semester.