Probability and Statistics Reading Group

Department of Mathematics

Washington University in St. Louis

Department of Mathematics

Washington University in St. Louis

Spring 2017

Spring 2017 Information: Volunteers will present each week in one of two formats: (i) volunteers will give a brief introduction (maximum of 30 minutes) to their area of research which is accessible to non-specialists; (ii) volunteers will practice presenting a recent paper in applied statistics, such as from the list below. This is primarily intended for Ph.D. students to practice explaining their research area to a general statistics audience.

Meeting Time and Location: See schedule below. All meetings will be 2:30-3:30pm, Room 199 in Cupples I

Contact: Professor Todd Kuffner ( kuffner followed by @ followed by math dot wustl dot edu )

Schedule:

Some suggested papers:

Spring 2015 Semester

Spring 2015 Information: We will focus on MCMC. Volunteers will present each week.

We will start with Chapter 1 of the Handbook of Markov Chain Monte Carlo, edited by Brooks, Gelman, Jones and Meng, published by Chapman & Hall/CRC. Some information is here.

You can find the first chapter of the Handbook here: http://www.mcmchandbook.net/HandbookChapter1.pdf

When logged in from WashU, you can access all chapters of the book through the libary by this link: http://www.crcnetbase.com/isbn/9781420079425

Professor Stanley Sawyer (emeritus professor of mathematics at WashU) authored a great set of notes available here: http://www.math.wustl.edu/~sawyer/hmhandouts/MetropHastingsEtc.pdf

Meeting Time and Location: Tuesdays, 1-2pm in Room 115 of Cupples I

Contact: Professor Todd Kuffner ( kuffner followed by @ followed by math dot wustl dot edu )

Spring 2015 Schedule:

HB: Handbook of MCMC

Fall 2014 Semester

Fall 2014 Information: We will focus on articles of interest to the group, including both recent and classic contributions, as well as surveys. Occassionally, we may also invite a presentation from a student or outside speaker on a topic of interest. Articles will be chosen from leading journals in probability, such as:

Annals of Applied Probability

Annals of Probability

Probability Theory and Related Fields

Advances in Applied Probability

Bernoulli

Electronic Journal of Probability

Journal of Applied Probability

L'Institut Henri Poincare. Annales (B). Probabilites et Statistiques

Probability Surveys

Theory of Probability and Its Applications

Meeting Time and Location: Fridays, 12:30-1:30pm, Cupples I, Room 6

Contact: Professor Todd Kuffner ( kuffner followed by @ followed by math dot wustl dot edu )

Incentive for graduate students: Pizza, generously provided by the Department of Mathematics

Fall 2014 Schedule

Suggested Recent Survey Articles:

Suggested Topics for Presentation: law of the iterated logarithm, the mathematics of MCMC, limit theorems for dependent processes, Dirichlet processes, ergodic theorems, the Kalman filter

Spring 2017 Information: Volunteers will present each week in one of two formats: (i) volunteers will give a brief introduction (maximum of 30 minutes) to their area of research which is accessible to non-specialists; (ii) volunteers will practice presenting a recent paper in applied statistics, such as from the list below. This is primarily intended for Ph.D. students to practice explaining their research area to a general statistics audience.

Meeting Time and Location: See schedule below. All meetings will be 2:30-3:30pm, Room 199 in Cupples I

Contact: Professor Todd Kuffner ( kuffner followed by @ followed by math dot wustl dot edu )

Schedule:

Date |
Speaker |
Topic |

February 2 |
Guanshengrui Hao Ph.D. student, Dept. of Mathematics |
Estimating the size of social networks slides |

February 16 |
Min Hee Seo Ph.D. student, Dept. of Political Science |
Can a synthetic panel do as well as a true panel? slides |

February 23 |
Wei Wang Ph.D. student, Dept. of Mathematics |
High-dimensional precision matrix estimation slides |

March 2 |
Tian Wang Ph.D. student, Dept. of Mathematics |
Introduction to registration problem for functional data slides |

March 30 |
Liqun Yu Ph.D. student, Dept. of Mathematics |
Divide-and-combine strategies for large-scale statistical model fitting slides Big data has imposed both opportunities and challenges for statisticians. Distributed statistical model fitting is required when the data are too big for a single computer to process and/or when data are stored in different machines. Besides subsampling methods, there are typically two approaches to large-scale statistical model fitting. One is to resort to distributed numerical algorithms that solve statistical optimization problems in parallel. And the other is to derive statistical aggregation methods that aggregate subset estimations in a way that preserves asymptotical efficiency. In this talk, I will give a brief overview of both approaches. Throughout the talk, I will be using the penalized quantile regression as a motivation example. |

April 13 |
Luis Garcia German Ph.D. student, Dept. of Mathematics |
A review of the Gaussian correlation inequality slides In 2014 Thomas Royen, a retired statistician, provided a proof of the Gaussian correlation inequality. Since then this proof has gone unnoticed up until recently when Rafal Latala (Warsaw, Poland) and one of his students called attention to it. In this talk I will discuss the history of the problem, the proof, and applications of the inequality. |

Some suggested papers:

- Efron, Bradley (2014). Estimation and accuracy after model selection. Journal of the American Statistical Association 109(507), 991-1007. doi:10.1080/01621459.2013.823775. http://www.tandfonline.com/doi/full/10.1080/01621459.2013.823775

- De Livera, Alysha M. ; Hyndman, Rob J.; Snydera, Ralph D. (2011). Forecasting time series with complex seasonal patterns using exponential smoothing. Journal of the American Statistical Association 106(496), 1513-1527. doi:10.1198/jasa.2011.tm09771. http://www.tandfonline.com/doi/abs/10.1198/jasa.2011.tm09771
- Fienberg, Stephen E. (2012). A brief history of statistical models for network analysis and open challenges. Journal of Computational and Graphical Statistics 21(4), 825-839. doi:10.1080/10618600.2012.738106. http://www.tandfonline.com/doi/abs/10.1080/10618600.2012.738106

- Goel, Sharad; Rao, Justin M.; Shroff, Ravi (2016). Precinct or prejudice? Understanding racial disparities in New York City’s stop-and-frisk policy. Annals of Applied Statistics 10(1), 365--394. doi:10.1214/15-AOAS897. http://projecteuclid.org/euclid.aoas/1458909920.
- Ioannidis, John P.A. (2005). Why most published research findings are false. PLoS Med 2(8): e124. doi:10.1371/journal.pmed.0020124. http://journals.plos.org/plosmedicine/article?id=10.1371/journal.pmed.0020124
- Jaeger, Leah R.; Leek, Jeffrey T. (2014). An estimate of the science-wise false discovery rate and application to the top medical literature. Biostatistics 15 (1), 1-12. doi: 10.1093/biostatistics/kxt007. http://biostatistics.oxfordjournals.org/content/15/1/1

- Li, Qunhua; Brown, James B.; Huang, Haiyan; Bickel, Peter J. (2011). Measuring reproducibility of high-throughput experiments. Annals of Applied Statistics 5(3), 1752-1779. doi:10.1214/11-AOAS466. http://projecteuclid.org/euclid.aoas/1318514284
- Wong, Raymond K. W.; Kashyap, Vinay L.; Lee, Thomas C. M.; van Dyk, David A. (2016). Detecting abrupt changes in the spectra of high-energy astrophysical sources. Annals of Applied Statistics 10(2)1107-1134. doi:10.1214/16-AOAS933. http://projecteuclid.org/euclid.aoas/1469199907.

Spring 2015 Semester

Spring 2015 Information: We will focus on MCMC. Volunteers will present each week.

We will start with Chapter 1 of the Handbook of Markov Chain Monte Carlo, edited by Brooks, Gelman, Jones and Meng, published by Chapman & Hall/CRC. Some information is here.

You can find the first chapter of the Handbook here: http://www.mcmchandbook.net/HandbookChapter1.pdf

When logged in from WashU, you can access all chapters of the book through the libary by this link: http://www.crcnetbase.com/isbn/9781420079425

Professor Stanley Sawyer (emeritus professor of mathematics at WashU) authored a great set of notes available here: http://www.math.wustl.edu/~sawyer/hmhandouts/MetropHastingsEtc.pdf

Meeting Time and Location: Tuesdays, 1-2pm in Room 115 of Cupples I

Contact: Professor Todd Kuffner ( kuffner followed by @ followed by math dot wustl dot edu )

Spring 2015 Schedule:

HB: Handbook of MCMC

Fall 2014 Semester

Fall 2014 Information: We will focus on articles of interest to the group, including both recent and classic contributions, as well as surveys. Occassionally, we may also invite a presentation from a student or outside speaker on a topic of interest. Articles will be chosen from leading journals in probability, such as:

Annals of Applied Probability

Annals of Probability

Probability Theory and Related Fields

Advances in Applied Probability

Bernoulli

Electronic Journal of Probability

Journal of Applied Probability

L'Institut Henri Poincare. Annales (B). Probabilites et Statistiques

Probability Surveys

Theory of Probability and Its Applications

Meeting Time and Location: Fridays, 12:30-1:30pm, Cupples I, Room 6

Contact: Professor Todd Kuffner ( kuffner followed by @ followed by math dot wustl dot edu )

Incentive for graduate students: Pizza, generously provided by the Department of Mathematics

Fall 2014 Schedule

Suggested Recent Survey Articles:

- Bass, Richard F. ``Stochastic differential equations with jumps." Probability Surveys, Volume 1, 2004.
- Bradley, Richard C. ``Basic properties of strong mixing conditions. A survey and some open questions." Probability Surveys, Volume 2, 2005.
- Darling, Richard W.R. and James Ritchie Norris. ``Differential equation approximations for Markov chains." Probability Surveys, Volume 5, 2008.

- Doukhan, Paul and Michael H. Neumann. ``The notion of psi-weak dependence and its application to bootstrapping in time series." Probability Surveys, Volume 5, 2008.
- Guionnet, Alice. ``Large deviations and stochastic calculus for large random matrices." Probability Surveys, Volume 1, 2004.

- Major, Peter. ``Tail behaviour of multiple random integrals and U-statistics." Probability Surveys, Volume 2, 2005.
- Roberts, Gareth O. and Jeffrey S. Rosenthal. ``General state space Markov chains and MCMC algorithms." Probability Surveys, Volume 1, 2004.
- Shao, Qi-Man and Qiying Wang. ``Self-normalized limit theorems: A Survey." Probability Surveys, Volume 10, 2013.
- Whitt, Ward. ``Proofs of the martingale FCLT." Probability Surveys, Volume 4, 2007.

- Andrieu and Moulines. ``On the ergodicity properties of some adaptive MCMC algorithms." Annals of Applied Probability 16 (3), 2006. (82)

- Baik, Arous and Peche. ``Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices." Annals of Probability 33 (5), 2005. (158)
- Dedecker and Prieur. ``New dependence coefficients. Examples and applications to statistics." Probability Theory and Related Fields 132 (2), 2005. (59)
- Freitas, Freitas and Todd. ``Hitting time statistics and extreme value theory." Probability Theory and Related Fields 147 (3-4), 2010. (29)

- Gobet, Lemor and Warin. ``A regression-based Monte Carlo method to solve backward stochastic differential equations." Annals of Applied Probability 15 (3), 2005. (64)
- Johnson and Barron. ``Fisher information inequalities and the central limit theorem." Probability Theory and Related Fields 129 (3), 2004. (38)
- Meerschaert, Nane and Vellaisamy. ``The Fractional Poisson Process and the Inverse Stable Subordinator." Electronic Journal of Probability, Volume 16, 2011. (19)
- Nourdin, Peccati and Reveillac. ``Multivariate normal approximation using Stein's method and Malliavin calculus." Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 46 (1), 2010. (20)

- Nualart and Peccati. ``Central limit theorems for sequences of multiple stochastic integrals." Annals of Probability 33 (1), 2005. (88)
- Segers, Johan. ``Asymptotics of empirical copula processes under non-restrictive smoothness assumptions." Bernoulli 18 (3), 2012. (25)

- Sheffield, Scott. ``Gaussian free fields for mathematicians." Probability Theory and Related Fields 139 (3-4), 2007. (42)

- Tao, Vu and Krishnapur. ``Random matrices: Universallity of ESDs and the circular law." Annals of Probability 38 (5), 2010. (32)
- Tartakovsky and Veeravalli. ``General asymptotic Bayesian theory of quickest change detection." Theory of Probability and its Applications 49 (3), 2005. (47)

- Wu, Wei Biao. ``Strong invariance principles for dependent random variables." Annals of Probability 35 (6), 2007. (68)

Suggested Topics for Presentation: law of the iterated logarithm, the mathematics of MCMC, limit theorems for dependent processes, Dirichlet processes, ergodic theorems, the Kalman filter