Japanese page is here.
Professor Frederic Udina (Universitat Pompeu Fabra) will be delivering three lectures (90 minutes each) on kernel density estimation.
July 10 (Monday) -- 12 (Wednesday), 2006
The lecture schedule is ...
July 10 : 1:30 -- 3:00pm
July 11 : 1:30 -- 3:00pm
July 12 : 1:30 -- 3:00pm
Room D515, Graduate School of Engineering Science
Histograms
Kernel estimators
Orthonormal series estimators
Other methods
Consistency and convergence
Choosing the bandwidth
Choosing the kernel
Computational aspects
Multivariate density estimation
The L_1 world
Transformed kernel estimators
The level of the lectures will be advanced Master-PhD level course.
In particular he will consider basic theoretical aspects of error estimation together with some practical issues.
He will also deliver an advanced seminar on universal portfolios in mathematical finance on Tuesday 11 at 4:30pm.
If you want to get some information about it, please click here.
Nonparametric kernel-based sequential investment
strategies
(pdf file, approximately 400kB)
Nonparametric nearest neighbor based empirical portfolio selection
strategies
(pdf file, approximately 400kB)