Events - September 2019

Thursday, September 26, 2019 (all day)

Optimal Transport, Entropy, and Risk Measures on Wiener space

We discuss the interplay between entropy, large deviations, and optimal couplings on Wiener space.

In particular we prove a new rescaled version of Talagrand’s transport inequality. As an application, we consider rescaled versions of the entropic risk measure which are sensitive to risks in the fine structure of Brownian paths. 

Thursday, September 19, 2019 — 4:00 PM EDT

More information about this seminar will be added as soon as possible.

Friday, September 13, 2019 — 10:30 AM EDT

More information about this seminar will be added as soon as possible.

Thursday, September 12, 2019 — 4:00 PM EDT

Nonparametric failure time with Bayesian Additive Regression Trees


Bayesian Additive Regression Trees (BART) is a nonparametric machine learning method for continuous, dichotomous, categorical and time-to-event outcomes.  However, survival analysis with BART currently presents some challenges.  Two current approaches each have their pros and cons.  Our discrete time approach is free of precarious  restrictive assumptions such as proportional hazards and Accelerated Failure Time (AFT), but it becomes increasingly computationally demanding as the sample size increases.  Alternatively, a Dirichlet Process Mixture approach is computationally friendly, but it suffers from the AFT assumption.  Therefore, we propose to further nonparametrically enhance this latter approach via heteroskedastic BART which will remove the restrictive AFT assumption while maintaining its desirable computational properties.

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