Info-Metrics Visiting Fellows

Fall 2017

Aman Ullah (September 9 - September 15)

Info-Metrics Institute Visiting Senior Fellow
University of California, Riverside

Spring 2017

Ariel Caticha (January 9 - January 14)

Department of Physics
University of Albany

Fall 2016

Min Chen (October 31 - November 4)

Info-Metrics Institute Visiting Senior Fellow
University of Oxford
 

Fall 2015

Min Chen (November 2 - November 13)

Info-Metrics Institute Visiting Senior Fellow
University of Oxford

Spring 2015

Raphael D.Levine (April 24- April 29)

Info-Metrics Institute Visiting Senior Fellow
Hebrew University and UCLA

Fall 2014

Min Chen (October 18- November 2)

Info-Metrics Institute Visiting Senior Fellow
University of Oxford

Spring 2014

Aman Ullah (May 26 - 30, 2014)

Info-Metrics Institute Visiting Senior Fellow
University of California, Riverside

Summer 2013

Ariel Caticha

Info-Metrics Institute Visiting Senior Fellow
Professor of Physics SUNY-Albany

Fall 2013

Yiping Yang (September 29 - October 6, 2013)

Info-Metrics Institute Junior Visiting Semester Fellow
School of Economics and Management
Beihang University

Summary of Research Topic

Tentative research proposal is to investigate the follow topic and demonstrate reasonability of main work as follows.
Topic: An improved measure of risk based on normalized expected utility and information entropy
Abstract: Meginniss, Luce have derived the numerical representations under behavioral axioms about preference orderings among gambles and their joint receipt. Soofi used the information index to measure the reduction in uncertainty. Golan defined the normalized information entropy. Yang and Qiu proposed an EU-E measure of risk. In the paper, combining normalized expected utility and information entropy, we improve EU-E measure of risk and give an improved measure of risk based on the normalized expected utility and information entropy. It has been showed that this measure of risk has some normative properties under certain conditions. Moreover, it can be a proper descriptive model to some extent. Using this model, the certainty, common ratio and common consequences effect in prospect theory can be interpreted in a reasonable way.

J. Michael Dunn (October 5 - October 10, 2013)

Info-Metrics Institute Senior Visiting Fellow
School of Informatics and Computing
Indiana University Bloomington

Esfandiar (Essie) Maasoumi (November 5 - November 10, 2013)

Info-Metrics Institute Senior Visiting Semester Fellow
Arts & Sciences Distinguished Professor Emory University
Editor,
Econometric Reviews
Department of Economics
Emory University

Spring 2010

Pieter Adriaans (April 24 - May 3, 2010)

Info-Metrics Institute Visiting Senior Fellow
Professor of Learning and Adaptive Systems Universiteit van Amsterdam

Anil Bera (March 20-27, 2010)

Info-Metrics Institute Visiting Senior Fellow
Professor of Economics University of Illinois Urbana-Champaign

Summary of Research Topic

Research Topic: Test for Spatial Dependence using Nonparametric Entropy Measures

There are many test procedures for serial dependence in the time-series context. However, relatively, a few papers study testing procedures for spatial dependence in econometrics: however, see, Anselin (1988) and Anselin, Bera, Florex and Yoon (1996). In this project, we plan to develop a new test procedure based on entropy measure of spatial dependence. Since entropy measure can be interpreted by the pseudo-distance between two probability density functions it might be useful to construct a test statistics for independence between two random variables. This will be a joint work with Sung Park.

Ariel Caticha (March 27-April 10, 2010)

Info-Metrics Institute Visiting Senior Fellow
Professor of Physics SUNY-Albany

Dennis Glennon (Spring 2010)

Info-Metrics Institute Senior Visiting Semester Fellow
Director - Credit Risk Analysis Division
Economics Department
Office of the Comptroller of the Currency

Summary of Research Topic

We will re-formulate the relationship between mortgage default and prepayment risks (i.e., competing risks) as a multinomial discrete choice problem. Using a GME approach (Golan, et al., 1996), we will develop a loss forecasting model for a large sample of single-family mortgage loans and evaluate the potential benefits of using a competing-risk framework against the conventional (single-risk) methods used in the industry.

Esfandiar (Essie) Maasoumi (March 7-14; April 25-30; May 10-14, 2010)

Info-Metrics Institute Senior Visiting Semester Fellow
Arts & Sciences Distinguished Professor Emory University
Editor,
Econometric Reviews
Department of Economics
324 Rich memorial Building
Emory University,
Atlanta, GA 30322

Summary of Research Topic

I plan to explore aspects of multidimensional wellbeing and capabilities with the aid of information theory aggregate functions which I have advocated for sometime. The application of these ideas in the fields of development and welfare have picked up significantly, with realization that there are few alternatives. These aggregates will also be employed to characterize "dominant frontiers", a kind of nonparametric quantiles in more than 2 dimensions. This work is partly done in collaboration with Professor Jeffrey Racine.

Another continuing project is the application of the so called Granger-Maasoumi-Racine metric entropy (normalized Hellinger) in a variety of significant empirical settings in which the "distance" between entire distributions is of interest and may be used for both characterization and for optimal decision making. One example of this is in assessing, based on the tests that Racine and I have developed (based on entropy and on other metrics with Qi Li), how well the Max Entropy distribution performs against an NP estimator.

Jeffrey S. Racine (January 24-30, March 7-14, 2010)

Info-Metrics Institute Visiting Senior Fellow
Senator William McMaster Chair in Econometrics, McMaster University
Professor, Department of Economics
Professor, Graduate Program in Statistics,
Department of Mathematics and Statistics

1280 Main Street West
Hamilton, Ontario
Canada L8S 4M4
905-525-9140 ext. 23825
905-521-8232 (fax)
racinej@mcmaster.ca

Summary of Research Topic
During my visit I intend to pursue a project (joint with E. Maasoumi) on "Nonparametric Multidimensional Ranking of Variables." We will use entropy measures of divergence and nonparametric smoothing methods to provide a novel empirically-oriented approach to assessing multidimensional inequality.

Summer 2010

James Bono

Info-Metrics Institute Junior Summer Fellow
Assistant Professor of Economics
American University

Summary of Research Project
While a Junior Fellow at the Info-Metrics Institute, I will continue my work developing statistical models of strategic situations. In particular, I will focus on my ongoing collaboration with Amos Golan in which we take an information-theoretic approach to games of incomplete information. Rather than turning the game into one of imperfect information and applying the Bayesian Nash equilibrium concept, Amos and I formulate a model that remains agnostic about player rationality and beliefs. We consider a situation in which an external statistician does not know player beliefs, whether the players have common knowledge of the game, or if there is common knowledge of expected utility maximization. However, from data the statistician knows certain moments of the belief and strategy distributions. In this setting we apply the maxent principle to estimate those distributions. The result is an estimate of player beliefs and rationality. Future work for this collaboration includes developing a maxent approach to extensive games or games in which learning occurs. We also plan to use our method on real world mediation situations to form estimates of beliefs and rationalities.

Fall 2010

Ramo Gencay (September 17 - October 5, 2010)

Info-Metrics Institute Visiting Senior Fellow
Simon Fraser University

Luca Secondi (September 22 - October 10, 2010)

Info-Metrics Institute Visiting Junior Fellow
University of Florence

Alastair Hall (September 23 - 28, 2010)

Info-Metrics Institute Visiting Senior Fellow
University of Manchester

Ximing Wu (September 23 and October 7, 2010)

Info-Metrics Institute Visiting Fellow
Texas A&M University

Eric Renault (October 19 - 27, 2010)

Info-Metrics Institute Visiting Senior Fellow
Distinguished Professor of Economics, UNC at Chapel Hill

Spring 2011

Aman Ullah (March 21 - 25, 2011)

Info-Metrics Institute Visiting Senior Fellow
University of California, Riverside

Steve Pincus (April 25 - 27, 2011)

Info-Metrics Institute Visiting Senior Fellow

Pieter Adriaans (April 30 - May 14, 2011)

Info-Metrics Institute Visiting Senior Fellow
Professor of Learning and Adaptive Systems Universiteit van Amsterdam

Ariel Caticha (May 31 - June 4, 2011)

Info-Metrics Institute Visiting Senior Fellow
Professor of Physics SUNY-Albany

Fall 2011

Loran Grady Chollete (December 6 - 9, 2011)

Info-Metrics Institute Visiting Fellow
UiS Business School, Norway

Summary of Research Topic

From December 6 - 9 2011, I will be visiting the Info-Metrics Institute as a Fellow. During this period my work will comprise 3 activities. First, I will present an Institute seminar on December 7. Second, I will discuss research with the Institute Director, Amos Golan, concerning scientific advances at the interface of Info-Metrics and Extreme Events. One aspect of this research involves estimating dependence of financial markets when data properties are unclear. Another area concerns assessing susceptibility to extreme events, and efficiency of markets that face limited information. Finally, time permitting, I may interact with Institute Members and faculty from related fields such as economics, mathematics and business.

 

Spring 2012

M. Hashem Pesaran (March 21 - 25, 2012)

Info-Metrics Institute Visiting Senior Fellow
Cambridge University

Spring 2013

Esfandiar (Essie) Maasoumi (January 27 - February 2, 2013)

Info-Metrics Institute Senior Visiting Semester Fellow
Arts & Sciences Distinguished Professor Emory University
Editor,
Econometric Reviews
Department of Economics
Emory University

Summary of Research Topic:

During my visit I hope to be able to discuss mutual topics of interest, including the two potential projects we have been discussing, on the relation between generalized entropy measures and the possibility of employing entropy mutual information measures to estimate deep aggregation parameters through numerical methods.

Aman Ullah (March 25 - 29, 2013)

Info-Metrics Institute Visiting Senior Fellow
University of California, Riverside

Eric Renault (April 4 - 7, 2013)

Info-Metrics Institute Visiting Senior Fellow
C.V. Starr Professor of Economics, Brown University

Luciano Floridi (April 15 - April 28, 2013)

Info-Metrics Institute Visiting Senior Fellow
Professor of Philosophy at the University of Hertfordshire and founder and director of the IEG, Oxford University Information Ethics research Group

Pieter Adriaans (April 25 - May 3, 2013)

Info-Metrics Institute Visiting Senior Fellow
Professor of Learning and Adaptive Systems Universiteit van Amsterdam

Markus P.A. Schneider (April 29 - May 10, 2013)

Info-Metrics Institute Visiting Junior Fellow
Assistant Professor of Economics University of Denver

Summary of Research Topic:

In general, my research focuses on the observed distribution of earnings and the information this provides about the underlying generating mechanism. While visiting at the Info-Metric institute, I hope to wrap up work on two technical issues with fitting functional distributions to income data. Resolving these issues will help further my arguments about the observed distribution of income and the implied workings of the labor market, but will also be of practical significance for using fitted distributions to calculate inequality indexes.