We are concerned with how to select significant variables in semi-parametric modeling. Variable selection for semi-parametric regression models consists of two components: model selection for nonparametric components and selection of significant variables for parametric portion. Thus, it is much more challenging than that for parametric models such as linear models and generalized linear models because traditional variable selection procedures including stepwise regression and the best subset selection require model selection to nonparametric components for each sub-model.

The use of economic and statistics principles have been instrumental in developing many quantitative methodologies in finance, for example the famous formula of Black-Scholes that led to a Noble Prize in economics. In order to research in mathematical finance, it is essential to understand both economic principles and the ever changing financial activities in the market.

The department is excited to host a reception at the 2010 Joint Statistical Meetings in Vancouver, BC. The event will take place at 5:30 pm in the Convention Center room CC-4 (East) on Monday, August 2, 2010. If the JSM is in your travel plans, please make sure that you stop by at the reception!