Hannes Leeb

HANNES LEEB
Associate Professor of Statistics
Department of Statistics, Yale University
24 Hillhouse Avenue, New Haven, CT 06511
email: hannes.leeb@yale.edu; phone: (203) 432 0639

TEACHING

Fall 2007: Statistical Inference (STAT 610a)
Spring 2008: Introductory Data Analysis (STAT 230b/530b)
Random Matrices in Statistics (STAT 617b)

RESEARCH

Research Interests: Inference Post Model Selection; Model Selection in Statistics and Econometrics; Asymptotic Statistics; Shrinkage-Type Estimators; Machine Learning; Random Matrices; Linear and Non-Linear Time Series Analysis.
Current Research: Model selection and predictive inference when the number of parameters is of the same order as sample size.
Pitfalls in inference after model selection.
Publications: A selection of my papers is listed on MathSciNet (access privileges required); for a complete list, see my cv.
Recent Papers & Preprints: Unconditional predictive inference after model selection. In preparation.
Concentration of the spectral measure of large Wishart matrices with dependent entries (With Adityanand Guntuboyina.) Manuscript, 2008.
Conditional predictive inference after model selection. Submitted; 2007.
Evaluation and selection of models for out-of-sample prediction when the sample size is small relative to the complexity of the data-generating process. Bernoulli, forthcoming. download pdf
On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding. (With B.M. Pötscher.) Submitted; 2007. download pdf
Model Selection. A Chapter in The Handbook Of Financial Time Series. (With B.M. Pötscher.) Springer, forthcoming. download pdf
Sparse estimators and the oracle property, or the return of Hodges' estimator. (With B.M. Pötscher.) Journal of Econometrics, 142:201--211, 2008. download pdf
Can one estimate the unconditional distribution of post-model-selection estimators? (With B.M. Pötscher.) Econometric Theory, to appear. download pdf
Can one estimate the conditional distribution of post-model-selection estimators? (With B.M. Pötscher.) Annals of Statistics, 34:2554-2591, 2006. download pdf
On the large-sample minimal coverage probability of confidence intervals after model selection. (With P. Kabaila.) J. Amer. Statist. Assoc., 101:619-629, 2006. download pdf
Performance limits for estimators of the risk or distribution of shrinkage-type estimators, and some general lower risk-bound results. (With P.M. Pötscher.) Econometric Theory, 22:69-97, 2006. download pdf
The distribution of a linear predictor after model selection: Conditional finite-sample distributions and asymptotic approximations. Journal of Statistical Planning and Inference, 134:64-89, 2005. download pdf
Model selection and inference: Facts and fiction. (With P.M. Pötscher.) Econometric Theory, 21:21-59, 2005. download pdf

Fall 2007:	Statistical Inference (STAT 610a)
Spring 2008:	Introductory Data Analysis (STAT 230b/530b) Random Matrices in Statistics (STAT 617b)

Research Interests:	Inference Post Model Selection; Model Selection in Statistics and Econometrics; Asymptotic Statistics; Shrinkage-Type Estimators; Machine Learning; Random Matrices; Linear and Non-Linear Time Series Analysis.
Current Research:	Model selection and predictive inference when the number of parameters is of the same order as sample size.
	Pitfalls in inference after model selection.
Publications:	A selection of my papers is listed on MathSciNet (access privileges required); for a complete list, see my cv.
Recent Papers & Preprints:	Unconditional predictive inference after model selection. In preparation.
	Concentration of the spectral measure of large Wishart matrices with dependent entries (With Adityanand Guntuboyina.) Manuscript, 2008.
	Conditional predictive inference after model selection. Submitted; 2007.
	Evaluation and selection of models for out-of-sample prediction when the sample size is small relative to the complexity of the data-generating process. Bernoulli, forthcoming. download pdf
	On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding. (With B.M. Pötscher.) Submitted; 2007. download pdf
	Model Selection. A Chapter in The Handbook Of Financial Time Series. (With B.M. Pötscher.) Springer, forthcoming. download pdf
	Sparse estimators and the oracle property, or the return of Hodges' estimator. (With B.M. Pötscher.) Journal of Econometrics, 142:201--211, 2008. download pdf
	Can one estimate the unconditional distribution of post-model-selection estimators? (With B.M. Pötscher.) Econometric Theory, to appear. download pdf
	Can one estimate the conditional distribution of post-model-selection estimators? (With B.M. Pötscher.) Annals of Statistics, 34:2554-2591, 2006. download pdf
	On the large-sample minimal coverage probability of confidence intervals after model selection. (With P. Kabaila.) J. Amer. Statist. Assoc., 101:619-629, 2006. download pdf
	Performance limits for estimators of the risk or distribution of shrinkage-type estimators, and some general lower risk-bound results. (With P.M. Pötscher.) Econometric Theory, 22:69-97, 2006. download pdf
	The distribution of a linear predictor after model selection: Conditional finite-sample distributions and asymptotic approximations. Journal of Statistical Planning and Inference, 134:64-89, 2005. download pdf
	Model selection and inference: Facts and fiction. (With P.M. Pötscher.) Econometric Theory, 21:21-59, 2005. download pdf