Swiss statistician (born 1967)
Michael Wolf (born June 1, 1967) holds the Chair of
Econometrics and Applied
Statistics in the Department of
Economics at the
University of Zurich , Switzerland. He was previously Professor at
UCLA ,
Charles III University of Madrid , and
Pompeu Fabra University .
Biography
Wolf was born in Germany, where he obtained a
bachelor's degree in
mathematics from the
University of Augsburg . From 1991 he studied statistics at Stanford University (
M.Sc. 1995,
Ph.D. 1996).
Wolf is known for his work on
shrinkage estimation of large-dimensional
covariance matrices . While originally motivated by
Markowitz
portfolio selection , the linear shrinkage estimator he developed in collaboration with Olivier Ledoit has been widely adopted by other researchers in a variety of scientific fields such as
cancer research ,
[1]
chemistry ,
[2]
civil engineering ,
[3]
climatology ,
[4]
electrical engineering ,
[5]
genetics ,
[6]
geology ,
[7]
neuroscience ,
[8]
psychology ,
[9]
speech recognition ,
[10] etc. The common feature between these applications is that the dimension of the covariance matrix is not negligible with respect to the size of the
sample . In this case the usual estimator, the
sample covariance matrix, is inaccurate and
ill-conditioned . By contrast, the Ledoit-Wolf estimator is more accurate and guaranteed to be well-conditioned, even in the difficult case where matrix dimension exceeds sample size.
Michael Wolf also co-wrote the book on Subsampling, a
resampling method inspired by the
jackknife that constitutes an alternative to the
bootstrap . In the field of
multiple testing , he introduced new procedures to control the
family-wise error rate that are more
powerful than previous methods, by taking into account the
dependence between
test statistics . He also worked on procedures to control generalized error rates, such as the generalized family-wise error rate, the false discovery proportion and the
false discovery rate .
Michael Wolf served on the
editorial board of the Annals of Statistics and Statistics and Probability Letters. In 2004, he won the Distinguished Researcher award from the
Generalitat of Catalonia . He was invited to give the prestigious
Gumbel Lecture at the Annual Meeting of the German Statistical Society in
Cologne in 2008.
Selected publications
Books
Articles on Shrinkage Estimation of Covariance Matrices
Articles on Subsampling
Articles on Multiple Testing
References
^ Pyeon, Dohun; Newton, Michael A.; Lambert, Paul F.; den Boon, Johan A.; Sengupta, Srikumar; Marsit, Carmen J.; Woodworth, Craig D.; Connor, Joseph P.; Haugen, Thomas H.; Smith, Elaine M.; Kelsey, Karl T.; Turek, Lubomir P.; Ahlquist, Paul (May 2007).
"Fundamental differences in cell cycle deregulation in human papillomavirus–positive and human papillomavirus–negative head/neck and cervical cancers" .
Cancer Research . 67 (10): 4605–4619.
doi :
10.1158/0008-5472.CAN-06-3619 .
PMC
2858285 .
PMID
17510386 .
^ Guo, Syuan-Ming; He, Jun; Monnier, Nilah; Sun, Guangyu; Wohland, Thorsten; Bathe, Mark (March 2012).
"Bayesian approach to the analysis of fluorescence correlation spectroscopy data II: Application to simulated and in vitro data" (PDF) .
Analytical Chemistry . 84 (9): 3880–3888.
doi :
10.1021/ac2034375 .
hdl :
1721.1/92290 .
PMID
22455375 .
S2CID
30293080 .
^ Michaelides, Pavlos G.; Apostolellis, Panagiotis G.; Fassois, Spilios D. (July 2011).
Vibration–based damage diagnosis in a laboratory cable–stayed bridge model via an RCP–ARX model based method (PDF) .
Proceedings of the 9th International Conference on Damage Assessment of Structures (DAMAS 2011) .
Journal of Physics: Conference Series . Vol. 305.
Oxford , United Kingdom:
Institute of Physics . p. 012104.
doi :
10.1088/1742-6596/305/1/012104 .
^ Ribes, Aurélien; Azaïs, Jean-Marc; Planton, Serge (October 2009).
"Adaptation of the optimal fingerprint method for climate change detection using a well-conditioned covariance matrix estimate" (PDF) .
Climate Dynamics . 33 (5): 707–722.
Bibcode :
2009ClDy...33..707R .
doi :
10.1007/s00382-009-0561-4 .
S2CID
53388815 .
^ Wei, Zhe; Huang, Jianguo; Hui, Yuejiao (September 2011).
Adaptive-beamforming-based multiple targets signal separation (PDF) .
Proceedings of the 2011 IEEE International Conference on Signal Processing, Communications and Computing (ICSPCC) .
Xi'an , China:
Institute of Electrical and Electronics Engineers . pp. 1–4.
doi :
10.1109/ICSPCC.2011.6061572 .
^ Lin, Ja-an; Zhu, Hongtu; Knickmeyer, Rebecca; Styner, Martin; Gilmore, John; Ibrahim, Joseph G. (September 2012).
"Projection regression models for multivariate imaging phenotype" . Genetic Epidemiology . 36 (6): 631–641.
doi :
10.1002/gepi.21658 .
PMC
3418398 .
PMID
22807230 .
^ Elsheikh, Ahmed H.; Wheeler, Mary F.; Hoteit, Ibrahim (June 2013).
"An iterative stochastic ensemble method for parameter estimation of subsurface flow models" (PDF) .
Journal of Computational Physics . 242 : 696–714.
Bibcode :
2013JCoPh.242..696E .
doi :
10.1016/j.jcp.2013.01.047 .
^ Varoquaux, Gaël; Gramfort, Alexandre; Poline, Jean-Baptiste; Thirion, Bertrand (September 2012). "Markov models for fMRI correlation structure: Is brain functional connectivity small world, or decomposable into networks?". Journal of Physiology - Paris . 106 (5): 212–221.
arXiv :
1202.0836 .
doi :
10.1016/j.jphysparis.2012.01.001 .
PMID
22326672 .
S2CID
15305005 .
^ Markon, Kristian E. (February 2010). "Modeling psychopathology structure: a symptom-level analysis of Axis I and II disorders".
Psychological Medicine . 40 (2): 273–288.
doi :
10.1017/S0033291709990183 .
PMID
19515267 .
S2CID
34441286 .
^ Bell, Peter; King, Simon (November 2009).
Diagonal priors for full covariance speech recognition (PDF) .
Proceedings of the 2009 IEEE Workshop on Automatic Speech Recognition & Understanding (ASRU) .
Merano , Italy:
Institute of Electrical and Electronics Engineers . pp. 113–117.
doi :
10.1109/ASRU.2009.5373344 .
External links