Michael Wolf (born June 1, 1967) holds the Chair of

Econometrics Econometrics is the application of statistical methods to economic data in order to give empirical content to economic relationships.M. Hashem Pesaran (1987). "Econometrics," '' The New Palgrave: A Dictionary of Economics'', v. 2, p. 8 p. 8� ...

and Applied Statistics in the Department of

Economics Economics () is the social science that studies the production, distribution, and consumption of goods and services. Economics focuses on the behaviour and interactions of economic agents and how economies work. Microeconomics analy ...

at the

University of Zurich The University of Zürich (UZH, german: Universität Zürich) is a public research university located in the city of Zürich, Switzerland. It is the largest university in Switzerland, with its 28,000 enrolled students. It was founded in 1833 ...

, Switzerland. He was previously Professor at

UCLA The University of California, Los Angeles (UCLA) is a public university, public Land-grant university, land-grant research university in Los Angeles, California. UCLA's academic roots were established in 1881 as a Normal school, teachers colle ...

Charles III University of Madrid University Charles III of Madrid ( es, Universidad Carlos III de Madrid) (UC3M) is a public university in the Community of Madrid, Spain. Established in 1989, UC3M is an institution with a distinctly international profile. It offers a broad rang ...

, and

Pompeu Fabra University Pompeu Fabra University ( ca, Universitat Pompeu Fabra, UPF, ; es, link=no, Universidad Pompeu Fabra) is a public university located in the city of Barcelona, Catalonia in Spain. The university was created by the Generalitat de Catalunya, Auton ...

Biography

Wolf was born in Germany, where he obtained a

bachelor's degree A bachelor's degree (from Middle Latin ''baccalaureus'') or baccalaureate (from Modern Latin ''baccalaureatus'') is an undergraduate academic degree awarded by colleges and universities upon completion of a course of study lasting three to six ...

in mathematics from the

University of Augsburg The University of Augsburg (german: Universität Augsburg) is a university located in the Universitätsviertel section of Augsburg, Germany. It was founded in 1970 and is organized in 8 Faculties. The University of Augsburg is a relatively you ...

. From 1991 he studied statistics at Stanford University (

M.Sc. A Master of Science ( la, Magisterii Scientiae; abbreviated MS, M.S., MSc, M.Sc., SM, S.M., ScM or Sc.M.) is a master's degree in the field of science awarded by universities in many countries or a person holding such a degree. In contrast to ...

1995,

Ph.D. A Doctor of Philosophy (PhD, Ph.D., or DPhil; Latin: or ') is the most common degree at the highest academic level awarded following a course of study. PhDs are awarded for programs across the whole breadth of academic fields. Because it is a ...

1996). Wolf is known for his work on shrinkage estimation of large-dimensional

covariance matrices In probability theory and statistics, a covariance matrix (also known as auto-covariance matrix, dispersion matrix, variance matrix, or variance–covariance matrix) is a square matrix giving the covariance between each pair of elements o ...

. While originally motivated by

Markowitz Markowitz may refer to: People * Deborah Markowitz, Vermont secretary of state * Gerald Markowitz, American historian * Harry Markowitz, a financial economist and Nobel Laureate * John Markowitz, professor of psychiatry at Weill Cornell Medical Co ...

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 Cancer research is research into cancer to identify causes and develop strategies for prevention, diagnosis, treatment, and cure. Cancer research ranges from epidemiology, molecular bioscience to the performance of clinical trials to evaluate a ...

, chemistry,

civil engineering Civil engineering is a professional engineering discipline that deals with the design, construction, and maintenance of the physical and naturally built environment, including public works such as roads, bridges, canals, dams, airports, sewa ...

climatology Climatology (from Ancient Greek, Greek , ''klima'', "place, zone"; and , ''wiktionary:-logia, -logia'') or climate science is the scientific study of Earth's climate, typically defined as weather conditions averaged over a period of at least 30 ...

, electrical engineering,

genetics Genetics is the study of genes, genetic variation, and heredity in organisms.Hartl D, Jones E (2005) It is an important branch in biology because heredity is vital to organisms' evolution. Gregor Mendel, a Moravian Augustinian friar worki ...

geology Geology () is a branch of natural science concerned with Earth and other astronomical objects, the features or rocks of which it is composed, and the processes by which they change over time. Modern geology significantly overlaps all other Ea ...

neuroscience Neuroscience is the science, scientific study of the nervous system (the brain, spinal cord, and peripheral nervous system), its functions and disorders. It is a Multidisciplinary approach, multidisciplinary science that combines physiology, an ...

psychology Psychology is the scientific study of mind and behavior. Psychology includes the study of conscious and unconscious phenomena, including feelings and thoughts. It is an academic discipline of immense scope, crossing the boundaries betwe ...

speech recognition Speech recognition is an interdisciplinary subfield of computer science and computational linguistics that develops methodologies and technologies that enable the recognition and translation of spoken language into text by computers with the ma ...

, 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 Sample or samples may refer to: Base meaning * Sample (statistics), a subset of a population – complete data set * Sample (signal), a digital discrete sample of a continuous analog signal * Sample (material), a specimen or small quantity of so ...

. In this case the usual estimator, the

sample covariance The sample mean (or "empirical mean") and the sample covariance are statistics computed from a sample of data on one or more random variables. The sample mean is the average value (or mean value) of a sample of numbers taken from a larger po ...

matrix, is inaccurate and

ill-conditioned In numerical analysis, the condition number of a function measures how much the output value of the function can change for a small change in the input argument. This is used to measure how sensitive a function is to changes or errors in the inpu ...

. 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 In statistics, the multiple comparisons, multiplicity or multiple testing problem occurs when one considers a set of statistical inferences simultaneously or infers a subset of parameters selected based on the observed values. The more inferenc ...

, he introduced new procedures to control the

family-wise error rate In statistics, family-wise error rate (FWER) is the probability of making one or more false discoveries, or type I errors when performing multiple hypotheses tests. Familywise and Experimentwise Error Rates Tukey (1953) developed the concept of ...

that are more powerful than previous methods, by taking into account the dependence between

test statistic A test statistic is a statistic (a quantity derived from the sample) used in statistical hypothesis testing.Berger, R. L.; Casella, G. (2001). ''Statistical Inference'', Duxbury Press, Second Edition (p.374) A hypothesis test is typically specifie ...

s. 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 In statistics, the false discovery rate (FDR) is a method of conceptualizing the rate of type I errors in null hypothesis testing when conducting multiple comparisons. FDR-controlling procedures are designed to control the FDR, which is the expe ...

. Michael Wolf served on the

editorial board The editorial board is a group of experts, usually at a publication, who dictate the tone and direction the publication's editorial policy will take. Mass media At a newspaper, the editorial board usually consists of the editorial page editor, ...

of the Annals of Statistics and Statistics and Probability Letters. In 2004, he won the Distinguished Researcher award from the

Generalitat of Catalonia The Generalitat de Catalunya (; oc, label=Aranese, Generalitat de Catalonha; es, Generalidad de Cataluña), or the Government of Catalonia, is the institutional system by which Catalonia politically organizes its self-government. It is formed ...

. He was invited to give the prestigious Gumbel Lecture at the Annual Meeting of the German Statistical Society in

Cologne Cologne ( ; german: Köln ; ksh, Kölle ) is the largest city of the German western state of North Rhine-Westphalia (NRW) and the fourth-most populous city of Germany with 1.1 million inhabitants in the city proper and 3.6 millio ...

in 2008.

Selected publications

Books * Articles on Shrinkage Estimation of Covariance Matrices * * * Articles on Subsampling * * Articles on Multiple Testing * * *

References

External links

*Official University of Zuric
webpage
*Google Schola
Citation page
{{DEFAULTSORT:Wolf, Michael 1967 births Living people German statisticians Econometricians Academic staff of the University of Zurich Stanford University School of Humanities and Sciences alumni University of Augsburg alumni Computational statisticians