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

Econometrics Econometrics is an 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 Statistics (from German language, German: ', "description of a State (polity), state, a country") is the discipline that concerns the collection, organization, analysis, interpretation, and presentation of data. In applying statistics to a s ...

in the Department of

Economics Economics () is a behavioral science that studies the Production (economics), production, distribution (economics), distribution, and Consumption (economics), consumption of goods and services. Economics focuses on the behaviour and interac ...

at the

University of Zurich The University of Zurich (UZH, ) is a public university, public research university in Zurich, Switzerland. It is the largest university in Switzerland, with its 28,000 enrolled students. It was founded in 1833 from the existing colleges of the ...

, Switzerland. He was previously Professor at

UCLA The University of California, Los Angeles (UCLA) is a public land-grant research university in Los Angeles, California, United States. Its academic roots were established in 1881 as a normal school then known as the southern branch of the C ...

Charles III University of Madrid University Charles III of 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 range of master's and bachelor's degree p ...

, and

Pompeu Fabra University Pompeu Fabra University (, ; ) is a public university located in the city of Barcelona, Catalonia in Spain. Established in 1990 by the Autonomous Government of Catalonia and named after Pompeu Fabra, it is known for its competitiveness in resea ...

Biography

Wolf was born in Germany, where he obtained a

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

mathematics Mathematics is a field of study that discovers and organizes methods, Mathematical theory, theories and theorems that are developed and Mathematical proof, proved for the needs of empirical sciences and mathematics itself. There are many ar ...

from the

University of Augsburg The University of 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 young campus university with a ...

. From 1991 he studied statistics at Stanford University (

M.Sc. A Master of Science (; abbreviated MS, M.S., MSc, M.Sc., SM, S.M., ScM or Sc.M.) is a master's degree. In contrast to the Master of Arts degree, the Master of Science degree is typically granted for studies in sciences, engineering and medicine ...

1995, Ph.D. 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 of a ...

. 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 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 ...

chemistry Chemistry is the scientific study of the properties and behavior of matter. It is a physical science within the natural sciences that studies the chemical elements that make up matter and chemical compound, compounds made of atoms, molecules a ...

civil engineering Civil engineering is a regulation and licensure in engineering, professional engineering discipline that deals with the design, construction, and maintenance of the physical and naturally built environment, including public works such as roads ...

climatology Climatology (from Greek , ''klima'', "slope"; and , '' -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 years. Climate concerns the atmospher ...

electrical engineering Electrical engineering is an engineering discipline concerned with the study, design, and application of equipment, devices, and systems that use electricity, electronics, and electromagnetism. It emerged as an identifiable occupation in the l ...

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 Augustinians, Augustinian ...

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

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

psychology Psychology is the scientific study of mind and behavior. Its subject matter includes the behavior of humans and nonhumans, both consciousness, conscious and Unconscious mind, unconscious phenomena, and mental processes such as thoughts, feel ...

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. It is also ...

, 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: * Sample (graphics), an intersection of a color channel and a pixel * Sample (material), a specimen or small quantity of something * Sample (signal), a digital discrete sample of a continuous analog signal * Sample ...

. In this case the usual estimator, the

sample covariance The sample mean (sample average) or empirical mean (empirical average), and the sample covariance or empirical covariance are statistics computed from a sample of data on one or more random variables. The sample mean is the average value (or me ...

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 Multiple comparisons, multiplicity or multiple testing problem occurs in statistics when one considers a set of statistical inferences simultaneously or estimates a subset of parameters selected based on the observed values. The larger the number ...

, 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 John Tukey developed in 1953 the conce ...

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

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

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 exp ...

. Michael Wolf served on the

editorial board The editorial board is a group of editors, writers, and other people who are charged with implementing a publication's approach to editorials and other opinion pieces. The editorials published normally represent the views or goals of the publicat ...

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 (; ; ), or the Government of Catalonia, is the institutional system by which Catalonia is Self-governance, self-governed as an autonomous communities of Spain, autonomous community of Spain. It is made up of the Parli ...

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

Cologne Cologne ( ; ; ) is the largest city of the States of Germany, German state of North Rhine-Westphalia and the List of cities in Germany by population, fourth-most populous city of Germany with nearly 1.1 million inhabitants in the city pr ...

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