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Workshop : S.A.P.S V (6-8 Janvier 2005)

Workshop : S.A.P.S V (6-8 Janvier 2005)

Workshop : S.A.P.S V (6-8 Janvier 2005)
STATISTIQUE ASYMPTOTIQUE DES PROCESSUS STOCHASTIQUES V

Asymptotical Statistics of Stochastic Processes V

(Statistique Asymptotique des Processus Stochastiques VI)

Université du Maine, Le Mans, 6-8 January, 2005

Sponsors : Université du Maine, CUM,Conseil Général de la Sarthe and Conseil Régional des Pays de la Loire

Workshop S.A.P.S V

Participants

  • Blanke Delphine, Paris
  • Bosq Denis, Paris
  • Campillo Fabien, Rennes
  • Chebana Fateh, Le Mans
  • Chiganski Pavel, Tel Aviv
  • Dabye Ali, N’djamena
  • Dachian Sergueï, Clermont-Ferrand
  • Dalalyan Arnak, Paris
  • Dehay Dominique, Rennes
  • Delattre Sylvain, Paris
  • Deshayes Jean, Rennes
  • Drost Feico, Tilburg
  • Fazli Khosrov, Le Mans
  • Forman Julie, Copenhagen
  • Genon-Catalot Valentine, Paris
  • Gombani Andrea, Padova
  • Höpfner Reinhard, Mainz
  • Iacus Stefano, Milano
  • Jacod Jean, Paris
  • Khodjabagian Seyran, Hannover
  • Kleptsyna Marina, Le Mans
  • Kordzakhia Nino, Sydney
  • Küchler Uwe, Berlin
  • Kutoyants Yury, Le Mans
  • Laredo Catherine, Jouy-en-Josas
  • Le Gland Francois, Rennes
  • Loukianov Oleg, Evry
  • Loukianova Daria, Evry
  • Masuda Hiroki, Fukuoka
  • Nahapetyan Boris, Yerevan
  • Negri Ilia, Milano
  • Nishiyama Yoichi, Tokyo
  • Novikov Alex, Sydney
  • Sørensen Michael, Copenhagen
  • Spreij Peter, Amsterdam
  • Uchida Masayuki, Fukuoka
  • Vostrikova Ludmila, Angers
  • Wefelmeyer Wolfgang, Köln
  • Yoshida Nakahiro, Tokyo
  • Zayats Vladimir, Barcelona

Présentation

Asymptotical Statistics of Stochastic Processes V

(Statistique Asymptotique des Processus Stochastiques VI)

Université du Maine, Le Mans, 6-8 January, 2005

Sponsors : Université du Maine, CUM,Conseil Général de la Sarthe and Conseil Régional des Pays de la Loire

The purpose of this workshop (which is a continuation of DYNSTOCH meetings) is to stimulate research in statistical inference for continuous time stochastic processes. This branch of mathematical statistics attracts more and more attention of the statisticians and probabilists because first : the real systems are often well described by the continuous time mathematical models (point processes, diffusion processes, stochastic differential equations with partial derivatives, stable processes etc.) and the second : the diversity of the models and the diversity of the statements of the statistical problems make these models quite attractive for the mathematicians because all these allow to obtain many new results which sometimes have no analog in discrete time models.

Note that solutions obtained for continuous time models can be valid for discrete schemes of observation too. The computer realizations of the statistical algorithms (real data applications) requires that a special attention have to be payed to the effects due to discretization of continuous-time trajectories. Therefore, we wait that one (important) part of the talks will be devoted to statistical inference for discrete time observations (of continuous time systems).

Note as well, that statistical problems for stochastic processes are in the field of interests of the research teams of the universities of Rennes, Angers, Le Mans and Brest, hence this workshop can be considered as a current three-days seminaire triangulaire traditionally organized by these universities.

Scientific Programme Committee :
R. Höpfner, J. Jacod, U. Küchler, Yu. Kutoyants M. Sørensen, N. Yoshida.

Local Organizing Committee :
S. Dachian, A. Dalalyan, K. Fazli, M. Kleptsyna, S. Khodjabagian, Yu. Kutoyants (Chair).

Program

Morning session chair : M. Sørensen

Afternoon session chair : U. Küchler

10h30 - 10h40

Opening

 

10h40 - 11h20

N. Yoshida (Tokyo). "Polynomial type large deviation inequality for a statistical random field and its applications."

Abstract, Photo

11h20 - 12h00

D. Bosq (Paris). "On statistical prediction."

Abstract, Photo

Lunch

14h00 - 14h40

W. Wefelmeyer (Köln). "Imputing responses that are not missing." (Joint work with U.U. Mueller and A. Schick.)

Abstract, Photo

Slides (pdf, ps)

14h40 - 15h20

V. Zaiats (Barcelona). "Irregular sampling in estimation of the response function."

Abstract, Photo

Slides (pdf)

Break

15h40 - 16h20

A. Dalalyan (Paris). "Asymptotic statistical equivalence for multidimensional ergodic diffusions." (Joint work with M. Reiss.)

Abstract, Photo

Slides (pdf, ps)

16h20 - 17h00

M. Uchida (Fukuoka). "AIC for ergodic diffusion processes from discrete observations." (Joint work with N. Yoshida.)

Abstract, Photo

Slides (pdf))

Coffee break

17h20 - 18h00

A. Novikov (Sydney). "Asymptotic properties of parameter estimators of stationary long memory processes." (Joint work with N. Kordzakhia.)

Abstract, Photo

Slides (pdf)

Friday, January 7


Morning session chair : R. Höpfner

Afternoon session chair : W. Wefelmeyer

09h00 - 09h40

J. Jacod (Paris). "Testing the multiplicity of a diffusion".

Abstract, Photo

09h40 - 10h20

S. Dachian (Clermont-Ferrand). "Hypotheses testing. Poisson versus self-exciting and self-correcting." (Joint work with Yu. Kutoyants.)

Abstract, Photo

Slides (pdf, ps)

Break

 

 

10h40 - 11h20

K. Fazli (Le Mans). "On two problems of hypotheses testing for Poisson processes."

Abstract, Photo

Slides (pdf, ps)

11h20 - 12h00

D. Dehay (Rennes). "On invariant distribution function estimation for a class of stationary processes."

Abstract, Photo

Slides (pdf, ps)

Lunch

 

 

14h00 - 14h40

P. Chiganski (Tel Aviv). "Asymptotic stability of nonlinear filters."

Abstract, Photo

Slides (pdf)

14h40 - 15h20

F. Le Gland (Rennes). "Smooth interacting Monte Carlo approximations of contrast functions."(Joint work with N. Caylus, A. Guyader and N. Oudjane.)

Abstract, Photo

Slides (pdf)

Break

 

 

15h40 - 16h20

D. Blanke (Paris). "Adaptive sampling schemes for density estimation."

Abstract, Photo

Slides (pdf)

16h20 - 17h00

L. Vostrikova (Angers). "Enlargement of filtration and additional information in pricing models."(Joint work with E. Valkeila and D. Gasbarra)

Abstract, Photo

Slides (pdf)

Coffee break

 

 

17h20 - 18h00

H. Masuda (Fukuoka). "Second order double Edgeworth expansion in a filtering model based on discrete data." (Joint work with N. Yoshida.)

Abstract, Photo

Slides (pdf)

Saturday, January 8


Chair : N. Yoshida

09h00 - 09h40

M. Sørensen (Copenhagen). "Prediction-based estimating functions for integrated diffusions, stochastic delay differential equations and diffusion compartment models."

Abstract, Photo

Slides (pdf, ps)

09h40 - 10h20

R. Höpfner (Mainz). "A statistical model for information processing in large systems of neurons." (Joint work with K. Brodda.)

Abstract, Photo

Break

  

10h40 - 11h20

Y. Nishiyama (Tokyo). "Change point problem for diffusion processes."

Abstract, Photo

Slides (pdf)

11h20 - 12h00

Yu. Kutoyants (Le Mans). "On delay estimation and testing for SDE".

Abstract, Photo

Slides (pdf, ps)

Lunch

  
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