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Workshop : S.A.P.S. VII (16-19 Mars 2009)

Workshop : S.A.P.S. VII (16-19 Mars 2009)

Workshop : S.A.P.S. VII (16-19 Mars 2009)

Asymptotical Statistics of Stochastic Processes VII

(Statistique Asymptotique des Processus Stochastiques VII)

Université du Maine, Le Mans, 16-19 March, 2009

Sponsors : Université du Maine, FR 2962 du CNRS Mathématiques des Pays de Loire, CUM,Ministère de l’Education nationale,Conseil Général de la Sarthe and Conseil Régional des Pays de la Loire

The purpose of this workshop 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 analogue 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 and Le Mans, hence this workshop can be considered as a current three-days seminaire triangulaire traditionally organized by these universities.

Scientific Programme Committee :
U. Küchler, Yu. Kutoyants, N. Yoshida.

Local Organizing Committee :
A. Brouste, S. Dachian, A. Gassem, C. Farinetto, M. Kleptsyna, Yu. Kutoyants (Chair).

Participants and program

Participants

  • Bosq Denis, Paris
  • Brouste Alexandre, Le Mans
  • Burnashev Marat, Moscow
  • Cawston Suzanne, Angers
  • Chigansky Pavel, Jerusalem
  • Dabye Ali, N’djamena
  • Dachian Sergueï, Clermont-Ferrand
  • Dalalyan Arnak, Paris
  • De Gregorio Alessandro, Milano
  • Dehay Dominique, Rennes
  • Diop Fatou Nene, Saint-Louis
  • Ditlevsen Susanne, Copenhagen
  • Ermakov Mihail, St. Petersburg
  • Farinetto Christian, Le Mans
  • Fazli Khosrow, Sanandaj
  • Foukasawa Masaaki, Osaka
  • Gassem Anis, Le Mans
  • Gushchin Alexander, Moscow
  • Hammer Matthias, Mainz
  • Höpfner Reinhard, Mainz
  • Iacus Stefano, Milano
  • Ibragimov Ildar, St. Petersburg
  • Jacod Jean, Paris
  • Jahn Patrick, Mainz
  • Khasminskii Rafail, Detroit
  • Kleptsyna Marina, Le Mans
  • Korso Fesiane Malika, Tlemcen
  • Küchler Uwe, Berlin
  • Kutoyants Yury, Le Mans
  • Liptser Robert, Tel Aviv
  • Locherbach Eva, Paris
  • Lototsky Sergey, Los Angeles
  • Loukianova Daria, Evry
  • Malutov Mikhail, Boston
  • Masuda Hiroki, Kyushu
  • Mourid Tahar, Tlemcen
  • Negri Ilia, Milano
  • Nikulin Mikhail, Bordeaux
  • Rabhi Anissa, Paris
  • Rosenbaum Mathieu, Paris
  • Sakhanenko Lyudmila, East Lansing
  • Solev Valentin, St. Petersburg
  • Sørensen Michael, Copenhagen
  • Uchida Masayuki, Osaka
  • Vostrikova Ludmila, Angers
  • Yoshida Nakahiro, Tokyo
  • Zaiats Vladimir, Barcelona

Program

SAPS VII
Program of 16, 17, 18 and 19 March 2009

Monday,
March 16


Morning session chair : R. HÖPFNER
Afternoon session chair : V. ZAIATS

09h00

09h10

Opening

 

09h10- 09h45

N. YOSHIDA (Tokyo) Asymptotic expansion for the asymptotically conditionally normal law.

Photo

Slides (pdf)

09h45

10h20

A. DALALYAN (Paris) Sparse recovery by aggregation and langevin monte-carlo (joint work with A. Tsybakov).

Photo

Slides (pdf)

Break

  

10h35

11h10

S. LOTOTSKY (Los Angeles) Parameter estimation in stochastic hyperbolic equations (joint work with W. Liu).

Photo

Slides (pdf)

11h10

11h45

D. LOUKIANOVA (Evry) Penalized nonparametric drift estimation in continuous time one-dimensional diffusion (joint work with E. Löcherbach and O. Loukianov).

Photo

Slides (pdf)

Break

  

11h50

12h25

H. MASUDA (Kyushu) Quasi-likelihood estimation of a Levy-driven SDE and its application.

Photo

Slides (pdf)

Lunch

  

14h15

14h50

U. KÜCHLER (Berlin) Statistical properties of affine stochastic delay differential equations.

Photo

Slides (pdf)

14h50

15h25

A. GUSHCHIN (Moscow) Approximations and limit theorems for log-likelihood ratio processes (joint work with E. Valkeila).

Photo

Slides (pdf)

Break

  

15h40

16h15

T. MOURID (Tlemcen) Statistical problems on the delays measure density in small diffusion processes.

Photo

Slides (pdf)

16h15

16h50

L. SAKHANENKO (East Lansing) Integral curve estimation : methodology and applications to diffusion tensor imaging.

Photo

Slides (pdf)

Break

  

16h55

17h30

D. DEHAY (Rennes) On the convergence in law of some empirical estimators.

Photo

Slides (pdf)

Tuesday,
March 17


Morning session chair : N. YOSHIDA
Afternoon session chair : U. KÜCHLER

09h00

09h35

R. KHASMINSKII (Detroit) Nonlinear functionals estimation for Poisson observed processes.

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Slides (pdf)

09h35

10h10

I. IBRAGIMOV (St. Petersburg) On the estimation of analytic intensity density function of Poisson random fields.

Photo

Slides (pdf)

Break

  

10h25

11h00

S. DACHIAN (Clermont-Ferrand) On limiting likelihood ratio processes of some change-point type statistical models.

Photo

Slides (pdf)

11h00

11h35

R. LIPTSER (Tel Aviv) Example of LDP approach to smoothing problem (joint work with F. Klebaner).

Photo

Slides (pdf)

Break

  

11h40

12h15

D. BOSQ (Paris) Tensorial products of functional ARMA processes. Application to estimation of covariance functions.

Photo

Slides (pdf)

Lunch

  

14h00

14h35

J. JACOD (Paris) Does a discretely observed process have infinitely many jumps ? (joint work with Y. Aït-Sahalia).

Photo

14h35

15h10

M. UCHIDA (Osaka) Estimation of the volatility for stochastic differential equations (joint work with N. Yoshida).

Photo

Slides (pdf)

Break

  

15h25

16h00

M. SØRENSEN (Copenhagen) Efficient estimation for ergodic SDE models sampled at high frequency.

Photo

Slides (pdf)

16h00

16h35

M. FUKASAWA (Osaka) Martingale expansion in Finance.

Photo

Slides (pdf)

Break

  

16h40

17h15

L. VOSTRIKOVA (Angers) On stability of call/put option prices in incomplet models under statistical estimations.

Photo

Slides (pdf)

17h15

17h50

M. ROSENBAUM (Paris) On lead-lag estimation.

Photo

Slides (pdf)

Wednesday,
March 18


Morning session chair : Y. KUTOYANTS

09h00

09h35

R. HÖPFNER (Mainz) Estimating discontinuous periodic signals in a time inhomogeneous diffusion (joint work with Y. Kutoyants).

Photo

Slides (pdf)

09h35

10h10

P. JAHN (Mainz) Statistical problems related to excitation threshold and reset value of membrane potentials.

Photo

Slides (pdf)

Break

  

10h25

11h00

M. MALYUTOV (Boston) Modeling protein diffusion-like motion over cell membranes.

Photo

Slides (pdf)

11h00

11h35

M. HAMMER (Mainz) On the invariant measure for branching diffusions with immigration.

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Slides (pdf)

Break

  

11h40

12h15

I. NEGRI (Bergamo) Goodness of fit test for diffusions by different sample schemes (joint work with Y. Nishiyama and H. Masuda).

Photo

Slides (pdf)

Lunch

  

13h30

19h30

Excursion in "Chateau de Chambord"

 

20h00

Conference Dinner

 

Thursday,
March 19


Morning session chair : S. LOTOTSKY
Afternoon session chair : I. IBRAGIMOV

09h00

09h35

M. BURNASHEV (Moscow) On some lower bounds in testing of hypotheses and information theory.

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Slides (pdf)

09h35

10h10

M. ERMAKOV (St. Petersburg) Testing nonparametric hypothesis with the small type I or type II error probabilities.

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Slides (pdf)

Break

  

10h25

11h00

P. CHIGANSKY (Jerusalem) MLE in the partially observed setting : the continuous time case.

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Slides (pdf)

11h00

11h35

A. BROUSTE (Le Mans) Asymptotic properties of maximum likelihood estimator for partially observed fractional diffusion system (joint work with M. Kleptsyna).

Photo

Slides (pdf)

Break

  

11h40

12h15

S. IACUS (Milano) Pseudo-divergence test statistics for multidimensional diffusion processes observed at discrete times (joint work with A. De Gregorio).

Photo

Slides (pdf)

Lunch

  

14h00

14h35

M. GINOVIAN (Boston) Estimation of spectral functionals for continuous-time stationary models.

Photo

Slides (pdf)

14h35

15h10

V. ZAIATS (Barcelona) Different approaches to statistical estimation of the response function.

Photo

Slides (pdf)

Break

  

15h25

16h00

V. SOLEV (St. Petersburg) Estimation of function from noisy data.

Photo

Slides (pdf)

16h00

16h35

M. NIKULIN (Bordeaux) Statistical analysis of reliability of redundant systems with "warm" stand-by units (joint work with V. Bagdonavicius and I. Masiulaityte).

Photo

Slides (pdf)

Break

  

16h40

17h15

Y. KUTOYANTS (Le Mans) On parameter estimation for threshold models.

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Slides (pdf)

17h15

Closing

 
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