Laboratoire Manceau
de Mathématiques
Equipe d'Accueil N° 3263
Membre de la Fédération de mathématiques des Pays de Loire
Faculté des Sciences et Techniques - Université du Maine
Program
Workshop : S.A.P.S. VIII (21-24 Mars 2011) Participants Practical Information for Participants Presentation Program

Monday,
March 21


Morning session chair : R. HÖPFNER
Afternoon session chair : U. KÜCHLER

09h00
- 09h10
Opening  
09h10- 09h45 N. YOSHIDA Limit theorems in asymptotic statistics for diffusions. AbstractPhoto
Slides (pdf)
09h45
- 10h20
U. KÜCHLER Analytical and statistical properties of tempered Stable Lévy processes. AbstractPhoto

Slides (pdf)

Break    
10h40
- 11h15
H. MAI Efficient estimation for SDEs with jumps from discrete observations. AbstractPhoto

Slides (pdf)

11h15
- 11h50
A. GLOTER

Optimality properties for the estimation of jumps in stochastic
processes.

AbstractPhoto
Slides (pdf)
Break    
11h55
- 12h30
H. MASUDA Cauchy quasi-likelihood in SDE estimation. AbstractPhoto
Slides (pdf)
Lunch    
14h00
- 14h35
A. GUSHCHIN A limit theorem for likelihoods in the LAQ case. AbstractPhoto

Slides (pdf)

14h35
- 15h10
S. DACHIAN

On compound Poisson type limiting likelihood ratio processes.

AbstractPhoto
Slides (pdf)
Break    
15h30
- 16h05
Y. GOLUBEV The law of the iterated logarithm and data-driven regularizations of ill-posed inverse problems. AbstractPhoto
Slides (pdf)
16h05
- 16h40
M. ERMAKOV On asymptotically efficient confidence estimation of a signal parameter. AbstractPhoto

Slides (pdf)

Break    
16h50
- 17h25
D. BOSQ Exact asymptotic bias for estimators of the Ornstein-Uhlenbeck process. AbstractPhoto

Slides (pdf)

16h50
- 17h25
T. MOURID A Hill type estimator in a non recurrent diffusions processes. AbstractPhoto
Slides (pdf)

Tuesday,
March 22


Morning session chair : N. YOSHIDA

Afternoon session chair : A. GUSHCHIN

09h00
- 09h35
I. IBRAGIMOV

Nonparametric estimation of the intensity density of Poisson random
fields.

AbstractPhoto
Slides (pdf)
09h35
- 10h10
A. DALALYAN Poisson intensity registration by goodness-of-fit testing. AbstractPhoto

Slides (pdf)

Break    
10h30
- 11h05
M. REISS Inference on the volatility in diffusion models with noise and Le Cam theory. AbstractPhoto

Slides (pdf)

11h05
- 11h40
M. BIBINGER

Covariance estimation for non-synchronous noisy high-frequency
observations.

AbstractPhoto
Slides (pdf)
Break    
11h55
- 12h30
I. CIALENCO Parameter Estimation for Stochastic Navier-Stokes Equations. AbstractPhoto
Slides (pdf)
Lunch    
14h00
- 14h35
M. PODOLSKIJ Estimation of scaling parameter for continuous models. AbstractPhoto

Slides (pdf)

14h35
- 15h10
M. FUKASAWA

Discretization error of stochastic integration.

AbstractPhoto
Slides (pdf)
Break    
15h30
- 16h05
R. HÖPFNER On parameter estimation for periodic diffusion processes I. AbstractPhoto
Slides (pdf)

16h05
- 16h40

E. LÖCHERBACH On some ergodicity properties for time inhomogeneous Markov processes with T-periodic semigroup AbstractPhoto

Slides (pdf)

Break    
16h50
- 17h25
D. DEHAY Parameter estimation for an Ornstein Uhlenbeck process with a periodic in time coefficients. AbstractPhoto

Slides (pdf)

17h25
- 18h00
M. MALYUTOV

LDE and a simplified compression-based
homogeneity test.

AbstractPhoto
Slides (pdf)

Wednesday,
March 23


Morning session chair : Y. GOLUBEV

09h00
- 09h35
Y. MISHURA On sequential parameter estimation in stochastic differential equations involving fractional Brownian motion. AbstractPhoto
Slides (pdf)
09h35
- 10h10
A. BROUSTE Design for estimation of drift parameter in fractional diffusion system. AbstractPhoto
Slides (pdf)
Break    
10h30
- 11h05
P. CHIGANSKY Convergence of the most probable path in partially observed systems. AbstractPhoto

Slides (pdf)

11h05
- 11h40
M. BURNASHEV

Estimating a Wiener process first-passage time from noisy or delayed
observations.

AbstractPhoto
Slides (pdf)
Break    
11h40
- 12h15
V. ZAIATS Some results on identifcation of partially observed systems. AbstractPhoto
Slides (pdf)
Lunch    
14h00
- 19h30
Excursion in "Chateau Chenonceau"  
20h00 Conference Dinner  

Thursday,
March 24


Morning session chair : Y. MISHURA
Afternoon session chair : M. UCHIDA

09h00
- 09h35
R. LIPTSER

"Hitsuda - Benes’’ approach to exponential martingale revisited. New
results.

AbstractPhoto
Slides (pdf)
09h35
- 10h10
L. VOSTRIKOVA Some exceptional properties of f-divergence minimal martingale measures AbstractPhoto

Slides (pdf)

Break    
10h30
- 11h05
M. UCHIDA Adaptive Bayes type estimation of ergodic diffusion processes based on sampled data. AbstractPhoto

Slides (pdf)

11h00
- 11h35
I. NEGRI

Asymptotically distribution free test for parameter change in a
diffusion process model.

AbstractPhoto
Slides (pdf)
11h40
- 12h30
POSTER SESSION
Lunch    
14h00
- 14h35
K. KAMATANI Weak Convergence of Markov chain Monte Carlo II. AbstractPhoto

Slides (pdf)

14h35
- 15h10
A. KUSHNIR

Asymptotic statistics problems with nuisance parameters
arising in processing of multidimensional geophysical time series.

AbstractPhoto
Slides (pdf)
Break    
15h30
- 16h05
V. SOLEV Estimation of density on censored data. AbstractPhoto
Slides (pdf)
16h05
- 16h40
M. NIKULIN On chi-squared tests for censored data. AbstractPhoto

Slides (pdf)

16h40
- 17h15
Y. KUTOYANTS

On parameter estimation for periodic diffusion processes II.

AbstractPhoto
Slides (pdf)
17h15 Closing  
Laboratoire Manceau de Mathématiques
Université du Maine - Faculté des Sciences et Techniques
Avenue Olivier Messiaen - 72085 Le Mans Cedex 9 (France)
Tel : +(33) 2 43 83 32 19
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