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Programme

Programme

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.

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Slides (pdf)

09h45

10h20

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

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Slides (pdf)

Break

  

10h35

11h10

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

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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).

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Slides (pdf)

Break

  

11h50

12h25

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

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Slides (pdf)

Lunch

  

14h15

14h50

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

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Slides (pdf)

14h50

15h25

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

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Slides (pdf)

Break

  

15h40

16h15

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

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Slides (pdf)

16h15

16h50

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

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Slides (pdf)

Break

  

16h55

17h30

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

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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.

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Slides (pdf)

Break

  

10h25

11h00

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

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Slides (pdf)

11h00

11h35

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

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Slides (pdf)

Break

  

11h40

12h15

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

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Slides (pdf)

Lunch

  

14h00

14h35

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

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14h35

15h10

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

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Slides (pdf)

Break

  

15h25

16h00

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

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Slides (pdf)

16h00

16h35

M. FUKASAWA (Osaka) Martingale expansion in Finance.

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Slides (pdf)

Break

  

16h40

17h15

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

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Slides (pdf)

17h15

17h50

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

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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).

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Slides (pdf)

09h35

10h10

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

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Slides (pdf)

Break

  

10h25

11h00

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

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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).

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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).

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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).

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Slides (pdf)

Lunch

  

14h00

14h35

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

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Slides (pdf)

14h35

15h10

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

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Slides (pdf)

Break

  

15h25

16h00

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

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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).

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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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