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
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09h00 09h10 |
Opening | |
|
09h10- 09h45 |
N. YOSHIDA (Tokyo) Asymptotic expansion for the asymptotically conditionally normal law. |
Slides (pdf) |
|
09h45 10h20 |
A. DALALYAN (Paris) Sparse recovery by aggregation and langevin monte-carlo (joint work with A. Tsybakov). |
Slides (pdf) |
|
Break | ||
|
10h35 11h10 |
S. LOTOTSKY (Los Angeles) Parameter estimation in stochastic hyperbolic equations (joint work with W. Liu). |
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). |
Slides (pdf) |
|
Break | ||
|
11h50 12h25 |
H. MASUDA (Kyushu) Quasi-likelihood estimation of a Levy-driven SDE and its application. |
Slides (pdf) |
|
Lunch | ||
|
14h15 14h50 |
U. KÜCHLER (Berlin) Statistical properties of affine stochastic delay differential equations. |
Slides (pdf) |
|
14h50 15h25 |
A. GUSHCHIN (Moscow) Approximations and limit theorems for log-likelihood ratio processes (joint work with E. Valkeila). |
Slides (pdf) |
|
Break | ||
|
15h40 16h15 |
T. MOURID (Tlemcen) Statistical problems on the delays measure density in small diffusion processes. |
Slides (pdf) |
|
16h15 16h50 |
L. SAKHANENKO (East Lansing) Integral curve estimation : methodology and applications to diffusion tensor imaging. |
Slides (pdf) |
|
Break | ||
|
16h55 17h30 |
D. DEHAY (Rennes) On the convergence in law of some empirical estimators. |
Slides (pdf) |
Morning session chair : N. YOSHIDA
Afternoon session chair : U. KÜCHLER
|
09h00 09h35 |
R. KHASMINSKII (Detroit) Nonlinear functionals estimation for Poisson observed processes. |
Slides (pdf) |
|
09h35 10h10 |
I. IBRAGIMOV (St. Petersburg) On the estimation of analytic intensity density function of Poisson random fields. |
Slides (pdf) |
|
Break | ||
|
10h25 11h00 |
S. DACHIAN (Clermont-Ferrand) On limiting likelihood ratio processes of some change-point type statistical models. |
Slides (pdf) |
|
11h00 11h35 |
R. LIPTSER (Tel Aviv) Example of LDP approach to smoothing problem (joint work with F. Klebaner). |
Slides (pdf) |
|
Break | ||
|
11h40 12h15 |
D. BOSQ (Paris) Tensorial products of functional ARMA processes. Application to estimation of covariance functions. |
Slides (pdf) |
|
Lunch | ||
|
14h00 14h35 |
J. JACOD (Paris) Does a discretely observed process have infinitely many jumps ? (joint work with Y. Aït-Sahalia). | |
|
14h35 15h10 |
M. UCHIDA (Osaka) Estimation of the volatility for stochastic differential equations (joint work with N. Yoshida). |
Slides (pdf) |
|
Break | ||
|
15h25 16h00 |
M. SØRENSEN (Copenhagen) Efficient estimation for ergodic SDE models sampled at high frequency. |
Slides (pdf) |
|
16h00 16h35 |
M. FUKASAWA (Osaka) Martingale expansion in Finance. |
Slides (pdf) |
|
Break | ||
|
16h40 17h15 |
L. VOSTRIKOVA (Angers) On stability of call/put option prices in incomplet models under statistical estimations. |
Slides (pdf) |
|
17h15 17h50 |
M. ROSENBAUM (Paris) On lead-lag estimation. |
Slides (pdf) |
Morning session chair : Y. KUTOYANTS
|
09h00 09h35 |
R. HÖPFNER (Mainz) Estimating discontinuous periodic signals in a time inhomogeneous diffusion (joint work with Y. Kutoyants). |
Slides (pdf) |
|
09h35 10h10 |
P. JAHN (Mainz) Statistical problems related to excitation threshold and reset value of membrane potentials. |
Slides (pdf) |
|
Break | ||
|
10h25 11h00 |
M. MALYUTOV (Boston) Modeling protein diffusion-like motion over cell membranes. |
Slides (pdf) |
|
11h00 11h35 |
M. HAMMER (Mainz) On the invariant measure for branching diffusions with immigration. |
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). |
Slides (pdf) |
|
Lunch | ||
|
13h30 19h30 |
Excursion in "Chateau de Chambord" | |
|
20h00 |
Conference Dinner |
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. |
Slides (pdf) |
|
09h35 10h10 |
M. ERMAKOV (St. Petersburg) Testing nonparametric hypothesis with the small type I or type II error probabilities. |
Slides (pdf) |
|
Break | ||
|
10h25 11h00 |
P. CHIGANSKY (Jerusalem) MLE in the partially observed setting : the continuous time case. |
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). |
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). |
Slides (pdf) |
|
Lunch | ||
|
14h00 14h35 |
M. GINOVIAN (Boston) Estimation of spectral functionals for continuous-time stationary models. |
Slides (pdf) |
|
14h35 15h10 |
V. ZAIATS (Barcelona) Different approaches to statistical estimation of the response function. |
Slides (pdf) |
|
Break | ||
|
15h25 16h00 |
V. SOLEV (St. Petersburg) Estimation of function from noisy data. |
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). |
Slides (pdf) |
|
Break | ||
|
16h40 17h15 |
Y. KUTOYANTS (Le Mans) On parameter estimation for threshold models. |
Slides (pdf) |
|
17h15 |
Closing |
