ASC2017: Asymptotic Statistics and Computations

Graduate School of Mathematical Sciences, The University of Tokyo (Komaba Campus)
Room 123
January 30 – February 1, 2017

This workshop aims at exchanges of the state-of-the-art in a wide range of asymptotic statistics, computational statistics, and statistical modeling from theoretical, methodological, and implementation points of view.

This workshop is partially supported by CREST, JST: Mathematical statistics and stochastic analysis for modeling and analysis of complex random systems (Research Director: Nakahiro Yoshida, The University of Tokyo)

Program (ver. 2017/1/10)

Workshop booklet, containing available abstracts.

January 30 (Mon.)

12:55 – 13:00      Opening

13:00 – 13:40      Stefano M. Iacus (University of Milan)
Some results on Lasso-model selection for dynamical systems with small noise

13:40 – 14:20      Yasutaka Shimizu (Waseda University)
Applications of central limit theorems for equity-linked insurance

14:30 – 15:10      Claudio Heinrich (Aarhus University)
Limit theory for Lévy semistationary processes

15:10 – 15:50      Mark Podolskij (Aarhus University)
Statistical inference for linear fractional stable motion

16:00 – 16:40      Masayuki Uchida (Osaka University, MMDS)
Hybrid estimators with the initial Bayes estimators for ergodic diffusion processes based on reduced data

January 31 (Tue.)

9:30 – 10:10        Takaki Hayashi (Keio University)
Wavelet-based methods for high-frequency lead-lag analysis

10:10 – 10:50      Xiaofei Lu (Ecole CentraleSupelec)
Limit order book modelling with high dimensional Hawkes processes

11:00 – 11:40      Simon Clinet (University of Tokyo)
Estimating the integrated parameter of the time-varying parameter self exciting process

12:00 – 12:50     Luncheon party (Lever son Verre)

13:30 – 14:10      Kengo Kamatani (Osaka University, MMDS)
MCMC in Yuima Package

14:10 – 14:50      Lorenzo Mercuri (University of Milan)
New classes and methods in yuima package

15:00 – 15:40      Hiroki Masuda (Kyushu University)
Remarks on Gaussian quasi-likelihood inference for Lévy driven SDE

15:40 – 16:20      Niels Richard Hansen (University of Copenhagen)
Recurrent event time modeling: predictive and causal models


February 1 (Wed.)

9:30 – 10:10       Emil S. Jørgensen (University of Copenhagen)
Prediction-based estimating functions for discretized diffusions

10:10 – 10:50      Nina Munkholt Jakobsen (University of Copenhagen)
Efficient estimation for diffusions with jumps

11:00 – 11:40      Michael Sørensen (University of Copenhagen)
Maximum likelihood estimation for stochastic differential equations with random effects

13:00 – 13:40      Bezirgen Veliyev (Aarhus University)
Edgeworth expansion for Euler approximation of continuous diffusion processes

13:40 – 14:20      Yuta Koike (Tokyo Metropolitan University)
Capturing heterogeneous lead-lag effects from ultra high frequency data

14:30 – 15:10      Ioane Muni Toke (Ecole CentraleSupélec)
Some models of intensities for limit order books

15:10 – 15:50      Frédéric Abergel (Ecole Centrale Paris)
Optimal order placement in limit order books

16:00 – 16:40      Nakahiro Yoshida (University of Tokyo)
Applications of the quasi likelihood analysis to point processes

16:40                 Closing