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