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
The PDF version of the program is available here (containing the abstracts).
10:25 – 10:30 Opening
10:30 – 11:15 Yuta Koike (University of Tokyo)
Multi-scale analysis of lead-lag relationships in high-frequency financial markets
11:15 – 12:00 Teppei Ogihara (Institute of Statistical Mathematics)
Statistical inference for integrated diffusion processes
12:00 – 13:30 Luncheon party (Lever son Verre)
13:30 – 14:15 Yuliya Mishura (Taras Shevchenko National University of Kyiv)
Fractional irregularity
14:15 – 15:00 Yukai Yang (Uppsala University)
Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications
15:00 – 15:30 Break
15:30 – 16:15 Hiroki Masuda (Kyushu University)
Efficient estimation of stable Levy process
16:15 – 17:00 Nakahiro Yoshida (University of Tokyo)
Asymptotic expansion of Skorohod integrals
17:00 – 17:05 Closing