ASC2018: Asymptotic Statistics and Computations

Graduate School of Mathematical Sciences, The University of Tokyo (Komaba Campus)
Room 002
February 5, 2018

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)


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