Program (ver. 2019/1/21)

January 30 (Wed)

13:00-13:10 Opening

13:10-13:40 Yuta Koike (University of Tokyo)
De-biasing the graphical Lasso in high-frequency data

13:40-14:10 Shoichi Eguchi (Osaka University)
Stepwise model selection for ergodic SDEs

14:30-15:00 Kengo Kamatani (Osaka University)
High-dimensional scaling limit of Monte Carlo methods

15:00-15:30 Nina Munkholt Jakobsen (Technical University of Denmark)
Efficient Estimation for Jump-Diffusions

15:50-16:20 Nakahiro Yoshida (University of Tokyo)
Global jump filters and quasi likelihood analysis for volatility

16:20-16:50 Yasutaka Shimizu (Waseda University)
The Laguerre expansion of the ruin probability under Lévy insurance risks with statistical inference

January 31 (Thur)

10:00-10:30 Michael Sørensen (University of Copenhagen)
Toroidal diffusions with a view to protein structure

10:30-11:00 Carsten Wiuf (University of Copenhagen)
Stochastic modelling and analysis of DNA sequence data from tumors

11:20-11:50 Mogens Bladt (University of Copenhagen)
Inhomogeneous Phase-Type Distributions And Heavy Tails

11:50-12:20 Hiroki Masuda (Kyushu University)
Non-constant scale effect in stable quasi-likelihood inference

12:30-13:50 Conference Lunch

14:00-14:30 Kohei Chiba (University of Tokyo)
Consistency of the MLE for the drift parameter of an SDE driven by fBM with Hurst parameter 1/4<H<1/2

14:30-15:00 Vytaute Pilipauskaite (Aarhus University)
Testing for long memory in random-coefficient AR(1) panel

15:20-15:50 Mathias Ljungdahl (Aarhus University)
A Minimal Contrast Estimator for the Linear Fractional Motion

15:50-16:20 Masayuki Uchida (Osaka University)
Estimation of a parabolic stochastic partial differential equation based on ultra high frequency data

February 1 (Fri)

10:00-10:30 Søren Wengel Mogensen (University of Copenhagen)
Graphical modeling of Ornstein-Uhlenbeck processes

10:30-11:00 Mark Podolskij (Aarhus University)
High dimensional problems for diffusion models: a short survey and future challenges

11:20-11:50 Alessandro De Gregorio (University of Rome Sapienza)
Penalized estimations for stochastic differential equations

11:50-12:20 Yoshiki Kinoshita (University of Tokyo)
Penalized quasi likelihood method for sparse stochastic models

12:20 Closing