MaPhyStoCentre for Mathematical Physics and Stochastics Funded by The Danish National Research Foundation |
DYNSTOCHStatistical Methods for Dynamical Stochastic Models EU Research Training Network |

Department of Mathematical Sciences, University of Copenhagen

Martin Jacobsen (University of Copenhagen)

Michael Sørensen (University of Copenhagen)

The workshop is organized jointly by MaPhySto (The Danish National Research Foundation: Network in Mathematical Physics and Stochastics) and DYNSTOCH.

Please registrer here

For more information, please contact the organizers.

Monday June 7 | |
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09:30-10:30 | Registration |

10:30-10:35 | Welcome |

10:35-11:25 | Hans-Ruedi Künsch (Zürich): 1. The particle filter for general state space models: central limit theorems and asymptotic variances. |

11:25-11:50 | Coffee |

11.50-12.25 | Roderick McCrorie (Essex): Identifying the parameters of vector Ornstein-Uhlenbeck processes on the basis of discrete data. |

12:25-13:00 | Masayuki Uchida (Kyushu): Approximate martingale estimating functions under small perturbations of dynamical systems. |

13:00-14:00 | Lunch |

14:00-14:35 | Christian Brandt (Mainz): Reconstruction of a discretely observed branching diffusion with immigration. |

14:35-15:10 | Nakahiro Yosida (Tokyo): Estimation for a stochastic differential equation with jumps: sampling and asymptotic expansions. |

15:10-15:30 | Coffee |

15:30-16:40 | Mathieu Kessler (Cartagena): Statistical inference for a random scale perturbation of an AR(1) process. |

Tuesday June 8 | |

09:30-10:40 | Neil Shephard (Oxford): An introduction to bipower variation. |

10:40-11:10 | Coffee |

11:10-11:50 | Hans-Ruedi Künsch (Zürich): 2. Partially observed stochastic differential equations: the approach of van Eyink et al and its application to the particle filter. |

11:50-12:25 | Franz Konecny (Vienna): Optimal nonlinear and linear filtering of Poisson cluster processes |

12:25-13:00 | Silvia Centanni (Perugia): A simulation approach to filtering and estimation of doubly stocahstic Poisson processes with marks. |

13:00-14:00 | Lunch |

14:00-15:10 | Ole Barndorff-Nielsen (Aarhus): The mathematics of bipower variation. |

15:10-15:30 | Coffee |

15:30-16:05 | Peter Spreij (Amsterdam): Nonparametric volatility density estimation. |

16:05-16:40 | Bo Markussen (Copenhagen): Renormalization in Brownian calculus for the purpose of inference. |

Wednesday June 9 | |

09:30-10:40 | Tobias Rydén (Lund): Likelihood inference in state space models -- some theoretical and practical aspects. |

10:40-11:15 | Coffee |

11:15-11:50 | Dario Gasparra (Helsinki): Hidden Markov model for estimation of parental limkage phase and short map distances using pooled haploid tissues. |

11:50-12:25 | Martin Jacobsen (Copenhagen): It is not a perfect world: estimation from discrete observations of the CKLS diffusion model. |

The time table includes time for discussion: invited speakers 10 minutes except Könsch 1, 5 minutes, 2, 10 minutes. Contributed talks 5 minutes.