Dear Applied Statistics Community,
Please join us this Wednesday, October 8th when Stefano Iacus, Department of Economics, Business and Statistics, University of Milan (yes, in Italy) will be presenting his work on Stochastic differential equations and applied statistics. Stefano provided the following abstract:
Stochastic differential equations (SDEs) arise naturally in many
fields of science. Solutions of SDEs are continuous time processes and
are usually proposed as alternative models to standard time series. While
continuous time modeling seems better in describing the natural evolving nature
of the underlying data generating process, observations always come in discrete
form. This discrepancy raised new statistical challenges (e.g., the discrete time
likelihood is not always available).
In the first part of the talk, we present few
examples (from biostatistics, econometrics, political analysis, etc.) in
which SDEs naturally emerge. Then, we present the general statistical
issues peculiar to these models and finally we present some new applications
(with solutions) like change point analysis, hypotheses testing and cluster
analysis for discretely observed stochastic differential equations.
Stefano suggested that the following papers might offer helpful background information for his presentation.
De Gregorio, A., Iacus, S.M. (2008) Clustering of discretely
observed diffusion processes
http://arxiv.org/abs/0809.3902
De Gregorio, A., Iacus, S.M. (2008) Divergences Test Statistics for Discretely Observed Diffusion Processes http://arxiv.org/abs/0808.0853
The workshop will begin at 12 noon in room K-354 in 1737 Cambrdge St (CGIS-Knafel) with a light lunch and the presentation will commence around 1215. The workshop usually adjourns around 130 pm. All are welcome!
Please contact me with any questions
Justin Grimmer