[gov3009-l] Stefano Iacus on "Stochastic Differential Equations and Applied Statistics"

Justin Grimmer jgrimmer at fas.harvard.edu
Sun Oct 5 15:35:10 EDT 2008


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
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