<div dir="ltr"><p class="MsoNormal">Dear Applied Statistics Community,</p><p class="MsoNormal"></p>

<p class="MsoNormal" style="mso-layout-grid-align:none;text-autospace:none">Please
join us this Wednesday, October 8<sup>th</sup> when<span style="mso-spacerun:
yes">&nbsp; </span>Stefano Iacus, Department of Economics, Business and Statistics,
University of Milan (yes, in Italy) will be presenting his work on <span class="apple-style-span"><span style="font-size:10.0pt;font-family:Arial;
color:black">Stochastic differential equations and applied statistics.<span style="mso-spacerun: yes">&nbsp; </span>Stefano provided the following abstract:</span></span></p>

<p class="MsoNormal" style="mso-layout-grid-align:none;text-autospace:none"><span class="apple-style-span"><span style="font-size:10.0pt;font-family:Arial;
color:black">Stochastic differential equations (SDEs) arise naturally in many
fields of science. &nbsp;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).</span></span><span style="font-size:10.0pt;
font-family:Arial;color:black"><br>
<br>
<span class="apple-style-span">In the first part of the talk, we present few
examples (from biostatistics, econometrics, political analysis, etc.) &nbsp;in
which SDEs naturally emerge. &nbsp;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.</span></span></p>

<p class="MsoNormal" style="mso-layout-grid-align:none;text-autospace:none"><span class="apple-style-span"><span style="font-size:10.0pt;font-family:Arial;
color:black">Stefano suggested that the following papers might offer helpful
background information for his presentation.<span style="mso-spacerun: yes">&nbsp;</span></span></span></p>

<p class="MsoNormal" style="mso-layout-grid-align:none;text-autospace:none"><span class="apple-style-span"><span style="font-size:10.0pt;font-family:Arial;
color:black">De Gregorio, A., Iacus, S.M. (2008) Clustering of discretely
observed diffusion processes</span></span><span style="mso-spacerun: yes">&nbsp;
</span><span class="apple-style-span"><span style="font-size:10.0pt;font-family:
Arial;color:black"><a href="http://arxiv.org/abs/0809.3902" target="_blank"><span style="color:#0000CC">http://arxiv.org/abs/0809.3902</span></a></span></span><span style="font-size:10.0pt;font-family:Arial;color:black"><br style="mso-special-character:
line-break">
<br style="mso-special-character:line-break">
</span></p>

<p class="MsoNormal" style="mso-layout-grid-align:none;text-autospace:none"><span class="apple-style-span"><span style="font-size:10.0pt;font-family:Arial;
color:black">De Gregorio, A., Iacus, S.M. (2008) Divergences Test Statistics
for Discretely Observed Diffusion Processes</span></span> <span class="apple-style-span"><span style="font-size:10.0pt;font-family:Arial;
color:black"><span style="color:#0000CC"><a href="http://arxiv.org/abs/0808.0853" target="_blank">http://arxiv.org/abs/0808.0853</a></span></span></span></p>

<p class="MsoNormal" style="mso-layout-grid-align:none;text-autospace:none"><span style="mso-bidi-font-size:10.0pt">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.<span style="mso-spacerun: yes">&nbsp; </span>The workshop
usually adjourns around 130 pm.<span style="mso-spacerun: yes">&nbsp; </span>All are
welcome!</span></p>

<p class="MsoNormal" style="mso-layout-grid-align:none;text-autospace:none"><span style="mso-bidi-font-size:10.0pt">&nbsp;</span></p>

<p class="MsoNormal" style="mso-layout-grid-align:none;text-autospace:none"><span style="mso-bidi-font-size:10.0pt">Please contact me with any questions</span></p>

<p class="MsoNormal" style="mso-layout-grid-align:none;text-autospace:none"><span style="mso-bidi-font-size:10.0pt">Justin Grimmer</span></p>

<p class="MsoNormal">&nbsp;</p></div>