Statistical Modeling of Complex Systems and Processes

2nd Heidelberg-Mannheim Stochastics Colloquium

Speakers and Titles

  • Jean Jacod (Paris): Estimation of volatility in presence of high activity jumps, noise and irregular sampling
  • Olga Klopp (Paris): Network models and sparse graphon estimation
  • Mark Podolskij (Aarhus): Limit theorems for stationary increments L evy driven moving averages
  • Markus Reiß (Berlin): Volatility estimation under one-sided errors with applications to limit order books
  • Matthieu Rosenbaum (Paris): Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach
  • Piotr Zwiernik (Genoa): Totally positive exponential families and graphical models

Postersession

  • Anna Kozhina (Heidelberg): Stability of Densities for Perturbed Diffusions and Markov Chains
  • Stefan Richter (Heidelberg): Nonparametric inference for locally stationary processes
  • Roman Schefzik (HIT-S): Physically coherent probabilistic weather forecasts via discrete copula based ensemble postprocessing methods
  • Nopporn Thamrongrat (Heidelberg): Inference from high frequency data: A subsampling approach
  • Martin Kroll (Mannheim): Nonparametric intensity function estimation from indirect point process observations
  • Irina Voloshchenko(Mannheim): Model free portfolio theory and partwise no arbitrage in a class of Delta hedging strategies
  • Martin Dirrler & Olga Moreva (Mannheim): Conditionally Max stable Random Fields
  • Alexander Jordan (HIT-S): Test for equal predictive accuracy proper scoring rules

Program

09.30-10.00 welcome coffee
10.00-10.10 Enno Mammen
10.15-11.05 Markus Reiß
11.10-12.00 Olga Klopp
12.05-13.25 lunch
13.30- 14.20 Piotr Zwiernik
14.25-15.15 Mark Podolskij
15.20-16.10 coffee break & poster session
16.15-17.05 Mathieu Rosenbaum
15.10-18.00 Jean Jacod

Practical Information

Date: November 26th, 2015

Venue: Internationales Wissenschaftsforum Heidelberg (IWH)

Organizers

RTG 1953 in cooperation with the MAThematics Center Heidelberg (MATCH)