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5 October 2008

Stefano Iacus on "Stochastic Differential Equations and Applied Statistics"

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

De Gregorio, A., Iacus, S.M. (2008) Divergences Test Statistics for Discretely Observed Diffusion Processes

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!

Posted by Justin Grimmer at 3:36 PM