Stochastic differential equations with R school

Submitted by kbart on December 8, 2019 - 20:14

At the Division of Statistics and Machine Learning, Department of Computer and Information Science, Linköping University, 14th-19th May 2020 we will be hosting a school concerning stochastic differential equations and the YUIMA R package (Simulation and Inference for SDEs and Other Stochastic Processes, https://cran.r-project.org/web/packages/yuima/index.html). The lectures will be given by members of the YUIMA team ( https://yuimaproject.com/ ). The nearly final program of the school is :

Dates (fixed and final): May 14 (Thu), May 15 (Fri), May 18 (Mon), May 19 (Tue) in 2020
The 5th YUIMA Conference will be held in parallel.
Program
DAY 1
09:00-10:00 Introduction to R programming
10:15-11:00 Refresh on stochastic processes
11:30-12:30 Introduction to SDE I (Brownian motion and its properties)
14:30-15:30 Introduction to SDE II (stochastic integrals and Ito's formula with some applications)
16:00-17:00 Introduction to SDE III (SDE)
DAY 2
09:00-09:45 Time series import and Date/timestamps manipulation in R
10:00-11:00 Overview of Yuima and Yuima GUI
11:30-12:30 Simulation of diffusion processes I (theoretical background and introduction to YUIMA)
14:30-15:30 Simulation of diffusion processes II (simulation of notable models for illustrations)
16:00-17:00 Supplements
DAY 3
09:00-10:00 Inference for diffusion processes I (QMLE)
10:30-11:30 Inference for diffusion processes II (quasi Bayesian estimation)
13:30-14:30 Model selection (information criteria: CIC, BIC and QBIC)
15:00-16:00 Implementation via Yuima GUI
DAY 4 (this day is for gentle introductions of topics with a more software oriented approach)
09:00-10:00 Compound Poisson process (basics, simulation and estimation)
10:30-11:30 Introduction to Levy processes
13:30-14:30 Point processes
15:00-16:00 Sparse estimation (Lasso and other regularizations)

A similar event took place in summer 2019: https://yuimaproject.com/yss2019/

Please feel free to spread information about the school to anyone who could be interested. If there are any questions or somebody would like to attend, they should contact me directly.

Krzysztof Bartoszek
krzysztof_dot_bartoszek_at_liu_dot_se

Course Data
Type of schedule: 
Travel friendly schedule
University: 
Linköping
Level: 
Master
PhD
Credits (ECTS): 
0.00
Offered: 
2020:1