Vorträge zum 30-jährigen Bestehen des FDM-Seminars
Friday, 3.11.17, 13:30-14:30, Raum 404, Eckerstraße 1, Freiburg i. Br.
Programm:\n\n13:30 Einführung mit Beiträgen von Rektor Prof. Dr. Hans-Jochen Schiewer und dem Mit-Gründer des FDM, Prof. Dr. Josef Honerkamp\n\n14:00 Prof. Dr. Leonhard Held (University of Zurich): Building a Statistical Model: The Endemic-Epidemic Modelling Framework\n\n15:00 Kaffee\n\n15:30 Prof. Dr. Rainer Dahlhaus (Heidelberg University): Cointegration and Phase Synchronization: Bridging Two Theories\n\n16:30 Prof. Dr. Josef Teichmann (ETH Zürich): Affine processes in mathematical Finance\n\n17:30 Schluss\n\n
On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process
Friday, 24.11.17, 12:00-13:00, Raum 404, Eckerstr. 1
An Ito semimartingale is a superposition of a roughly fluctuating Brownian part and a pure jump process. Therefore, it is a very challenging task to disentangle the small jumps of the process from increments of the continuous part. We solve this problem by deriving a statistical procedure for inference on the general jump behaviour of an Ito semimartingale. Finally, we apply this technique to detect abrupt and gradual changes in the jumps of the underlying process using bootstrap tests, where we also allow for local alternatives.
Detection and Estimation of Local Signals
Tuesday, 28.11.17, 12:00-13:00, Raum 404, Eckerstr. 1
I will discuss a general framework for detection of local signals, primarily defined\nby change-points, in sequences of data. Changes can occur continuously, e.g., a\nchange in the slope of a regression line, or discontinuously, e.g., a jump in the\nlevel of a process. I will focus on the problem of segmentation of independent\nnormal observations according to changes in the mean. Results will be illustrated\nby simulations and applications to copy number changes and to historical weather\npatterns. Confidence regions for the change- points and some difficulties associated\nwith dependent observations will also be discussed. Aspects of this research involve\ncollaboration with Fang Xiao, Li Jian, Liu Yi, Nancy Zhang, Benjamin Yakir and\nLi (Charlie) Xia.