WORKSHOP ON STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES:

THEORETICAL AND COMPUTATIONAL ASPECTS

Organized by Martin Jacobsen and Michael Sørensen with financial support from

Centre for Mathematical Physics and Stochastics

MaPhySto, which is funded by a grant from The Danish National Research Foundation,

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The Department of Theoretical Statistics
University of Copenhagen

Centre for Analytical Finance

and by the NorFA (Nordic Academy of Advanced Study) network Stochastic Analysis with Applications.

The purpose of the workshop is to bring together leading senior researchers and promising young researchers in the field of statistical inference for stochastic processes to discuss current problems and identify future developments. The main theme will be continuous time models, with particular emphasis on models defined by their dynamics, i.e. stochastic differential equations in a broad sense. It is intended that computational aspects shall be given considerable attention at the workshop.

The workshop will take place in the period

AUGUST 25-29, 1998

at the Department of Theoretical Statistics, University of Copenhagen. We expect the participants to leave on August 30, which is a Sunday, in order to obtain cheap air-fares.

List of participants with title of talks:

Yacine Ait-Sahalia (Chicago): Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approach.

Mikkel Baadsgaard (Copenhagen): Estimation of Continuous Time Models of the Term Structure of Interest Rates Using Second Order Filtering.

Ole Barndorff-Nielsen (Aarhus)

Bo Martin Bibby (Copenhagen): Simplified Estimating Functions for Diffusion Models with a High-Dimensional Parameter.

Laird Breyer (Cambridge): Coupling of Random Fields with Application to Perfect Simulation.

Ola Elerian (Oxford): Likelihood Inference for Discretely Observed Non-linear Diffusions.

Bjørn Eraker (Bergen): Bayesian Analysis for Discretely Observed Diffusions with Unobserved State Variables.

Alexander Gushchin (Moscow): On Convergence to Exponential-Type Statistical Models.

Ernst Hansen (Copenhagen): Pulse Dimension.

Peter Honoré (Aarhus): Panel-Data Estimation of Non-Linear Term-Structure Models.

Reinhard Höpfner (Paderborn): Nonparametric Estimation in Birth and Death on a Flow.

Valerie Isham (London): Inference for Spatio-Temporal Processes: A Hydrological Case-Study.

Martin Jacobsen (Copenhagen): Discretely Observed Diffusions: Criteria for Choosing Good Estimating Functions.

Mathieu Kessler (Murcia): Simulations Based Estimating Functions for a Discretely Observed Diffusion.

David Lando (Copenhagen)

Henrik Madsen (Copenhagen) : Methods for Estimating Embedded Parameters in Linear and Non-linear SDEs Using State Filtering Techniques.

Jan Nygaard Nielsen (Copenhagen): Estimation in Continuous-time Stochastic Volatility Models Using Nonlinear Filters.

Søren Feodor Nielsen (Copenhagen): On Simulated EM Algorithms.

Jan Pedersen (Aarhus): Weak Convergence of Generating Strategies.

Ulrike Putschke (Berlin): Properties of the ML-Estimator for Homogeneous Gaussian Diffusions.

Anders Rahbek (Copenhagen): Unit-root Inference in Autoregressive (AR)\ Models with Autoregressive Conditional Heteroscedastic Innovations (ARCH).

Tina Rydberg (Oxford): A Modelling Framework for the Prices and Times of Trades Made on the NYSE.

Tobias Rydén (Lund): Bayesian Inference in Hidden Markov Models through Reversible Jump Markov Chain Monte Carlo.

Albert Shiryaev (Moscow): To be announced.

Michael Sørensen (Copenhagen): Estimating Functions for Stochastic Volatility Models.

Vladimir Spokoiny (Berlin): Adaptive Estimation for Non-stationary Stochastic Systems.

Anders Stockmarr (Copenhagen): Asymptotic Behavior of the MLE's in Models for Multivariate Time-homogeneous Gaussian Diffusions.

Helgi Tomasson (Reykjavik): Estimation of Market Value When Trading is Infrequent.

Esko Valkeila (Helsinki): Stock Prices Driven by Fractional Brownian Motion.

Pablo E. Verde (Düsseldorf)

Jeanette Wörner (Freiburg): Optimal Estimation for Discretely Observed Diffusion Processes.

ABSTRACTS.

PRELIMINARY PROGRAMME:

ps-file pdf-file

The lectures will take place in Lecture Room 8 (Auditorium 8).

The workshop dinner will take place Thursday Evening.

SOME USEFUL MAPS:

Map 1: The area around the Central Railway Station (Hovedbanegården)

Map 2: Dragør

Map 3: The area around the H.C. Ørsted Institute

HOW TO FIND YOUR HOTEL.

Hotel Excelsior and Hotel du Nord:
Both of these hotels are situated in Colbjørnsensgade (number 6-8 and 14, respectively), which is very close to the Central Railway Station (in Danish Hovedbanegården). You will easily find Colbjørnsensgade on map 1 (South-West of the Central Railway Station). If you come by plane, you can simply take the airport bus to the Central Raiway Station. The airport bus ends at the Tivoli side of the railway station, so you must walk through the railway station to find Colbjørnsensgade.

Dragør Kro Hotel:
This is more tricky, but as it is not very far from the airport, you should simply take a taxi to the hotel. Map 2 shows the area around the hotel.

HOW TO GET TO THE H.C. ØRSTED INSTITUTE FROM YOUR HOTEL AND BACK.

From Hotel Excelsior and Hotel du Nord:
This is easy. You can take bus number 150S, which starts from Bernstorffsgade (at the Tivoli side of the Central Railway Station; see map 1) and goes directly past the H.C. Ørsted Institute. Tell the driver that you want to get off at the institute. If you bring a copy of map 3, you will have no problems finding the H.C. Ørsted Institute. Otherwise ask somebody. You can actually see the institute from the bus stop, which is at the corner of Universitetsparken and Nørre Alle. Statistics and Mathematics are in Building E (see map 3). To get back to your hotel, simply take bus no. 150S from the bus stop in Nørre Alle just outside the H.C. Ørsted Institute. There are a number of other possibilities, so you might like to ask the locals about these once you are here.

From Dragør Kro Hotel:
This is a long way. First take bus number 350S (in the direction Ballerup) from the bus stop in Vestgrønningen (see map 2). Tell the driver that you want to get off at Nørreport Station (and remember to get off there; it is a long ride, so you might fall asleep). From the same bus stop take bus number 42 or 43 (whichever comes first). Tell the driver that you want to get off at the H.C. Ørsted Institute. If you bring a copy of map 3, you will have no problems finding the H.C. Ørsted Institute. Otherwise ask somebody. You can actually see the institute from the bus stop, which is in Universitetsparken just after the bus has turned left from Nørre Alle. Statistics and Mathematics are in Building E (see map 3).To get back to your hotel, take bus number 42 or 43 from the bus stop in Nørre Alle just outside the H.C. Ørsted Institute. Get off at Nørreport Station and change there (same bus stop) to bus number 350S (in the direction Dragør Færgehavn). Tell the driver that you want to get off at Dragør Skole; see map 2.

Questions about practical matters should be sent to Vivi Arp, while questions about the scientific programme should be sent to Martin Jacobsen or Michael Sørensen.

To Michael Sørensen's home page.

This page was last updated on August 24, 1998.