The Concentrated Advanced Course will be given at the Institute of Mathematical Sciences, University of Copenhagen, HC Ørsted Institute. See the Infomation below how to get to the Institute. There will be 4-5 hours of lectures per day.
Generous financial support for Gennady Samorodnitsky by the Villum Kann Rasmussen Foundation is greatfully acknowledged.
The course is jointly organized with the Graduate School of Mathematics and its Applications at the Institute of Mathematical Sciences.
The course is organized by Thomas Mikosch (University of Copenhagen)
Long range dependence, or long memory, is a feature of stationary stochastic models. It says, roughly, that the memory in the process is so long that the process ``behaves in a strange way''. This means that the usual statistical techniques break down, partial maxima and/or partial extrema of the process grow in an ``unusual'' way, large deviations occur differently than expected, etc. Long range dependence has found a very large number of applications; a very partial list includes finance, econometrics, internet modelling, hydrology, climate studies, lingustics and DNA sequencing. However, what exactly long range dependence is, has not been made very clear. A recent econometric survey Guegan (2005) mentions 11 different definitions.
One of the goals of the course is to make the picture clearer. We will discuss the various issues associated with long memory models, including connections with non-stationary processes, with ergodic theory, with self-similar processes and with fractionally differenced processes. We will consider stochastic models with heavy tails and light tails, those defined as stochastic integrals, single and multiple, and various limit theorems.
The course will be based on the recent book Long Range Dependence by Gennady Samorodnitsky. A photocopy will be provided as course material.
There will be a regular registration fee of 500 DKK (for Danes) or 70 Euros (for non-Danes) for all participants of the Course. The fee covers lunches from Monday to Thursday, and coffee during the breaks. For methods of payment, see the registration form.
PhD students of the Institutes of Mathematics in Copenhagen and Aarhus may apply for financial support by the Graduate School of Applied Mathematics via the registration form. All other participants are expected to have their expenses covered by their home institutions or from other sources.
Please register via the registration form at your earliest convenience but before October 15, 2008.
The programme of the Course will be on the web after October 15, 2008.
The course will start on Monday, 10:15, and stop on Thursday, 16:00.
See here
We have a
page with information
on how to get to the HC Ørsted Institute, where the Course
will be given. Here is a
map
with the HC Ørsted Institute.
Do not hesitate to contact
the local organizer (mikosch@math.ku.dk)
for more information.
