Research Group "Stochastic Algorithms and Nonparametric Statistics"
Seminar "Modern Methods in Applied Stochastics and Nonparametric
Statistics" Summer Semester 2013
| Place: |
Weierstrass-Institute for Applied Analysis and Stochastics
|
|
Room 406 (4th floor), Mohrenstraße 39, 10117 Berlin |
| Time: |
Tuesdays, 3.00 p.m. - 4.00 p.m. |
| Wednesday, 03.04.13 |
First Talk: Mirjam Blum (Universität Siegen) |
| 13:30 - 14:30 im ESH: |
A short introduction into a few aspects of environmental physics and geomathematics |
|
Second Talk: Dr. Roland Hildebrand (Université Joseph Fourier, Grenoble) |
| 15:30 - 16:30 im ESH: |
Konvexe Optimierung und semi-definite Relaxierungen |
| 09.04.13 |
No seminar! |
|
|
| Monday, 15.04.13 |
Dr. Andrea Fuster (TU Eindhoven) |
| 11:00 - 12:00 im ESH: |
Riemannian framework for brain diffusion MRI |
| 23.04.13 |
No seminar! |
|
|
| 30.04.13 |
Dr. Alexander Goldenshluger |
|
A unified framework for change point detection and other related problems
|
| 07.05.13 |
Marcel Ladkau (WIAS Berlin) |
|
A new multi-factor stochastic volatility model with displacement |
| 14.05.13 |
Mathias Trabs (HU Berlin) |
|
Semiparametric efficiency for inverse problems with applications to deconvolution and Lévy models |
| 21.05.13 |
Alexander Gasnikov (MIPT, Moscow, Russia) |
|
Sparsity page rank |
| 28.05.13 |
cancelled |
|
|
| 04.06.13 |
Niklas Willrich (WIAS Berlin) |
|
An extension of finite sample theory for infinite dimensional parameters |
| 11.06.13 |
Ekatherina Bezgina (Universität Magdeburg) |
|
Dependence properties of sequential order statistics |
| 18.06.13 |
Elmar Diederichs (MIPT, Moscow, Russia) |
|
Identifying enterotypes by high dimensional clustering |
| 25.06.13 |
Hanna Griepentrog (Humboldt-Universität zu Berlin) |
|
Non-commutative Bernstein inequality and its applications to random design
|
| 02.07.13 the room changes! |
Jim Gatheral (Baruch College, New York) |
| Erhardt-Schmidt-Hörsaal, ground floor |
Market impact with autocorrelated order flow under perfect competition: The Donier model |
| 09.07.13 |
Prof. Peter Friz (WIAS/TU Berlin) |
| |
On the pathwise solution of fully non-linear stochastic partial differential equations
|
| 16.07.13 |
Eric Luçon (TU Berlin) |
|
Disordered models of mean-field interacting neurons |
| 23.07.13 |
Joscha Diehl (TU Berlin) |
|
Rotation invariants of 2D curves and applications to
character recognition |
| 30.07.13 |
No seminar! |
|
|
| 20.08.13 |
Nikolay Baldin (HU Berlin) |
|
Empirical Bayes and hierarchical Bayes: do they merge? |
| 27.08.13 |
Reinhard Ellwanger (European University Institute, Florence, Italy) |
|
The term structure of volatility in commodity futures markets |
| 03.09.13 |
No seminar! |
|
|
| 10.09.13, 10:00 AM |
Hilmar Mai (WIAS Berlin) |
| Erhardt-Schmidt-Hörsaal, ground floor |
Rough path analysis of likelihood estimators for multivariate diffusions |
| 10.09.13, 15:00 PM |
Maxim Panov (MIPT, Moscow) |
|
The (non-)asymptotic posterior properties of hidden Markov models and Bernstein-von Mises theorem |
| 17.09.13 |
No seminar! |
|
|
| 24.09.13 |
Dr. Romain Allez (WIAS Berlin) |
|
Short introduction to random matrix theory and its applications |
last reviewed:September 9, 2013, Christine Schneider
15.04.13 (Monday!)
Name: Dr. Andrea Fuster
Titel: Riemannian framework for brain diffusion MRI
Abstract: One of the approaches in the analysis of brain diffusion
MRI data is to consider white matter as a Riemannian manifold, with a metric related to the diffusion tensor.
In this framework geodesic tractography can be performed to infer the architecture of white matter pathways in the brain.
We propose a novel Riemannian metric and present promising tractography results.
30.04.2013
Dr. Alexander Goldenshluger
A unified framework for change point detection and other related problems
Abstract: We propose a unified convex-optimization-based framework for problems of detecting a
signal of a given shape in Gaussian noise. The framework covers various detection settings
including: detection of jumps in curves and their derivatives; detection of a periodic component
in Gaussian time series; and signal detection from indirect observations. We present a general
detection procedure, analyze its properties and show that it cannot be improved in some specific
settings.
07.05.2013
Marcel Ladkau (WIAS Berlin)
A new multi-factor stochastic volatility model with displacement
Abstract:
tba
14.05.2013
Mathias Trabs (HU Berlin)
Semiparametric efficiency for inverse problems with applications to deconvolution and Lévy models
Abstract: Starting with a linear inverse problem in an abstract white noise model,
we study semiparametric efficiency in the sense of Hájek-Le Cam. The
inverse problem embeds into a general setup where a convolution theorem is
obtained. The local behavior of the model is described by the score
operator. The results are then applied to a deconvolution setting and to
the nonlinear inverse problem in a Lévy model. In the latter we observe
a Lévy process at low frequency and we determine the information bound
for linear functionals of the jump density. Of particular interest is the
estimation of the distribution function in both settings. Locally the
deconvolution model and the Lévy model converge to limit experiments
which are given by a white noise inverse problem with an appropriate
linear operator. The lower bounds coincide with recent results on the
asymptotic variance of estimators in both models.
21.05.2013
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04.06.2013
Niklas Willrich (WIAS Berlin)
An extension of finite sample theory for infinite dimensional parameters
Abstract:
11.06.2013
Ekatherina Bezgina (Universität Magdeburg)
Dependence properties of sequential order statistics
Abstract:
18.06.2013
Elmar Diederichs (MIPT Moscow)
Identifying enterotypes by high dimensional clustering
Abstract:
25.06.2013
Hanna Griepentrog (Humboldt-Universität zu Berlin)
Non-commutative Bernstein inequality and its applications to random design regression
Abstract:
02.07.2013
Jim Gatheral (Baruch College, New York)
Market impact with autocorrelated order flow under perfect competition: The Donier model
Abstract:
09.07.13
Prof. Peter Friz (WIAS/TU Berlin)
On the pathwise solution of fully non-linear stochastic partial differential equations.
Abstract:
We discuss fully non-linear evolution equations of the type, $du = F(t,x,u,Du,D^u)dt + H(x,Du) \circ dW$
where $W$ is a Brownian sample path (or in fact any continuous path). The geometry associated to the
Hamiltonian is seen to play an important role.. Joint work with P. Gassiat (TUB) and T. Souganidis (Chicago).
Datum
Eric Luçon (TU Berlin)
Disordered models of mean-field interacting neurons
Abstract:
The dynamics of populations of interacting neurons is often described through models of mean-field interacting diffusions. The diversity of behaviors of such neurons (e.g. inhibitory or excitatory) requires to incorporate in those models a random environment, modeling the heterogeneity of each neuron. The question is then to understand the (quenched or annealed) influence of this random environment on the system in large population (law of large numbers, fluctuations, large deviations), which appears to be nontrivial, even for simple models (Kuramoto model).
If time allows, I will also talk about some recent works with W. Stannat on spatially extended versions of these models, which are closer to the modeling of real-world networks of neurons.
23.07.13
Joscha Diehl (TU Diehl)
Rotation invariants of 2D curves and applications to
character recognition
Abstract:
I introduce a new class of rotation invariants of curves in two
dimensional space. These invariants are based on its iterated
integrals. The invariants I present are complete in a sense and I
describe an algorithm to calculate them.
An application to online (stroke-trajectory based)
character recognition is given. This seems to be the first time in the
literature that the use of the iterated integrals of a curve is
proposed for machine learning applications.
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