Random February 2014

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de Finetti Risk Seminar - febbraio 2014
by Emanuela Rosazza Gianin 20 Feb '14

20 Feb '14

On behalf of the Scientific Committee of The de Finetti Risk Seminars - on the Mathematical Theory of Economics and Finance in Milano, we are glad to invite you to participate at the "de Finetti Risk Seminar" on February 26, 2014 at 18.00 with the Lecture Evaluation of long-dated investments under uncertain growth trend, volatility, and catastrophes CHRISTIAN GOLLIER Toulouse School of Economics LOCATION: The seminar will be held on Wedsnesday, February 26, at 18.00 at room 3-E4-SR03, Bocconi University, Via Roentgen 1, Milano. A refreshment will be offered at 17.30. Scientific Committee: Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Simone Cerreia-Voglio (Univ. Bocconi) Dott. Marco Maggis (Univ. degli Studi di Milano) ******************************************************************************************* Emanuela Rosazza Gianin Dipartimento di Metodi Quantitativi per le Scienze Economiche ed Aziendali Università di Milano Bicocca Edificio U7 - 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *******************************************************************************************

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Avviso di seminario :: Mortera@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 17 Feb '14

17 Feb '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Venerdì 21 Febbraio, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma JULIA MORTERA (Fac. di Economia, Università degli Studi di Roma3) terrà un seminario dal titolo ANALYSIS OF FORENSIC DNA MIXTURES tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti - Fulvio De Santis --- Summary DNA is now routinely used in criminal investigations and court cases, although DNA samples taken at crime scenes are of varying quality and therefore present challenging problems for their interpretation. We present a statistical model for the quantitative peak information obtained from an electropherogram (EPG) of a forensic DNA sample and illustrate its potential use for the analysis of criminal cases. In contrast to most previously used methods, we directly model the peak height information and incorporates important artefacts associated with the production of the EPG. Our model has a number of unknown parameters, and we show that these can be estimated by the method of maximum likelihood in the presence of multiple unknown contributors, and their approximate standard errors calculated; the computations exploit a Bayesian network representation of the model. A case example from a UK trial, as reported in the literature, is used to illustrate the efficacy and use of the model, both in finding likelihood ratios to quantify the strength of evidence, and in the deconvolution of mixtures for the purpose of finding likely profiles of one or more unknown contributors to a DNA sample. Our model is readily extended to simultaneous analysis of more than one mixture as illustrated in a case example. We show that combination of evidence from several samples may give an evidential strength close to that of a single source trace and thus modelling of peak height information provides for a potentially very efficient mixture analysis. Joint work with Robert Cowell, Therese Graversen and Steffen Lauritzen

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Research fellowship at the Insitute of Economics, Scuola Sant'Anna Pisa
by Enrico Scalas 17 Feb '14

17 Feb '14

Car* collegh*, mi hanno segnalato questa posizione post-dottorale presso Economia al Sant'Anna: http://www.sssup.it/context_elenco.jsp?ID_LINK=12550&area=6&id_context=44264 Cercano una persona che ben conosca probabilita' e teoria dei processi stocastici e, eventualmente, e' gradita una formazione in finanza. Per ulteriori infomazioni si puo' scrivere al Prof. Giulio Bottazzi: g.bottazzi(a)sssup.it Per favore, fate circolare il link alle persone interessate che conoscete. Cordiali saluti, Enrico Scalas Professor of Statistics and Probability University of Sussex http://www.sussex.ac.uk/maths/people/peoplelists/person/330303

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1 posto di Maitre de Conferences e 1 di Professore in Probabilita' all'Universite' Lyon 1
by Fabio Toninelli 17 Feb '14

17 Feb '14

Gentili colleghi all'Universita' Lyon 1 e' aperto un concorso per un posto di Maitre de Conferences in probabilità e per un posto di Professore in Probabilita' (inizio: 1 settembre 2014). Entrambe le posizioni sono permanenti. Il profilo scientifico e' largo, http://math.univ-lyon1.fr/recrutements/profils_14/MCF_P_en.pdf e http://math.univ-lyon1.fr/recrutements/profils_14/PR_en.pdf. I temi di ricerca del gruppo di probabilità' di Lyon 1 sono descritti qui: http://math.univ-lyon1.fr/icj/?option=theme&th=5 I candidati interessati devono spedire elettronicamente il loro dossier ENTRO IL 12 MARZO 2014, tramite il sito https://galaxie.enseignementsup-recherche.gouv.fr/antares/can/index.jsp Qualche consiglio su come comporre il dossier di candidatura si trova qui: http://postes.smai.emath.fr/2014/OUTILS/conseils/index.php#it2 Attenzione: Il concorso e' aperto ai i candidati che hanno gia' passato la procedura di "Qualification" nazionale francese, oppure che hanno attualmente all'estero una posizione di livello equivalente a quelle di Maitre de Conferences o di Professore. Per ulteriori informazioni sullo svolgimento del concorso, i candidati interessati possono contattare o me (toninelli(a)math.univ-lyon1.fr) o Christophe Sabot (sabot(a)math.univ-lyon1.fr). Cordiali saluti Fabio Toninelli Institut Camille Jordan, Universite' Lyon 1 43 bd du 11 novembre 1918 69622 Villeurbanne Cedex, France Office 105, tel: +33 (0) 4 26 23 44 41

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Fwd: Saint-Flour 2014
by Marco Romito 16 Feb '14

16 Feb '14

SAINT-FLOUR 2014 - SECOND ANNOUNCEMENT Dear colleagues, Online registration is now open for the 44th Saint-Flour Probability summer school, which will be held on July 15-25. Please note the DEADLINE FOR REGISTRATION: APRIL 18 This year, the courses are: Martin HAIRER : Regularity structures Gregory MIERMONT : Aspects of random maps SPECIAL NOTICE The previously announced lecture by Sourav Chatterjee is postponed to 2015. Consequently, this year's school will feature only two courses, and its length is slightly reduced. The registration form as well as some useful information about the school can be found on the web pages: http://math.univ-bpclermont.fr/stflour/index.php (in French) http://math.univ-bpclermont.fr/stflour/stflour-en.php (in English) For registration, you will have to accept the security certificate in your browser. These pages also contain the advertisement poster of the school (in French or in English). It would be helpful for us if you could print it and post it in your department. Thank you. Please forward the above information to anyone who might be interested. Best regards, The organizing committee Christophe Bahadoran, Arnaud Guillin, Laurent Serlet stflour(a)math.univ-bpclermont.fr Laboratoire de Mathématiques CNRS UMR 6620 Université Blaise Pascal (Clermont-Ferrand 2) Complexe Universitaire des Cézeaux BP80026 F-63177 Aubière tel (+33) 4 73 40 70 50 fax (+33)4 73 40 54 50

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Seminario CHOPIN
by Matteo Ruggiero 14 Feb '14

14 Feb '14

**************************************************************** STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO **************************************************************** Venerdi' 21 Febbraio 2014 alle ore 12:00, presso la sala rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Nicolas CHOPIN (ENSAE, France) SEQUENTIAL QUASI MONTE CARLO Abstract: We develop a new class of algorithms, SQMC (Sequential Quasi Monte Carlo), as a variant of SMC (Sequential Monte Carlo) based on low-discrepancy points. The complexity of SQMC is O(N log N) where N is the number of simulations at each iteration, and its error rate is smaller than the Monte Carlo rate O(N^{-1/2}). The only requirement to implement SQMC is the ability to write the simulation of particle x_t^n given x_{t-1}^n as a deterministic function of x_{t-1}^n and uniform variates. We show that SQMC is amenable to the same extensions as standard SMC, such as forward smoothing, backward smoothing, unbiased likelihood evaluation, and so on. In particular, SQMC may replace SMC within a PMCMC (particle Markov chain Monte Carlo) algorithm. We establish several convergence results. We provide numerical evidence in several difficult scenarios than SQMC significantly outperforms SMC in terms of approximation error. Joint work with Mathieu Gerber. Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --------- Matteo Ruggiero University of Torino & Collegio Carlo Alberto http://web.econ.unito.it/ruggiero

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[Announce] "Unlocking the value of big data", Special Issue on EJASA-DSS
by stefano iacus 13 Feb '14

13 Feb '14

Call for papers for the Special Issue on "Increasing Innovation Opportunities by Unlocking the Value of Big Data" to be published on the "Electronic Journal of Applied Statistical Analysis: Decisione Support Systems and Services Evalutation" ### Guest Editors: Valentina Ndou,Faculty of Innovation for Engineering, University of Salento (ITA) Mirjeta Beqiri, Gonzaga University, Spokane, WA, (USA) Stefano M. Iacus, Department of Economics, Management and Quantitative Methods, University of Milan (ITA) ### Overview: The advent of new communication technologies and especially the exponential growth of social media web 2.0, from blogs, Facebook and Twitter to LinkedIn and YouTube, has created vast opportunities for firms and managers to get closer to customers, to gain a wealth of information about their behaviors and preferences, as well as to identify new market trends and new opportunities to remain competitive. It is known that firms today operate in the era of Big Data Revolution, overwhelmed with data that are available via web to almost everyone. The content and information that customers create in web 2.0 platforms constitute a valuable asset for firms to directly tap into the customer’s preferences and needs, as the most valuable source for attaining direct and reliable market information. ### Aim: Based on these recent trends, this special issue invites research articles and papers that put forth different approaches, statistical models, and decision making systems able to analyze the available data for gaining insights and creating new knowledge that leads to innovation and creativity. ### Topics: This special issue seeks original contribution on the following topics: 1. Techniques, tools, approaches, and methodologies used for analyzing data and information 2. Statistical Analysis for big data 3. Data and knowledge modelling techniques 4. Stimulating innovation and improving performance through statistical data analysis 5. Value of data for new business models, products, and services 6. Data management as a driver of performance and competitiveness 7. Value co-creation through data and information exchange 8. Transforming the value of data using real time analytics 9. Business optimization techniques through data analysis 10. Decision making process in the big data era 11. Role of statistical models in unlocking the value of web data 12. Real time analytics 13. Privacy, security, and intellectual property issues in the era of big data. ### Submission guidelines: Original research papers will be considered. ### Important Dates: Abstract submission: 20th March, 2014 Review decisions sent to authors: 20th April 2014 Full paper submission: 30th July, 2014 ### Further Information: For further information, please contact: ejasa(a)unisalento.it or visit http://siba-ese.unisalento.it/index.php/ejasa_dss/announcement/view/21

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Young Researchers Meeting on BSDEs, Numerics and Finance
by Marco Fuhrman 13 Feb '14

13 Feb '14

Trasmetto a tutti gli interessati le informazioni rilevanti e il link internet di una conferenza sulle BSDEs (Backward Stochastic Differential Equations) destinata a giovani ricercatori, che si terra' a Bordeaux, 7-9 luglio 2014. Cordialmente, Marco Fuhrman https://indico.math.cnrs.fr/conferenceDisplay.py?confId=199 This international conference is a friendly meeting of young researchers working on: Backward Stochastic Differential Equations, and the related FBSDE, Reflected BSDE, etc... Efficient numerical computation in finance and insurance Robust control, risk management and portfolio optimisation in finance and insurance Nonlinear and Imprecise Probability Location: IMB, Université de Bordeaux, France. Dates and times: Monday 7th July 2014 (14:00) - Wednesday 9th July 2012. Who: Young researchers - broadly students and researchers within 10 years of PhD. Costs: There is no registration fees. For speakers: lunches, refreshments, accommodation at the university residence (7th, 8th, 9th July 2014) and the conference dinner are included. A part of travel costs would be also reimbursed, up to an amount that will be defined after. Non-speaker participants are welcome to apply but we may not be able to guarantee the full accommodation subsidy. Registration: directly on the website by 20 April 2014. Confirmation will be sent to all qualifying participants by the beginning of May. Format: 1/2 hour talks and informal conversations, with an explicitly accessible focus. Remark: If some parts of the website are written in french, you can choose the english version on the top-right corner of the website.

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Avviso di seminario :: Aryasova@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 12 Feb '14

12 Feb '14

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Avviso di seminario :: Porcu@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 10 Feb '14

10 Feb '14

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Giovedì 13 Febbraio, ore 15am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma EMILIO PORCU (Dep. de Estadística, Universidad de Valparaíso, Chile) terrà un seminario dal titolo ADAPTIVE TAPERS FOR SPACE-TIME GEOSTATISTICS tutti gli interessati sono invitati a partecipare dando magari prima un'occhiata a... http://seismomathics.wordpress.com ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Giovanna Jona Lasinio - Pierpaolo Brutti - Fulvio De Santis --- Summary We propose a class of nonseparable space-time compactly supported correlation functions, termed here quasi-tapers, to mean that such correlations can be dynamically compactly supported over space or time. An important feature of the quasi-taper is given by a spatial (temporal) compact support being a decreasing function of the temporal lag (spatial distance), so that the spatial (temporal) compact support becomes smaller when the temporal (spatial) dependence becomes weaker. We propose general classes as well as some examples that generalize the Wendland tapers to the space-time setting. Then a non separable space-time taper with spatial and temporal compact support is obtained as tensor product of quasi-tapers. Our space-time taper includes all the known constructions as special cases and will be shown to have great exibility. Covariance tapering is then explored as an alternative to maximum likelihood when estimating the covariance model of a space-time Gaussian random field in the case of large datasets. The proposed quasi and space-time tapers allows to perform covariance tapering when dealing with data that are densely observed in time (space) but sparse in space (time) or densely observed both in time and space. The statistical and computational properties of the space-time covariance tapering is addressed under increasing domain asymptotics. A simulation study and two real data examples illustrate the statistical and computational performances of the covariance tapering with respect to the maximum likelihood method using the space-time tapers proposed.

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Random February 2014