Random

random@lists.dm.unipi.it

5 participants
5327 discussions

Seminari SOYER e POLSON al CNR IMATI - Milano - 3 Maggio
by fabrizio＠mi.imati.cnr.it 20 Apr '18

20 Apr '18

Segnalo i seguenti seminari che si svolgeranno presso CNR IMATI, via Alfonso Corti 12, Milano, Aula Expo Giovedì 3 maggio 2018, ore 15:00 - 16:30 1) Refik Soyer, School of Business, George Washington University ore 15:00-15:45 BAYESIAN MODELING OF NON GAUSSIAN MULTIVARIATE TIME SERIES Abstract: Modeling of multivariate non Gaussian time series of correlated observations is considered. In so doing, we focus on time series from multivariate counts and durations. Dependence among series arises as a result of sharing a common dynamic environment. We discuss characteristics of the resulting multivariate time series models and develop Bayesian inference for them using particle filtering and Markov chain Monte Carlo methods. We illustrate application of the proposed approach using conditionally multivariate Poisson and gamma time series. Joint work with Tevfik Aktekin, University of New Hampshire and Nicholas Polson, University of Chicago 2) Nicholas Polson, Booth School of Business, University of Chicago ore 15:45-16:30 DEEP LEARNING: A BAYESIAN PERSPECTIVE Deep learning is a form of machine learning for nonlinear high dimensional pattern matching and prediction. By taking a Bayesian probabilistic perspective, we provide a number of insights into more efficient algorithms for optimisation and hyper-parameter tuning. Traditional high-dimensional data reduction techniques, such as principal component analysis (PCA), partial least squares (PLS), reduced rank regression (RRR), projection pursuit regression (PPR) are all shown to be shallow learners. Their deep learning counterparts exploit multiple deep layers of data reduction which provide predictive performance gains. Stochastic gradient descent (SGD) training optimisation and Dropout (DO) regularization provide estimation and variable selection. Bayesian regularization is central to finding weights and connections in networks to optimize the predictive bias-variance trade-off. To illustrate our methodology, we provide an analysis of international bookings on Airbnb. Finally, we conclude with directions for future research. Joint work with Vladimir Sokolov, Sistems Engineering and Operations Research, George Mason University -- Fabrizio Ruggeri fabrizio AT mi.imati.cnr.it CNR IMATI tel +39 0223699532 Via Bassini 15 fax +39 0223699538 I-20133 Milano (Italy) web.mi.imati.cnr.it/fabrizio

1 0

Seminario KYPRAIOS
by Matteo Ruggiero 20 Apr '18

20 Apr '18

STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO Venerdì 27 Aprile 2018, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente seminario: ------------------------------------------------ Theodore KYPRAIOS (University of Nottingham) LATENT BRANCHING TREES: MODELLING AND BAYESIAN COMPUTATION In this talk a novel class of semi-parametric time series models will be presented, for which we can specify in advance the marginal distribution of the observations and then build the dependence structure of the observations around them by introducing an underlying stochastic process termed as 'latent branching tree'. It will be demonstrated how can we draw Bayesian inference for the model parameters using Markov Chain Monte Carlo methods as well as Approximate Bayesian Computation methodology. Finally a real dataset on genome scheme data will be fitted to this model and we will also discuss how this kind of models can be in other settings. ------------------------------------------------ Tutti gli interessati sono invitati a partecipare. Il seminario è organizzato dalla "de Castro" Statistics Initiative (www.carloalberto.org/stats <http://www.carloalberto.org/stats>) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

1 0

First announcement - workshop on BSDEs, Information and McKean-Vlasov equations, 10-12 Sept, Leeds
by Elena Issoglio 19 Apr '18

19 Apr '18

Dear colleagues, We are pleased to announce a Workshop on “BSDEs, Information and McKean-Vlasov equations”, which will take place on September 10th - 12th, 2018 at the University of Leeds, UK. The objective of the meeting is to disseminate recent results on these mainstream topics in stochastic analysis and bring together experts from many parts of Europe to promote the interplay of ideas and techniques. Additional information can be found on the website of the event https://conferences.leeds.ac.uk/bsdes2018/. Confirmed plenary speakers for the workshop are: Claudia Ceci, University of Pescara Dan Crisan, Imperial College London Samuel Cohen, University of Oxford Miryana Grigorova, University of Bielefeld Said Hamadene, University of Main Ben Hambly, University of Oxford Gechun Liang, University of Warwick  Huyen Pham, University of Paris Diderot Marie-Claire Quenez, University of Paris Diderot Francesco Russo, Ensta ParisTech Lukasz Szpruch, University of Edinburgh Participants can register via the following link https://conferences.leeds.ac.uk/bsdes2018/register/ Registration closes on July 16th, 2018. A registration fee of £70 will cover lunch and coffee breaks for the three days, and a buffet dinner on the first evening of the conference. There is a limited budget to cover expenses for young participants. All details are specified on the website. Submission of contributed talks is currently open. There will be also a poster session to allow young researchers working on these topics to present their ideas and results. If you wish to submit an abstract for a contributed talk or a poster please email Katia at k.colaneri(a)leeds.ac.uk or Elena at e.issoglio(a)leeds.ac.uk before June 25th, 2018. Notification of acceptance will be given by July 2nd, 2018. We hope very much that you will consider to participate in these events, and please feel free to forward this email to any interested people. We are looking forward to meeting you in Leeds. Best regards, The organizing committee Elena Issoglio and Katia Colaneri Dr Elena Issoglio Lecturer in Financial Mathematics Office 11.02, School of Mathematics School of Mathematics, University of Leeds, Leeds, LS2 9JT E: e.issoglio(a)leeds.ac.uk<mailto:e.issoglio@leeds.ac.uk> T: 0113 34 3 4660

1 0

Seminario di Scotti a Firenze, lunedì 23 aprile 14.30: Branching Processes with applications in Finance
by Cecilia Mancini 19 Apr '18

19 Apr '18

Il giorno lunedì 23 aprile, ore 14.30 Simone Scotti, Università Diderot di Parigi (Parigi 7), terrà il seminario dal titolo Branching Processes with applications in Finance presso l'edificio D6, via delle Pandette 9, 50127 Firenze, del polo di Novoli, in aula D6/104. Tutti gli interessati sono cordialmente invitati a partecipare Abstract: I processi di Branching con immigrazione (CBI) sono una classe di processi ben studiati in probabilità. In particolare i lavori di Dawson e Li hanno fornito una scrittura esplicita per l'EDS di un CBI generale e provato l'unicità della soluzione. Utilizzeremo questa scrittura per proporre un estensione del modello CIR includendo una parte di salto nel meccanismo di Branching, considerando in particolare il caso alpha-stabile per la sua parsimonia e la coerenza con i dati statistici. Questo modello ha mostrato di essere capace di riprodurre la persistenza dei bassi tassi d'interesse malgrado la presenza di importanti grandi salti. L'applicazione principale a cui ci interesseremo è un estensione del modello di Heston includendo salti auto-eccitati sul processo di varianza. Studiamo in particolare il comportamento della volatilità implicita dei derivati dell'azione e di quelli dei variance swap. Testiamo il modello sui dati del VIX. Basato su piu lavori con Guillaume Bernis, Ying Jiao, Chunhua Ma, Carlo Sgarra e Chao Zhou.

1 0

seminario presso l'Università di Milano-Bicocca, 4 maggio 2018
by daniela bertacchi 18 Apr '18

18 Apr '18

Il giorno 4 maggio alle ore 14:30 in aula 3014 del Dipartimento di Matematica e Applicazioni dell'Università di Milano-Bicocca, la dottoressa Sophie Hautphenne dell'Università di Melbourne e Politecnico di Losanna, terrà un seminario dal titolo: The probabilities of extinction in a branching random walk on a strip Tutti gli interessati sono invitati a partecipare. Abstract. We consider a class of multitype Galton-Watson branching processes with countably infinite type set X whose mean progeny matrices have a block lower Hessenberg form. For these processes, we derive partial and global extinction criteria. Our approach involves embedding a finite-type explosive Galton-Watson process in a varying environment in the original infinite-type process, and then establishing asymptotic relationships between the two processes. We study the probability of extinction in sets of types A ⊆ X , q(A). In particular, we develop conditions for q(A) to be different from the global and partial extinction probability vectors. We present an iterative method to compute the vectors q(A), and investigate their location in the set of fixed points of the progeny generating vector.

1 0

workshop Brescia 28, 29 September 2018
by Elena Vigna 17 Apr '18

17 Apr '18

Dear colleagues on 28 and 29 September 2018 a workshop will take place in Brescia on "LONGEVITY RISK MANAGEMENT, DIFFERENTIAL MORTALITY AND LIFETIME INEQUALITY" Theoretical and applied contributions on • longevity risk measurement and management • mortality risk measurement and management • affordability of pension schemes • risk management for pension funds • optimal pension time • differences in mortality rates: description, forecasting, risk management • best forecasting models for future actuarial measures • sources of lifetime inequalities: description, forecasting, risk management are welcome. More details attached. Regards, Elena Vigna -- Elena Vigna Università di Torino and Collegio Carlo Alberto https://sites.google.com/a/carloalberto.org/elena-vigna-web-page/home

1 0

Ph. D. in Economics and Statistics, UNIMIB
by gianluca cassese 17 Apr '18

17 Apr '18

*Announcement* The Department of Economics, Management and Statistics (DEMS) of the University of Milano-Bicocca is happy to launch the new, four-year *PhD Program in Economics and Statistics* (ECOSTAT). Detailed information on program contents, available scholarships and application procedure for the academic year 2018-19 (cycle XXXIV) can be found here <http://www.unimib.it/unimib-international/phd/phd-programmes/ecostat>. ------------------------------------------------------------ --------------------------------------- -- *Gianluca Cassese* ------------------------------------------------------------------------------- Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa Università degli Studi di Milano-Bicocca via Bicocca degli Arcimboldi, 8 - 20126, Milan, Italy Building U7 - Room 2097 -------------------------------------------------------------------------------

1 0

Avviso di Seminario del Prof. Claudio Macci
by Enrica Pirozzi 16 Apr '18

16 Apr '18

AVVISO di SEMINARIO Il giorno 19 Aprile 2018 ore 14:30 nella Aula E del terzo livello del Dipartimento Matematica e Applicazioni, Università di Napoli FEDERICO II, Complesso di Monte Sant'Angelo, Via Cintia, Napoli, il Prof. Claudio Macci del Dipartimento di Matematica, Università di Roma Tor Vergata, terrà un seminario dal titolo: "Asymptotic behavior of some hitting probabilities for sums of IID Gaussian random sets" Abstract: We consider sequences of partial sums of iid Gaussian random sets (with respect to the Minkowski sum) and we study the asymptotic behavior of some hitting probabilities (of suitable sets of $R^d$) for these partial sums. We also illustrate the use of the importance sampling for the estimation of these hitting probabilities by Monte Carlo simulations. We obtain the analog of well-known results for level crossing probabilities of random walks, and we refer to a version of the classical Cramér's Theorem in large deviations for random compact sets existing in the literature. Joint work with Barbara Pacchiarotti. Tutti gli interessati sono invitati a partecipare. -- Enrica Pirozzi Dipartimento di Matematica e Applicazioni Universita' di Napoli FEDERICO II Via Cintia, Monte S.Angelo, 80126, NAPOLI, ITALY Tel. 081 675634 https://www.docenti.unina.it/ENRICA.PIROZZI

1 0

Seminar announcement [ A. Zalinescu at UniTn Dept.Math. FBK-CIRM initiative ]
by Luca di persio 16 Apr '18

16 Apr '18

Dear all, this is to announce the following: *Joint Seminar*: Dipartimento di Matematica – Centro Internazionale per la Ricerca Matematica (CIRM) BSDEs with time-delayed generators and associated path-dependent nonlinear Kolmogorov equations Thursday, 19th of April 2018 *Place*: Dipartimento di Matematica, via Sommarive, 14 - Povo (TN) - Aula Seminari "-1" Time: 10:30 *Speaker*: Adrian Zalinescu (Universitatea Alexandru Ioan Cuza - Iaşi, Romania) *Abstract*: We study the existence and uniqueness for a path-dependent nonlinear Kolmogorov equation. The result is obtained by a stochastic approach, by proving a new type of nonlinear Feynman–Kac representation formula associated to a backward stochastic differential equation with time–delayed generator which is of non–Markovian type. The initiative is funded by the Research in Pairs project [ FBK-CIRM - https://cirm.fbk.eu/research-pairs ] “PATH DEPENDENT PARTIAL DIFFERENTIAL EQUATIONS WITH NONLINEAR BOUNDARY CONDITIONS” ( L. Di Persio, L. Maticiuc, A. Zalinescu ) __ Luca Di Persio - PhD College of Mathematics Dept. of Computer Science - University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968 <http://www.hpa8.com/>

1 0

Seminario Prof. Mercuri (presso Dip. Scienze Statistiche, Roma)
by Alessandro Degregorio 16 Apr '18

16 Apr '18

------------------------------------------------------------ ----------------- A v v i s o d i S e m i n a r i o ------------------------------------------------------------ ----------------- Venerdì 20 Aprile 2018, ore 15 ------------------------------------------------------------ ----------------- *Stanza 34Dipartimento di Scienze Statistiche* *Sapienza Università di Roma* Prof. Lorenzo Mercuri (Università di Milano) Estimation and Simulation of Higher Order CARMA and COGARCH Models Abstract: We show how to simulate and estimate Higher Order CARMA and COGARCH Models in the R package yuima. The usage of continuous time models allows us to manage irregularly spaced data (for example in financial time series due to weekends, holidays and breaks during the trading hours) without considering any missing data imputation method. Several routines for simulation and estimation are discussed. The flexibility of the package is due to the fact that the user is allowed to choose several parametric L\'evy distributions for the increments. Tutti gli interessati sono invitati a partecipare. Saluti Alessandro De Gregorio -- ___________________________________________ *Il tuo 5 diventa 1000* Fai crescere la tua università Dona il 5 per mille alla Sapienza Codice fiscale: *80209930587* https://www.uniroma1.it/it/pagina/fai-crescere-la-tua-universita-con-il-cin… <https://www.uniroma1.it/it/pagina/fai-crescere-la-tua-universita-con-il-cin…>

1 0

Jump to page:

2025

2024

2023

2022

2021

2020

2019

2018

2017

2016

2015

2014

2013

Random