YUIMA Tutorial and YUIMA Conference at Linköping University (Mar 21 - Mar 24, 2023)

The YUIMA Tutorial 2023 is a four-day program that will take place at Linköping University, Department of Computer and Information Science, Sweden from March 21-24, 2023. The program will cover various topics related to stochastic calculus, simulation, inference, and model selection for diffusion processes.

The program is divided into lectures, lab sessions, and presentations. Each day begins with a coffee break, followed by lectures on the topic of the day, and a lunch break. The lectures are conducted by experts in the field.

The YUIMA Conference runs concurrently with the tutorial, and it serves as a supplementary meeting for YUIMA developers to explore more advanced topics beyond what is covered in the tutorial.

Day 1 - KEY1 lecture hall in Key Building

10:00-10:30: Coffee
10:30-10:45: Course introduction
10:45-11:30: Introduction to stochastic calculus I (stochastic processes, Brownian motion, labo with R)
11:30-13:00: Lunch break
13:00-14:15: Introduction to stochastic calculus II (stochastic integral and SDE, labo with R)
14:25-14:50: What can we do with YUIMA?
14:50-15:15: Coffee and cake
15:15-16:00: Linkoping Statistics Seminar
[parallel to the tutorial] 10:45-11:30 & 13:00-14:50 YUIMA developers meeting

Day 2 - BL32 (called Nobel) lecture hall in B building

08:30-09:00: Coffee
09:00-10:15: Simulation of diffusion processes I (Euler-Maruyama approximation and introduction to YUIMA: yuima object, simulation, plot, Black-Scholes model, labo)
10:30-11:30: Simulation of diffusion processes II (simulation of various models for illustrations)
11:30-12:45: Lunch break
12:45-13:25: Labo (simulation with YUIMA)
13:30-14:45: Poisson process and Compound Poisson processes (introduction, simulation, labo)
14:45-15:15: Coffee and cake
15:15-16:00: LiU Machine Learning Seminar
[parallel to the tutorial] 9:00-11:30 & 13:00-15:30 YUIMA developers meeting

Day 3 - I101 (called Eklundska salen) lecture hall in I building

08:30-09:00: Coffee
09:00-10:15: Inference for diffusion processes I (QMLE)
10:30-11:30: Inference for diffusion processes II (quasi-Bayes estimation)
11:30-13:00: Lunch break
13:00-14:15: Model selection for diffusion processes
14:15-14:45: Coffee and cake
15:00-16:00: Yuima GUI [Guidotti 1]
16:10-16:40: Presentations using YUIMA
[parallel to the tutorial] 9:00-11:30 & 13:00-14:45 YUIMA developers meeting

Day 4 - KEY1 lecture hall in Key Building

08:30-09:00: Coffee
09:00-10:00: Lévy processes and Lévy driven SDE I (theoretical background and some examples)
10:30-11:30: Lévy processes and Lévy driven SDE II (simulation in YUIMA)
11:30-11:45: Course closing
11:45-13:15: Lunch break
13:15-14:45: Presentations using YUIMA
14:45-15:30: Presentations using YU
[parallel to the tutorial] 9:00-11:30 developers meeting

https://www.ida.liu.se/edu/grad/course?cid=752