Talks-2018

Talks [2018Apr-2019Mar]

April

• S. Eguchi: Model selection for SDEs in YUIMA package, HeKKSaGon Multidisciplinary Joint Workshop toward Fusions between Data and Mathematical Sciences, Osaka University, Japan, 2018.4.11

June

• S. Eguchi: Data driven time scale for ergodic diffusion processes in YUIMA package, EcoSta 2018, City University of Hong Kong, China, 2018.6.19


• Y. Uehara: Estimation of jump diffusion models by Jarque-Bera normality test, EcoSta 2018, City University of Hong Kong, China, 2018.6.19


• Y. Koike: Testing the absence of lead-lag effects in high-frequency data, EcoSta 2018, City University of Hong Kong, Hong Kong, China, 2018.6.19


• S. Eguchi: Improvement of model selection function in YUIMA package, The 5th Institute of Mathematical Statistics Asia Pacific Rim Meeting, National University of Singapore, Singapore, 2018.6.27


• Y. Uehara: GAUSSIAN QUASI‐LIKELIHOOD ESTIMATION FOR ERGODIC LEVY DRIVEN SDE UNDER MODEL MISSPECIFICATION, The 5th Institute of Mathematical Statistics Asia Pacific Rim Meeting, National University of Singapore, Singapore, 2018.6.27


• Hiroki, Masuda: Optimal stable regression (June 29, 2018; The 5th IMS-APRM, 2018, Singapore)


• Y. Koike: Asymptotic mixed normality of realized covariance in high-dimensions, IMS-APRM 2018, National University of Singapore, Singapore, 2018.6.29

July

• Kengo Kamatani: Reversible proposal MCMC with heavy-tailed target distributions, Monte Carlo Methods, The AIMS Conference Series on
  Dynamical Systems and Differential Equations, Taipei, Taiwan, 2018.7.8


• Y. Koike: Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data, 10th World Congress of the Bachelier Finance Society, Trinity College Dublin, Dublin, Ireland, 2018.7.17

September

• Kengo Kamatani: Reversible proposal MCMC with heavy-tailed target distributions, Bayesian Computation for High-Dimensional Statistical Models, National University of Singapore, Singapore, 2018.9.19

October

• Y. Koike: Testing the residual sparsity of a high-dimensional continuous-time factor model, CEQURA Conference 2018, Katholische Akademie in Bayern, Munich, Germany, 2018.10.4


• Y. Uehara: Consistent model selection for ergodic processes, Stochastic Processes and Risk Analysis, The Institute of Statistical Mathematics, Japan, 2018.10.19

November

• Kengo Kamatani: Scaling limits of piecewise deterministic Monte Carlo methods, SQUIDS Seminar, Manchester, UK, 2018.11.6

December

• Hiroki Masuda: Generating Lévy process in YUIMA package (December 2, 2018; YUIMA tutorial 2018, University of Tokyo)


• Hiroki Masuda: Locally stable regression with unknown activity index (December 15, 2018; CMStatistics 2018, Pisa, Italy)


• Y. Koike: Testing the residual sparsity of a high-dimensional continuous-time factor model, CMStatistics 2018, University of Pisa, Pisa, Italy, 2018.12.15


• S. Eguchi: Consistent model selection for ergodic SDEs, CMStatistics 2018, University of Pisa, Pisa, Italy, 2018.12.16


• Y. Uehara: Noise estimation for ergodic Levy driven stochastic differential equation model, CMStatistics 2018, University of Pisa, Pisa, Italy, 2018.12.16

January

• S. Eguchi: Improvement of the functions for statistical inference in YUIMA, 4th Yuima Users Workshop, University of Tokyo, Tokyo, Japan, 2019.1.29


• Y. Koike: On implementation of high-dimensional covariance estimation in YUIMA package, 4th Yuima Users Workshop, University of Tokyo, Tokyo, Japan, 2019.1.29


• S. Eguchi: Stepwise model selection for ergodic SDEs, ASC2019, University of Tokyo, Tokyo, Japan, 2019.1.30


• Y. Koike: De-biasing the graphical Lasso in high-frequency data, ASC2019, University of Tokyo, Tokyo, Japan, 2019.1.30


• Hiroki Masuda: Non-constant scale effect in stable quasi-likelihood inference (January 31, 2019; ASC2019, Asymptotic Statistics and Computations, University of Tokyo)

March

• S. Eguchi: Improvement of the functions for statistical inference in YUIMA, The second YUIMA conference, SAPIENZA University of Rome, Italy, March 22, 2019.


• H. Masuda: On some use of yuima.Law class, The second YUIMA conference, SAPIENZA University of Rome, Italy, March 25, 2019.


• Y. Koike: High-dimensional covariance estimation in YUIMA package, The second YUIMA conference, SAPIENZA University of Rome, Rome, Italy, 2019.3.25


• Y. Uehara: Jump detection on YUIMA package, The second YUIMA conference, SAPIENZA University of Rome, Rome, Italy, 2019.3.25