[SocBiN] Stochastic differential equations with R school at Linkoping University

[Krzysztof Bartoszek]

Dear all,

At the Division of Statistics and Machine Learning, Department of
Computer and Information Science, Linköping University, Sweden,
14th-19th May 2020, we will be hosting a school concerning stochastic
differential equations and the YUIMA R package (Simulation and
Inference for SDEs and Other Stochastic Processes,
https://cran.r-project.org/web/packages/yuima/index.html). The
lectures will be given by members of the YUIMA team (
https://yuimaproject.com/ ). The nearly final program of the school is
:

Dates (fixed and final): May 14 (Thu), May 15 (Fri), May 18 (Mon), May
19 (Tue) in 2020
The 5th YUIMA Conference will be held in parallel.
Program
DAY 1
09:00-10:00 Introduction to R programming
10:15-11:00 Refresh on stochastic processes
11:30-12:30 Introduction to SDE I (Brownian motion and its properties)
14:30-15:30 Introduction to SDE II (stochastic integrals and Ito's
formula with some applications)
16:00-17:00 Introduction to SDE III (SDE)
DAY 2
09:00-09:45 Time series import and Date/timestamps manipulation in R
10:00-11:00 Overview of Yuima and Yuima GUI
11:30-12:30 Simulation of diffusion processes I (theoretical
background and introduction to YUIMA)
14:30-15:30 Simulation of diffusion processes II (simulation of
notable models for illustrations)
16:00-17:00 Supplements
DAY 3
09:00-10:00 Inference for diffusion processes I (QMLE)
10:30-11:30 Inference for diffusion processes II (quasi Bayesian estimation)
13:30-14:30 Model selection (information criteria: CIC, BIC and QBIC)
15:00-16:00 Implementation via Yuima GUI
DAY 4 (this day is for gentle introductions of topics with a more
software oriented approach)
09:00-10:00 Compound Poisson process (basics, simulation and estimation)
10:30-11:30 Introduction to Levy processes
13:30-14:30 Point processes
15:00-16:00 Sparse estimation (Lasso and other regularizations)

A similar event took place in summer 2019: https://yuimaproject.com/yss2019/

Please feel free to spread information about the school to anyone who
could be interested. If there are any questions or somebody would like
to attend, they should e-mail me directly.

Best wishes
Krzysztof Bartoszek, PhD
Docent, Senior Lecturer in Statistics
Division of Statistics and Machine Learning
Department of Computer and Information Science
Linköping University
krzysztof[_dot_]bartoszek[_at_]liu[_dot_]se