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, cran.r-project.org cran.r-project.org ). The lectures will be given
by members of the YUIMA team ( yuimaproject.com 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: yuimaproject.com yuimaproject.com 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_
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