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Tuesday, 29.04.2014, 15.00 Uhr (WIAS-406)
Seminar Modern Methods in Applied Stochastics and Nonparametric Statistics
Dr. H. Mai, WIAS Berlin:
Statistical Skorokhod embedding and a generalized Post-Widder formula
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, 4. Etage, Weierstraß-Hörsaal (Raum: 406)

Host
WIAS Berlin
Wednesday, 30.04.2014, 10.00 Uhr (WIAS-406)
Forschungsseminar Mathematische Statistik
Prof. Dr. H. Holzmann, Universität Marburg:
Nonparametric identication and estimation in a triangular random coecient regression model
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, 4. Etage, Weierstraß-Hörsaal (Raum: 406)

Abstract
Linear regression models with random coecients have recently become quite popular in eco- nometrics as a tool for modeling unobserved heterogeneity. The main structural assumption which makes these models identiable is the independence of the regressors from the random coecients, that is, the exogeneity of the regressors. We brie y review identication in this situation. Further, we propose nonpa- rametric estimators for the density of the random coecients in case of light-tailed and even compactly supported regressors, and derive rates of convergence. In the main part of the talk we will be concerned with a triangular system of linear random coecient regression models, where the endogenous regressor in the second-stage equation is the response of an addi- tional equation with an exogenous instrument. Without further structural assumptions on the coecients, we give a surprising non-identiability result for the intercept in the second-stage equation. Further, we show how identiability of the density of the coecients in the second-stage equation can be achieved via a marginal independence assumption. Based on this result, we discuss nonparametric estimation of their joint density. Joint work with Stefan Hoderlein (Boston) and Alexander Meister (Rostock)

Host
WIAS Berlin
Humboldt-Universität zu Berlin
Universität Potsdam
Wednesday, 30.04.2014, 14.00 Uhr (WIAS-405-406)
BERLINER OBERSEMINAR Nichtlineare partielle Differentialgleichungen (Langenbach-Seminar)
Prof. Dr. M.-K. von Renesse, Universität Leipzig:
A Brownian motion on the Wasserstein space
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, 4. Etage, Raum: 405/406

Abstract
The space of probability measures on a metric space carries a natural distance induced from the problem of optimal transportation, turning the space of measures into a formal infinite dimensional Riemannian manifold. It is tempting to ask whether some version of a Brownian motion on this manifold can be defined. We show that for the case of probability measures on the real line this is indeed possible. Depending on a temperature parameter we obtain a diffision process on the space of mass distributions which for varying temperaturs interpolates between the two extremes of deterministic heat and Brownian motion in single point respectively. Central to the construction is the introduction of a Gibbs measure on the spaces of probability distributions with the Boltzmann entropy as Hamiltonian.

Further Informations
Berliner Oberseminar ``Nichtlineare Partielle Differentialgleichungen'' (Langenbach Seminar)

Host
WIAS Berlin
Humboldt-Universität zu Berlin
Wednesday, 30.04.2014, 17.15 Uhr (WIAS-406)
Berliner Kolloquium Wahrscheinlichkeitstheorie/GK ''Stochastische Analysis''
Prof. Dr. S. Ferrando, Ryerson University, Toronto, Canada:
Discrete, non probabilistic market models. Arbitrage and pricing intervals
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, 4. Etage, Weierstraß-Hörsaal (Raum: 406)

Abstract
In the simplest discrete setting of a stock and a bank account with 0 interest rates, we describe a trajectory based approach to pricing options. The approach does not make use of probabilities. We describe no arbitrage results and a minmax pricing interval. Connections with the standard martingale based approach will also be explained. If time permits, we will describe a dynamic programming approach to evaluate the minmax price interval.

Host
Humboldt-Universität zu Berlin
Technische Universität Berlin
WIAS Berlin
Wednesday, 30.04.2014, 18.15 Uhr (WIAS-406)
Berliner Kolloquium Wahrscheinlichkeitstheorie/GK ''Stochastische Analysis''
Prof. Dr. V. Vatutin, Steklov Mathematical Institute, Moscow, Russia:
Macroscpic and microscopic structures of the family tree for decomposable branching processes
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, 4. Etage, Weierstraß-Hörsaal (Raum: 406)

Abstract
A decomposable strongly critical Galton-Watson branching process with N types of particles labelled 1,2,...,N is considered in which a type i parent may produce individuals of types j ge i only. This model may be viewed as a stochastic model for the sizes of a geographically structured population occupying N islands, the location of a particle being considered as its type. The newborn particles of island i le N - 1 either stay at the same island or migrate, just after their birth to the islands i+1, i+2, ..., N. Particles of island N do not migrate. We investigate the structure of the family tree for this process, the distributions of the birth moment and the type of the most recent common ancestor of the individuals existing in the population at a distant moment n.

Host
Humboldt-Universität zu Berlin
Technische Universität Berlin
WIAS Berlin
Tuesday, 06.05.2014, 15.00 Uhr (WIAS-406)
Seminar Modern Methods in Applied Stochastics and Nonparametric Statistics
J. Stange, WIAS Berlin:
Computation of an effective number of tests for multiple χ2 tests
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, 4. Etage, Weierstraß-Hörsaal (Raum: 406)

Host
WIAS Berlin
May 7 – 9, 2014 (WIAS-ESH)
Workshop/Konferenz: KoMSO Challenge Workshop ``Math for the Digital Factory''
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal

Host
WIAS Berlin
Wednesday, 07.05.2014, 10.00 Uhr (WIAS-HVP-4.13)
Forschungsseminar Mathematische Statistik
Dr. M. Barigozzi, London School of Economics, UK:
Dynamic factor models, cointegration, and error correction mechanisms
more ... Location
Weierstraß-Institut, Hausvogteiplatz 11A, 10117 Berlin, 4. Etage, Raum: 4.13

Abstract
In this paper we study Dynamic Factor Models when the factors Ft are I(1) and singular, i.e. rank(Ft) < dim(Ft). By combining the classic Granger Representation Theorem with recent results by Anderson and Deistler on singular stochastic vectors, we prove that, for generic values of the parameters, Ft has an Error Correction representation with two unusual features: (i) the autoregressive matrix polynomial is finite, (ii) the number of error-terms is equal to the number of transitory shocks plus the difference between the dimension and the rank of Ft. This result is the basis for the correct specification of an autoregressive model for Ft. Estimation of impulse-response functions is also discussed. Results of an empirical analysis on a US quarterly database support the use of our model.

Host
WIAS Berlin
Humboldt-Universität zu Berlin
Universität Potsdam
May 12 – 14, 2014 (WIAS-ESH)
Workshop/Konferenz: International Workshop: Nonlinear Dynamics in Semiconductor Lasers
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal

Host
WIAS Berlin
Tuesday, 27.05.2014, 13.30 Uhr (WIAS-ESH)
Seminar Numerische Mathematik
Prof. G. R. Barrenechea, University of Strathclyde, UK:
Curing inf-sup deficiencies: Two quick examples
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal

Abstract
One rather standard way of justifying stabilised finite element methods is to prove that they cure the inf-sup deficiency associated to a given pair of finite element spaces. In this talk, I will describe how this study can be made in order to derive a stabilised finite element method (in the spirit of the ``minimal stabilisation approach'' by F. Brezzi and M. Fortin). Then, I will present the application of this idea to two different problems. More precisely, in the first part of the talk I will present a stabilised finite element method for the Reissner-Mindlin plate problem, and in the second part I will briefly present a stabilised finite element method for a fictitious domain formulation. The work presented in this talk has been carried out in collaboration with T. Barrios (UCSC, Concepcion, Chile), F. Chouly (Besancon, France), and A. Wachtel (Strathclyde).
'A paso lento, como bostezando, como quien besa el barrio al irlo pisando'

Host
WIAS Berlin