Events & Teaching

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Tuesday, 22.04.2014, 15.00 Uhr (WIAS-406)
Seminar Modern Methods in Applied Stochastics and Nonparametric Statistics
V. Avanesov, Institute for System Programming, Moskau, Russia:
Topic modeling graph clustering and their application to influence measurement
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, 4. Etage, Weierstraß-Hörsaal (Raum: 406)

Host
WIAS Berlin
Wednesday, 23.04.2014, 10.00 Uhr (WIAS-ESH)
Forschungsseminar Mathematische Statistik
Dr. P. Vieu, Université Paul Sabatier, Toulouse, France:
How to deal with dimensionality in functional data analysis?
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal

Abstract
Functional data are, by nature, infinite dimensional data, and their analysis need necessarily specific attention to the possible effects of high (in fact, infinite) dimension on the behaviour of statistical procedures. Semi-parametric modelling and variable/model selection are two fields of modern Statistics having developped methodologies for dealing with dimensionality in high (but finite) multivariate data analysis. The aim of this talk will be to discuss how these multivariate ideas can be nicely adapted to FDA and to emphasize on the fact that, even if in FDA the dimension is infinite, the continuous structure of the data allows statistical methods to be more efficient (in some senses to be precised ) than in multivariate setting. In usual multi- (but finite) -dimensional settings, semi-parametric ideas have been widely used in order to balance the trade-off betwen very few flexibility (this is the drawback of pure parametric modelling) and dimensional effects (this is the main drawback of non-parametric modelling). In a first attempt it will be shown along this talk, through the simple Single Functional Index Model, how semi-parametric modelling behaves for FDA. From a methodological point of view one will see how this model is rather flexible without being affected by the infinite-dimensionality effect. From an applied point of view, it will be highlighted how the functional semi-parametric statistical procedures are combining good predictive power and nice possibility of interpretation of the results. In a second attempt, one will develop specific variable selection procedures for FDA. The methodology will take fully into acount the continuous structure of the data, leading to rather low computational costs (compared with standard multivariate selection procedures), and combining again good predictive power and nice possibility of interpretation of the results. The talk will be mainly methodlogical and centered around the presentation of these two functional methodologies, namely Functional Single Index Modelling and Variable Selection for Continuous Data. The, it will end by the presentation of some benchmark real curves dataset analysis.

Host
WIAS Berlin
Humboldt-Universität zu Berlin
Universität Potsdam
Wednesday, 23.04.2014, 15.00 Uhr (WIAS-406)
Berliner Kolloquium Wahrscheinlichkeitstheorie/GK ''Stochastische Analysis''
Prof. Dr. A. Réveillac, Université Paris Dauphine, Frankreich:
Some new aspects of Backward Stochastic Differential Equations: theory and application to finance
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, 4. Etage, Weierstraß-Hörsaal (Raum: 406)

Abstract
The main goal of this course is to provide an introduction to the theory of Backward Stochastic Differential Equations (BSDEs) and to its strong connection to Finance. We will survey the classical existence/uniqueness results for this equations together with some proofs making the course acessible to anyone who is not familiar with the theory of BSDEs, and we will present the link between BSDEs and several problems in Finance, like for instance the utility maximization problem, superheding and quantitle hedging problems. For each of these questions, we will review the by now, well-established results and present some new developments. The course will be divided into fours lectures and we provide below a brief description of them. par Lecture 2: In the second lecture, we will see that in order to go further in the description of the solution to the utility maximization problem, one needs to consider a generalization of BSDEs namely Forward-Backward SDEs (FBSDEs). We will present the derivation of this system of equations and some theoretical results that can be derived for these equations.

Host
Humboldt-Universität zu Berlin
Technische Universität Berlin
WIAS Berlin
Wednesday, 23.04.2014, 15.15 Uhr (WIAS-ESH)
BERLINER OBERSEMINAR Nichtlineare partielle Differentialgleichungen (Langenbach-Seminar)
Prof. Dr. J. Neumann, Humboldt-Universität zu Berlin:
On the existence of weak solutions to Kolmogorov's two-equation model of turbulence
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal

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

Host
WIAS Berlin
Humboldt-Universität zu Berlin
Wednesday, 23.04.2014, 17.15 Uhr (WIAS-ESH)
Berliner Kolloquium Wahrscheinlichkeitstheorie/GK ''Stochastische Analysis''
Prof. Dr. W. Werner, ETH Zürich, Schweiz:
Critical percolation in some random fractal gaskets
more ... Location
Weierstraß-Institut, Mohrenstr. 39, 10117 Berlin, Erdgeschoss, Erhard-Schmidt-Hörsaal

Abstract
We will survey some recent work and work in progress with Jason Miller and Scott Sheffield on coupling between various conformal loop ensembles (these are natural random collection of loops in a two-dimensional domain). One motivation for this work is to try to shed some light on what conti- nuous critical percolation within random CLE gaskets (the space left inbetween the loops) could be, and on the continuous analogue of the coupling between Potts models and their random cluster representations.

Host
Humboldt-Universität zu Berlin
Technische Universität Berlin
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
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