統計数学セミナー

過去の記録 ~05/21次回の予定今後の予定 05/22~

開催情報 火曜日 13:00~14:10 数理科学研究科棟(駒場) 052号室
担当者 http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/
セミナーURL http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/
目的 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う.

今後の予定

2018年05月23日(水)

14:00-15:10   数理科学研究科棟(駒場) 052号室
Lorenzo Mercuri 氏 (University of Milan)
"yuima.law": From mathematical representation of general Lévy processes to a numerical implementation
[ 講演概要 ]
We present a new class called yuima.law that refers to the mathematical description of a general Lévy process used in the formal definition of a general Stochastic Differential Equation. The final aim is to have an object, defined by the user, that contains all possible information about the Lévy process considered. This class creates a link between YUIMA and other R packages available on CRAN that manage specific Lévy processes.

An example of yuima.law is shown based the Mixed Tempered Stable(MixedTS) Lévy processes. A review of the univariate MixedTS is given and some new results on the asymptotic tail behaviour are derived. The multivariate version of the Mixed Tempered Stable, which is a generalisation of the Normal Variance Mean Mixtures, is discussed. Characteristics of this distribution, its capacity in fitting tails and in capturing dependence structure between components are investigated.

2018年05月23日(水)

15:30-16:40   数理科学研究科棟(駒場) 052号室
Emanuele Guidotti 氏 (University of Milan)
Latest Development in yuimaGUI - Interactive Platform for Computational Statistics and Finance

[ 講演概要 ]
The yuimaGUI package provides a user-friendly interface for the yuima package, including additional tools related to Quantitative Finance. It greatly simplifies tasks such as estimation and simulation of stochastic processes, data retrieval, time series clustering, change point and lead-lag analysis. Today we are going to discuss the latest development in yuimaGUI, extending the Platform with multivariate modeling and simulation, Levy processes, Point processes, broader model selection tools and more general distributions thanks to the new yuima-Law object.