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Seminar information archive
Seminar information archive ～04/25｜Today's seminar 04/26 | Future seminars 04/27～
2019/03/13
Seminar on Probability and Statistics
14:00-15:10 Room #052 (Graduate School of Math. Sci. Bldg.)
Yury A. Kutoyants (Laboratoire Manceau de Mathématiques, Le Mans University)
On parameter estimation of hidden Markov processes
Yury A. Kutoyants (Laboratoire Manceau de Mathématiques, Le Mans University)
On parameter estimation of hidden Markov processes
[ Abstract ]
We present a survey of several results devoted to parameter estimation of partially observed models. The hidden processes are Ornstein-Uhlenbeck process and Telegraph process. We describe the asymptotic behavior of the MLE and BE of the unknown parameters of hidden processes and special attention is paid to a new class of estimators called Multi-step MLE-processes, which have the same asymptotic properties as the MLE but can be calculated much easier than MLE.
The corresponding articles are
1.Kutoyants Yu. A., " On the multi-step MLE-process for ergodic
diffusion", (arXiv 1504.01869) Stochastic Processes and their
Applications, 2017, 127, 2243-2261.
2.Khasminskii, R. Z. and Kutoyants, Yu. A. "On parameter estimation of
hidden telegraph process". (arXiv:1509.02704 ) Bernoulli, 2018, 24, 3,
2064-2090.
3.Kutoyants, Yu. A. "On parameter estimation of hidden
Ornstein-Uhlenbeck process", Journal of Multivariate Analysis. 2019,
169, 1, 248-263.
4.Kutoyants, Yu. A. "On parameter estimation of hidden ergodic
Ornstein-Uhlenbeck process", 2019, submitted (arXiv:1902.08500)
We present a survey of several results devoted to parameter estimation of partially observed models. The hidden processes are Ornstein-Uhlenbeck process and Telegraph process. We describe the asymptotic behavior of the MLE and BE of the unknown parameters of hidden processes and special attention is paid to a new class of estimators called Multi-step MLE-processes, which have the same asymptotic properties as the MLE but can be calculated much easier than MLE.
The corresponding articles are
1.Kutoyants Yu. A., " On the multi-step MLE-process for ergodic
diffusion", (arXiv 1504.01869) Stochastic Processes and their
Applications, 2017, 127, 2243-2261.
2.Khasminskii, R. Z. and Kutoyants, Yu. A. "On parameter estimation of
hidden telegraph process". (arXiv:1509.02704 ) Bernoulli, 2018, 24, 3,
2064-2090.
3.Kutoyants, Yu. A. "On parameter estimation of hidden
Ornstein-Uhlenbeck process", Journal of Multivariate Analysis. 2019,
169, 1, 248-263.
4.Kutoyants, Yu. A. "On parameter estimation of hidden ergodic
Ornstein-Uhlenbeck process", 2019, submitted (arXiv:1902.08500)
2019/03/05
Tuesday Seminar of Analysis
16:50-18:20 Room #128 (Graduate School of Math. Sci. Bldg.)
Nicholas Edelen (Massachusetts Institute of Technology)
The structure of minimal surfaces near polyhedral cones (English)
Nicholas Edelen (Massachusetts Institute of Technology)
The structure of minimal surfaces near polyhedral cones (English)
[ Abstract ]
We prove a regularity theorem for minimal varifolds which resemble a cone $C_0$ over an equiangular geodesic net. For varifold classes admitting a ``no-hole'' condition on the singular set, we additionally establish regularity near the cone $C_0 \times R^m$. Our result implies the following generalization of Taylor's structure theorem for soap bubbles: given an $n$-dimensional soap bubble $M$ in $R^{n+1}$, then away from an $(n-3)$-dimensional set, $M$ is locally $C^{1,\alpha}$ equivalent to $R^n$, a union of three half-$n$-planes meeting at $120$ degrees, or an $(n-2)$-line of tetrahedral junctions. This is joint work with Maria Colombo and Luca Spolaor.
We prove a regularity theorem for minimal varifolds which resemble a cone $C_0$ over an equiangular geodesic net. For varifold classes admitting a ``no-hole'' condition on the singular set, we additionally establish regularity near the cone $C_0 \times R^m$. Our result implies the following generalization of Taylor's structure theorem for soap bubbles: given an $n$-dimensional soap bubble $M$ in $R^{n+1}$, then away from an $(n-3)$-dimensional set, $M$ is locally $C^{1,\alpha}$ equivalent to $R^n$, a union of three half-$n$-planes meeting at $120$ degrees, or an $(n-2)$-line of tetrahedral junctions. This is joint work with Maria Colombo and Luca Spolaor.
Seminar on Mathematics for various disciplines
10:30-11:30 Room #056 (Graduate School of Math. Sci. Bldg.)
2019/02/12
Tuesday Seminar on Topology
17:00-18:30 Room #056 (Graduate School of Math. Sci. Bldg.)
Anastasiia Tsvietkova (Okinawa Institute of Science and Technology, Rutgers University)
Representations of knot groups (ENGLISH)
Anastasiia Tsvietkova (Okinawa Institute of Science and Technology, Rutgers University)
Representations of knot groups (ENGLISH)
[ Abstract ]
We describe a new method of producing equations for the representation variety of a knot group into (P)SL(2,C). Unlike known methods, this does not involve any polyhedral decomposition or triangulation of the link complement, and uses only a link diagram satisfying a few mild restrictions. This results in a simple algorithm that can often be performed by hand, and in many cases, for an infinite family of knots at once. This is a joint work with Kathleen Peterson (Florida State University).
We describe a new method of producing equations for the representation variety of a knot group into (P)SL(2,C). Unlike known methods, this does not involve any polyhedral decomposition or triangulation of the link complement, and uses only a link diagram satisfying a few mild restrictions. This results in a simple algorithm that can often be performed by hand, and in many cases, for an infinite family of knots at once. This is a joint work with Kathleen Peterson (Florida State University).
2019/02/06
Seminar on Probability and Statistics
16:30-18:00 Room #270 (Graduate School of Math. Sci. Bldg.)
Ioane Muni Toke (Centrale Supelec Paris)
Testing the causality of Hawkes processes with time reversal
Ioane Muni Toke (Centrale Supelec Paris)
Testing the causality of Hawkes processes with time reversal
[ Abstract ]
We show that univariate and symmetric multivariate Hawkes processes are only weakly causal: the true log-likelihoods of real and reversed event time vectors are almost equal, thus parameter estimation via maximum likelihood only weakly depends on the direction of the arrow of time. In ideal (synthetic) conditions, tests of goodness of parametric fit unambiguously reject backward event times, which implies that inferring kernels from time-symmetric quantities, such as the autocovariance of the event rate, only rarely produce statistically significant fits. Finally, we find that fitting financial data with many-parameter kernels may yield significant fits for both arrows of time for the same event time vector, sometimes favouring the backward time direction. This goes to show that a significant fit of Hawkes processes to real data with flexible kernels does not imply a definite arrow of time unless one tests it.
We show that univariate and symmetric multivariate Hawkes processes are only weakly causal: the true log-likelihoods of real and reversed event time vectors are almost equal, thus parameter estimation via maximum likelihood only weakly depends on the direction of the arrow of time. In ideal (synthetic) conditions, tests of goodness of parametric fit unambiguously reject backward event times, which implies that inferring kernels from time-symmetric quantities, such as the autocovariance of the event rate, only rarely produce statistically significant fits. Finally, we find that fitting financial data with many-parameter kernels may yield significant fits for both arrows of time for the same event time vector, sometimes favouring the backward time direction. This goes to show that a significant fit of Hawkes processes to real data with flexible kernels does not imply a definite arrow of time unless one tests it.
2019/02/01
thesis presentations
9:15-10:30 Room #118 (Graduate School of Math. Sci. Bldg.)
thesis presentations
10:45-12:00 Room #118 (Graduate School of Math. Sci. Bldg.)
thesis presentations
12:45-14:00 Room #118 (Graduate School of Math. Sci. Bldg.)
thesis presentations
14:15-15:30 Room #118 (Graduate School of Math. Sci. Bldg.)
thesis presentations
9:15-10:30 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
10:45-12:00 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
12:45-14:00 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
14:15-15:30 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
9:15-10:30 Room #126 (Graduate School of Math. Sci. Bldg.)
thesis presentations
10:45-12:00 Room #126 (Graduate School of Math. Sci. Bldg.)
thesis presentations
12:45-14:00 Room #126 (Graduate School of Math. Sci. Bldg.)
thesis presentations
14:15-15:30 Room #126 (Graduate School of Math. Sci. Bldg.)
2019/01/31
thesis presentations
12:45-14:00 Room #118 (Graduate School of Math. Sci. Bldg.)
thesis presentations
14:15-15:30 Room #118 (Graduate School of Math. Sci. Bldg.)
thesis presentations
15:45-15:30 Room #128 (Graduate School of Math. Sci. Bldg.)
thesis presentations
17:15-18:30 Room #118 (Graduate School of Math. Sci. Bldg.)
thesis presentations
12:45-14:00 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
14:15-15:30 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
15:45-17:00 Room #122 (Graduate School of Math. Sci. Bldg.)
thesis presentations
17:15-18:30 Room #122 (Graduate School of Math. Sci. Bldg.)
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