Encouraging establishing contacts with CREATES , Aarhus
Tomasz Kozubowski, University of Nevada, Reno, is coming for sabbatical
Plans for research and discussion of research papers
Next week Krys will present something on spatial econometrics -- watch updates on this
Thursday, September 04, 13:15
Welcoming Stepan Mazur, a new member of our team.
Short discussion where we currently are and what our goals for Fall will be.
Teaching duties: Krys Podgorski, Data Mining and visualization, First Fall 2014, Aleksy Kolokolov, Financial Statistics, Second Fall 2014.
Report on conference in Smögen, August 25-29, 2014
Conference travel and visiting scholars: ERCIM Pisa December 2014, DISTRIBUTION OF THE PRODUCT OF SINGULAR WISHAR MATRIX AND NORMAL VECTOR, Stepan Mazur, Modern Econometric Tools and Application Niznij Novograd 2014, MULTIJUMPS, Aleksey Kolokolov.
Seminar series: Krzysztof Nowicki is taking the duties of running seminar series.
Nima will present interesting fact about preservation of the tails distribution with Fourier transform smoothing
Nime will give a short note about his work on control charts for autorcorrelated time series
Krys will mention some development on time series model of metal commodity data work by Ola Andersson,
Olle Holmberg, Mats Hansson
Teaching plans for Fall, Statistical Finance -- Lecture Notes from Krzysztof N.
Tuesday, July 22, 13:15
Current Business Update
Recount of trips from the last month, Nima's report on Summer School (ggplot2 -- graphics for R, Hadley Wickhsam), KRys' report on Conference in Flint,
Information about the ongoing research projects
Nima, KRys, Igor -- Hilliness, Wright process and related modelling
Farrukh, KRys -- asymmetric power models
Alexey, Farrukh, KRys -- multijumps modeling of multivariate portfolio with generalized Laplace models
Alexey, Farrukh, KRys -- spatial-temporal modeling for multivariate portfolio
Teaching plans for Fall (Data Mining -- Krys, NIma, Statistical Finance -- Krys, Aleksy, Krzysztof N
Websites for computational tools for our research and for others:
Bachelor thesis: comparison ARMA and GARCH modeling, work by Ola Andersson,
Olle Holmberg, Mats Hansson
Plans for the rest of the summer
Discussion about the jumps for Laplace motion derived from the shot-noise respresenation for Gamma process, plus, expected values of power of jumps: Slides
Tuesday, June 10, 13:15
Current Business Update
Welcoming of Aleksey Kolokolov
Nima is going next week for Summer School for PhD students in statistics, he will be presenting there recent work on stationary Laplace model involving autoregressive gamma time series
Aleksey has presented his research on a statistical test for presence of jumps: Slides
Work on relation between Jensen and Lunde 2001 and our model (continued)
EM algorithm for estimating tau in X=G1-G2, where G1 is treated as a missing data (G1, G2 are independent gamma with shape tau) -- Nima
Tuesday, May 06, 13:15
Current Business Update
Publication goals
Stat seminar -- Hans Nyquist(?)
Teaching update -- Experimental Design from Farrukh
Research progress report
``Spatial models for economic linkages and risks of spillover'': discussion of the paper (continued).
Discussion of the master thesis ``A Novel Estimation Method Based on Maximum Likelihood
'' by Mobarak Hossain (under supervision of Tomasz J. Kozubowski), Department of Mathematics and Statistics, University of Reno
Work on relation between Jensen and Lunde 2001 and our model (continued)
EM algorithm for estimating tau in X=G1-G2, where G1 is treated as a missing data (G1, G2 are independent gamma with shape tau) -- Nima
Wednesday, April 30, 13:15
Current Business Update
Seminar series -- the 14th and 21st of May, Stefan Mazur, Hans Nyquist.
Account of the conversation with Igor Rychlik on some future research projects:
Wind and significant wave field joint stochastic field models accounting for dynamics and cross-dependence -- possible collaboration topic with Farrukh
Data for the stationary asymmetric Laplace model with the AR gamma variance -- continuation of work with Igor and Nima
Nima's past papers
``Spatial models for economic linkages and risks of spillover'': discussion of the paper -- Spatial economics papers and books (introductory level) can be find in our Dropbox.
Work on relation between Jensen and Lunde 2001 and our model: White Board Shot
Nima will work out the EM algorithm for estimating tau in X=G1-G2, where G1 is treated as a missing data (G1, G2 are independent gamma with shape tau)
``Autoregressive Gamma processes'' by Christian Gourieroux, Joann Jasiak -- discussion of reference search -- the papers and books are in our Dropbox folder.
Tuesday, April 22, 13:15
Current Business Update
Seminar series
Nima's past papers
Planning paper readings on: ``Spatial models for economic linkages and risks of spillover'': organizing the papers in the dropbox folder and deciding which are worth reading.
Introduction to the paper: A spatial analysis of international stock market linkages by
Hossein Asgharian, Wolfgang Hess Lu Liu White Board Shot
Farrukh will prepare some further details on measures of integrations
Nima will prepare some further details on control (explanatory) variables
Krys will prepare some further details on the model
Nima will work out the EM algorithm for estimating tau in X=G1-G2, where G1 is treated as a missing data (G1, G2 are independent gamma with shape tau)
Derivation of conditional distribution of gamma given generalized Laplace (presentation by Farrukh and Krys).
Tuesday, April 15, 10:15
Current Business Update
Checking on the stat seminar speakers: Nyquist, Hans (contact him Farrukh); Asger Lunde (contact Economics Department Krys); Patrik Waldmann [patrik.waldmann@liu.se] (contact him Nima, mention Krys that he asked him before);
Adding information about Additional Topics of Interests: Big Data, Statistical Machine Learning, Data Mining, Visualization Techniques, (Krys done it)
Review of teaching responsibilities: Design of Experiment (for Math Stat by Farrukh), Financial Statistics (reviving this course with more applied flavour, Aleksey Kolokolov, plus our help), Data Mining (change to a simpler book by the same authors), Risk Theory in Financial Markets (to talk about this), discussion with Math Stat about the joint Master Program (including Biostatistics), What about Baysian statistics? (Nima and Farrukh should enlist to the Bayesian e-mail list).
Courses to take by Nima (Statistical Inference, Spring 2015; Monte Carlo methods for stochastic inference, First Fall 2014; Financial Statistics Second Fall 2014)
Farrukh's report on the joint work on volatility models: Discussion of the leverage effect Part 1
Nima's report on the joint work on genearlized asymmetric Laplace stationary time series
Slepian model for Laplace moving averages at extreme crossing values (continuation of work with Jonas Wallin and Igor Rychlik)
Some ideas from the board: Board 1, Board 2, Board 3, Board 4, Board 5, Board 6
Spectral representation for Laplace moving averages (work with Anastassia Baxevani)
Spatial temporal models for satelite data on significant wave heights (with Igor Rychlik)