bayesian-nonparametrics

Bayesian nonparametric modeling of conditional multidimensional dependence structures

Rosario Barone and Luciana Dalla Valle / 2023-05-19

In many real data applications we are often required to model jointly \(d\geq 3\) continuous random variables, denoted as \(Y_1,\dots,Y_d\) . The multivariate distribution, which allows us to describe the joint behaviour of those variables, can be denoted as \(F(Y_1,\dots,Y_d)=P(Y_1\le…

stochastic-differential-equations

Chaotic mixing and the statistical properties of scalar turbulence

Sam Punshon-Smith / 2023-04-10

Passive scalar turbulence is the study of how a scalar quantity, such as temperature or salinity, is transported by an incompressible fluid. This process is modeled by the advection diffusion equation \[\begin{equation} \partial_tg_t + u_t\cdot\nabla g_t - \kappa \Delta g_t =…

webinars

Recent advances in extreme value theory

2023-04-04

Recent advances in extreme value theory Thursday, April 20th, 6:00 PT / 9:00 ET / 15:00 CET Extreme value theory is concerned with the accurate statistical assessment of the risk of rare events. Such extreme events have small occurrence probabilities but often entail large economic and ecological…

financial-mathematics

Log-modulated rough stochastic volatility models

Christian Bayer, Fabian Harang and Paolo Pigato / 2023-03-14

New insights about the regularity of the instantaneous variance obtained from realized variance data (see Gatheral, Jaisson, and Rosenbaum (2018), Bennedsen, Lunde, and Pakkanen (2021, to appear) and Fukasawa, Takabatake, and Westphal (2019)), have inspired the development of so-called rough…

high-dimensional-data

Procrustes Analysis for High-Dimensional Data

Angela Andreella and Livio Finos / 2023-03-02

The Procrustes problem aims to match matrices using similarity transformations (i.e., rotation, reflection, translation, and scaling transformations) to minimize their Frobenius distance. It allows the comparison of matrices with dimensions defined in an arbitrary coordinate system. This method…

webinars

Distribution generalization and causal inference

2023-02-28

Distribution generalization and causal inference Monday, March 20th, 2023, 7:00 PT / 10:00 ET / 15:00 CET 1st joint webinar of the IMS New Researchers Group, Young Data Science Researcher Seminar Zürich and the YoungStatS Project. When & Where: […] Speakers: […] Abstract:…