Montag, 30. Mai 2022, 16:45 - 17:45 iCal

ISOR Colloquium

"Learning the regularity of curves in functional data analysis and applications"

Speaker: Valentin Patilea (CREST and ENSAI, France)

HS 7 OMP1 (#1.303)
Oskar-Morgenstern-Platz 1, 1090 Wien

Vortrag

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Combining information both within and across trajectories, we propose simple estimators for the local regularity of the trajectories of a stochastic process. Independent trajectories are measured with errors at randomly sampled time points. Non-asymptotic bounds for the concentration of the estimator are derived. Given the estimate of the local regularity, we build a nearly optimal local polynomial smoother from the curves from a new, possibly very large sample of noisy trajectories. We derive non-asymptotic pointwise risk bounds uniformly over the new set of curves. As another application, we build minimax optimal mean and covariance functions estimators. Our estimators perform well in simulations. Real data sets illustrate the effectiveness of the new approaches.

The talk is based on joint work with Nicolas Klutchnikoff and Steven Golovkine.

 

The talk also can be joined online via ZOOM: univienna.zoom.us/j/65646048281

Meeting room opens at: May 30, 2022 4.30 pm Vienna

Meeting ID: 656 4604 8281

Password: 997152

Zur Webseite der Veranstaltung

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Veranstalter

Institut für Statistik und Operations Research

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Kontakt

Sabine Sobotka-Tompits, BA
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38631
sabine.sobotka-tompits@univie.ac.at

Erstellt am Donnerstag, 12. Mai 2022, 14:28
Letzte Änderung am Dienstag, 17. Mai 2022, 12:22