Montag, 24. April 2023, 16:45 - 17:45 iCal

ISOR Colloquium

"Some statistical inference results for interacting particle models in a mean-field limit."

Speaker: Marc Hoffmann (Université Paris-Dauphine, France)

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

Vortrag

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We propose a theoretical statistical analysis for systems of interacting diffusions, possibly with common noise and/or degenerate diffusion components, in a mean-field regime. These models are more or less widely used in finance, MFG, systemic risk analysis, behaviourial sociology or ecology. We consider several inference issues such as: i) nonparametric estimation of the solution of the underlying Fokker-Planck type equation or the drift of the system ii) testing for the interaction between components iii) estimation of the interaction range between particles.

This talk is based on joint results with C. Fonte and L. Della Maestra.

Underlying paper : arxiv.org/abs/2011.03762 (with L. Della Maestra)

 

The talk also can be joined online via ZOOM: univienna.zoom.us/j/62551129418

Meeting room opens at: April 24, 2023, 4.30 pm Vienna

Meeting ID: 625 5112 9418

Password: 048612

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 Montag, 06. Februar 2023, 15:12
Letzte Änderung am Mittwoch, 05. April 2023, 16:11