Seminar (WS 2018/19)

Stochastic processes

Time and location of the seminar:

Tuesday 14:15-15:45, MΛTHEMΛTIKON, INF 205, 4th floor, SR 8

Contact:

Xavier Loizeau <loizeau[at]math.uni-heidelberg.de>

Jan JOHANNES <johannes[at]math.uni-heidelberg.de>

Questions, please directly by email or by using the contact form.

Seminar program:

Talk	Subject
	Preliminaries
1.	Stochastic process
2./3.	Real-valued times series
4.	Banach space valued random variables
5.	Hilbert space valued random variables
6.	Sequences of random variables in Banach spaces
7.-9.	Autoregressive Hilbertian process ARH(1)
10./11.	Estimation for ARH(1)
12.	ARH(p)
13.	Autoregressive processes in Banach spaces
14.	General linear processes
15.	Estimation of autocorrelation operator

Literature:

Bosq, Linear processes in function spaces, Springer, Lecture Notes in Statistics 149, 2000.

Brockwell and Davis, Introduction to Time Series and Forecasting, Springer Texts in Statistics, 2002.

Klenke, Probability theory. A comprehensive course, Springer, 2008.

Language:

The seminar will be in English
if there is at least one non-German speaking participant.
Otherwise the presentations can be in German.

Area:

Applied Mathematics, Stochastics

Please register for the seminar by using MÜSLI.

Requirements:

Probability theory I

Preliminary discussion:

Tuesday, October 16th, 2018, 14:15,
MΛTHEMΛTIKON, INF 205, 4th floor, SR 8