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Last edited on
Feb 06, 2021 by JJ
.

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