UFC
CNRS


Accueil > Équipes > Probabilités et Statistique > Workshops organisés par l’équipe > Workshop on Time Series and Extremes

Workshop on Time Series and Extremes

May 16–17, 2019, Besançon, UFR ST, LmB, salles 316B et 316Bbis

par Dupré Emilie - publié le , mis à jour le

 

The workshop will encompass recent research works on Time Series and Extremes.

A non exhaustive list of subjects covered is :
- time series modelling including long memory, non-causality or discrete value effects ;
- serially dependent extremes and regularly varying time series.

A short course on regularly varying time series will be given by Philippe Soulier.

 

PROGRAM

 

Thursday May 16, 2019

  • 09:30 : Welcome & Coffee
  • 10:00 : Philippe SOULIER (Université Paris Nanterre), Heavy tailed time series : models, limit theorems, estimation of extremal characteristics
  • 11:30 : Christian FRANCQ (Université Lille 3 et CREST), Observation-driven count and duration time series models
  • 12:30 : Lunch
  • 14:00 : François ROUEFF (Telecom ParisTech), About linear and duration-driven long range dependence
  • 15:00 : Jean-Marc BARDET (Université Paris 1 Panthéon-Sorbonne), Local semi-parametric estimation for locally stationary process with infinite memory
  • 16:00 : Coffee break
  • 16:30 : Olivier WINTENBERGER (Sorbonne Université), Extreme Value Theory for the Diagonal BEKK-ARCH(1) Model

 
Friday May 17, 2019

  • 09:00 : Philippe SOULIER (Université Paris Nanterre), Heavy tailed time series : models, limit theorems, estimation of extremal characteristics
  • 10:30 : Coffe break
  • 11:00 : Holger DREES (University of Hambourg), Block based extreme value statistics : disjoint vs moving blocks
  • 12:00 : Anja JANSSEN (Royal Institute of Technology in Stockholm), Dimension and complexity reduction for multivariate and serially dependent extremes
  • 13:00 : Lunch
  • 14:00 : Anne PHILIPPE (Université de Nantes), Testing for long memory in panel random-coefficient AR(1) data
  • 15:00 : Jean-Michel ZAKOIAN (CREST), Mixed Causal-Noncausal AR process and the modeling of bubbles

 
Organizers : Yacouba BOUBACAR MAINASSARA and Clément DOMBRY
Information booklet (detailed program, abstracts)

 


The Workshop is part of the project "Les Conférences du LMB".