AGM

Conference on non-stationarity

04.06.2018 - 06.06.2018

                     

 

Conference on non-stationarity

June 4-6 2018

organised thanks to the help of

IEA, Labex MME-DII, ANR Elitisme, SAMM Paris 1, Cdiscount

Time series methods are traditionally used for modeling data observed over time. These methods have been successfully applied to various scientific disciplines, including finance, environmentrics, risk management, medicine and others. A crucial assumption underlying most time series methods is that of stationarity. Stationarity implies that the long-term behavior of the process is stable and enables deriving ergodic theorems which are important tools for studying properties of estimators such as their asymptotic behavior.

The aim of this conference is to bring together scientists to discuss models and methods that are not based on the assumption of stationarity. Towards this goal, the conference will not be limited to local stationary models (in the sense of Dahlhaus). Other important topics will be covered such as nonstationary periodic models, inclusion of covariates and regression modeling based on shape constraints. In addition, we will bring together scientists from applied fields to show the wide applicability of the new methodology. The following speakers, who have already agreed to give a talk, have eminent contributions to this rapidly developing field : Jean Marc Bardet, Arnaud Belletoile, Rainer Dahlhaus, Didier Dacunha-Castelle, Herold Dehling, Anna Dudek, Gilles Durrieu, Konstantinos Fokianos, Pierre Gaillard, Liudas Giraitis, Rainer Höpfner, Emilie Lebarbier, Nikolai Leonenko, Jacek Leskow, Kerlyns Martınez, Guy Mélard, Florence Merlevède, Michael Neumann, Nathalie Picard, Stefan Richter, Mathieu Rosenbaum, François Roueff, Suhasini Suba Rao, Didier Swingedouw, Lionel Truquet, Oliver Wintenberger, Wei Biao Wu

 

As this is clear from the current research activities, a wide part of the statistical activity is related to this central question:

"extending models for non stationary and real life data"

This means that non only local stationarity or monotonic tendencies should be developed, but certainly periods and exogenous data and much more questions need to be taken care of... Both the theoretical aspects and applied issues will be considered. Many theoretical and computational developments of this important question are now on progress, check e.g. https://www.researchgate.net/project/non-stationarity ,

https://www.linkedin.com/pulse/conference-nonstationarity-paul-doukhan/?trackingId=BVLZboU8ZaCY2146iRyOsg%3D%3D

 

 "The precise schedule of the conference is attached below:"

«confProgram.pdf»

 

The following interface allows a reader to online registration, participants are offered the possibility to get a lunch buffet (details to be announced and registration is mandatory)





Days of presence (Multiple choice) 
Participation to the lunch buffet (details to be announced) 
Partipation to the conference dinner (details to be announced) - June 5
Registration will close May 20

In case of any question please contact paul.doukhan @ u-cergy.fr or jennifer.denis@u-cergy.fr (jennifer.denis @ u-cergy.fr)

Applications will be related to various questions: 

  1. Corals reefs vivacity and its relation to the main question of non stationarity, the global warming problem are a main question; the extreme biological diversity of corals makes useful to develop high dimensional non-stationary time series models
  2. Astronomical data sets are often supposed to fit a long range dependent model, but definitely alternative nonstationary models should be checked too.
  3. e-commerce admit analogue high dimensional needs that corals in point 1). Prediction of such high dimensional data models need to be performed and periodic behaviours are patent here.
  4. Economy, financial or actuarial data have analogously periodic behaviours. In the field of economy one may also think of electricity consumption, also subject to pics and trends.
  5. For biology or genomic nonstationary behaviours are also relevant, eg for modelling DNA chains.
  6. In the area of mechanic, cyclo-stationarity considered natural for models of gearing also include periodic data sets.

Previsional list of talks

Jean Marc Bardet, University Paris 1 Panthéon-Sorbonne. Non-parametric estimation of time varying AR(1)–processes with local stationarity and periodicity.

Rainer Dahlhaus, Heidelberg University. Towards a general theory for non-linear locally stationary processes.

Didier Dacunha-Castelle. University Orsay. Stationarity from the data viewpoint; the case of climatology.

Anna Dudek, AGH University of Science and Technology, Krakow, Poland. Bootstrap for almost cyclostationary processes with jitter effect.

Gilles Durrieu, University of Nouméa. Environmental modeling related to water quality monitoring, corals and the global warming.

Konstantinos Fokianos, Cyprus and Cergy-Pontoise Universities. On integrated L1 convergence rate of an isotonic regression estimator for multivariate observations.

Pierre Gaillard, INRIA Paris. Aggregation technique for forecasting the energy markets.

Liudas Giraitis, Queen Mary University of London. indiference on time series with mean and variance.

Bruno Goutorbe, CDiscount, Bordeaux. Nonstationary problems for online retail.

Reinhard Höpfner, University of Mainz. Ergodicity and limit theorems for degenerate diffusions with time periodic drift.

Emilie Lebarbier, AgroParisTech, INRA, Université Paris-Saclay. Change-point detection: some segmentation methods and applications.

Jacek Leskow, Krakow University. Functional approach in the analysis of cyclostationary processes.

Kerlyns Martınez, Valparaiso University. Calibration on Lagrangian turbulent flow models.

Guy Mélard, Université libre de Bruxelles. Time series models with time dependent coefficients.

Florence Merlevède, University of Marne la Vallée. A functional CLT under nonstationarity.

Michael Neumann, Jena University. Absolute regularity of semi-contractive GARCH-type processes.

Nathalie Picard, University Cergy Pontoise. Non stationarity in HMM models.

Stefan Richter, Heidelberg University. Simultaneous inference for locally stationary processes.

Mathieu Rosenbaum, Polytechnique, Saclay. Inhomogeneous Hawkes processes.

François Roueff, TELECOM Paris-Tech. Time-frequency analysis of locally stationary Hawkes processes.

Suhasini Suba Rao, Texas A&M University. test for spatial stationarity for irregular sampled spatial data.

Didier Swingedouw, University of Bordeaux. Fresh news from the global warming and climate variability.

Lionel Truquet, ENSAI Rennes. A perturbation analysis of some Markov chains models with time-varying parameters.

Oliver Wintenberger, University Paris 6. Contrast estimation of non-stationary infinite memory models involving coupling techniques.

Wei Biao Wu, University of Chicago. Gaussian approximation for non-stationary time series.

 

Suggested hotels:

https://www.campanile.com : 8 rue Pierre de Coubertin 95300 Pontoise, tel. +33 1 30 38 55 44

http://www.mercure.com/fr/france/index.shtml : 3 rue des chênes émeraude 95000 Cergy, tel. +33 1 34 24 94 94

Paul Doukhan
paul.doukhan @ u-cergy.fr

The organization committee is :

Paul Doukhan doukhan@u-cergy.fr (doukha @ u-cergy.fr),

Eva Loecherbach eva.loecherbach @ u-cergy.fr,

Jean-Luc Prigent prigent @ u-cergy.fr,

Nathalie Picard nathalie.picard @ u-cergy.fr,

Joseph Rynkiewicz Joseph.Rynkiewicz@univ-paris1.fr

Jennifer Denis jennifer.denis @ u-cergy.fr

 

The conference will be at IEA on June 4-5 «Site_MIR.pdf» and in the site les chênes (June 6) salle de conférences «Site_Chenes.pdf»

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