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DTSTART;TZID=Europe/Helsinki:20221128T140000
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CREATED:20221124T133536Z
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SUMMARY:Angelika Rohde (University of Freiburg) "Sharp adaptive similarity testing with pathwise stability for ergodic diffusions"
DESCRIPTION:Statistical Seminar: Every Monday at 2:00 pm.\nTime: 2:00 pm – 3:15 pm\nDate: 28th of Novembre 2022\nPlace: Room 3001 \nAngelika Rohde (University of Freiburg) “Sharp adaptive similarity testing with pathwise stability for ergodic diffusions” \nAbstract:Within the nonparametric diffusion model\, we develop a multiple test to infer about similarity of an unknown drift $b$ to some reference drift $b_0$: At prescribed significance\, we simultaneously identify those regions where violation from similarity occurs\, without a priori knowledge of their number\, size and location. This test is shown to be minimax-optimal and adaptive. At the same time\, the procedure is robust under small deviation from Brownian motion as the driving noise process. A detailed investigation for fractional driving noise\, which is neither a semimartingale nor a Markov process\, is provided for Hurst indices close to the Brownian motion case. \n  \nOrganizers:\nCristina BUTUCEA (CREST)\, Alexandre TSYBAKOV (CREST)\, Karim LOUNICI (CMAP) \, Jaouad MOURTADA (CREST)\nSponsors:\nCREST-CMAP \n
URL:https://crest.science/event/angelika-rohde-university-of-freiburg-sharp-adaptive-similarity-testing-with-pathwise-stability-for-ergodic-diffusions/
CATEGORIES:Statistics
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