Workshop on Parameter Estimation in

 Continuous Time Models

5-9 December 2005, Edinburgh

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Scientific Programme and Participants

The workshop will begin on Monday 5 December and conclude in the afternoon of 9 December. 

For Timetable click here

For list of  participants click here.

Workshop themes:
  • Applications:  What are the main open challenges which applied scientists would like to see tackled by the mathematical sciences community?
  • Missing Data:  How are continuous time models best fitted to data which is sparse in time?  How can they be evaluated for predictive capability?
  • Filtering, Smoothing and Data Assimilation:  How does parameter estimation interact with other estimation or prediction processes such as nonlinear filtering/smoothing and data assimilation?
  • Efficient Sampling:  What are the most efficient methods for these problems?
  • Mathematical Structures:  What mathematical structures are common to these problems and how can they be combined with statistical methodologies in order to obtain significant impact in the large, heterogeneous and complex problems arising in many applications?
  • Theory of inference for stochastic processes:  The workshop will provide an ideal forum for debate on the various competing methodologies, e.g. computationally intensive methods based on the complete likelihood, vs other important techniques like indirect inference and the use of martingale estimating equations.
Monday 5 December   (Tuesday | Wednesday | Thursday | Friday)
09.00-09.40 Registration
09.45-10.25 Michael Sorensen (Abstract - Word)
Efficient estimation functions for discretely sampled diffusions
10.25-11.00 Coffee - Room 1.27 Mountbatten Building
11.00-11.40 Hans Künsch (Abstract - PDF)
Particle filters for partially observed diffusions
11.45-12.10 Arnaud Doucet (Abstract - Word)
Sequential Monte Carlo methods for optimal filter derivative: application to parameter estimation
12.15-12.40 Christophe Andrieu (Abstract - Word)
On-line simulation based methods for parameter estimation in non-linear non-gaussian state-space model
12.40-14.30 Lunch - Room 1.27 Mountbatten Building
14.30-14.55 Jochen Voss
Filtering/smoothing using SPDEs
15.00-15.25 Paul Fearnhead (Abstract - Word)
Particle filters for partially observed diffusions
15.30-16.15 Coffee/Tea - Room 1.27 Mountbatten Building
16.15-16.40 Torsten Kleinow (Abstract - Word)
Testing parametric models for diffusion processes
16.45-17.10 Adam Kleczkowski (Abstract - Word)
Parameter estimation & prediction for a single epidemic
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Tuesday 6 December
09.00-09.40 Eric Vanden-Eijnden
Extracting low order stochastic models from time series
09.45-10.25 John Maddocks (Abstract - Word)
Extracting parameters for coarse grain models of DNA mechanics from molecular dynamics
10.25-11.00 Coffee
11.00-11.40 Christof Schütte
Parameter estimation in model reduction of metastable complex systems
11.45-12.10 Michael Pitt (Abstract - Word)
Likelihood based inference for diffusion driven state space models
12.15-12.40 Simon Godsill
Bayesian Inference for Levy-driven CARMA processes
12.40-14.30 Lunch
14.30-14.55 Greg Pavliotis (Abstract - Word)
Parameter estimation for SDE's with multiple scales
15.00-15.25 Yvo Pokern
Parameter estimation for partially observed hypoelliptic diffusions
15.30-16.15 Coffee/Tea
16.15-16.40 Ilya Timofeyev (Abstract - Word)
Stochastic mode-reduction for a class of energy conserving systems
16.45-17.10 Kostas Kalogeropoulos (Abstract - Word)
Bayesian inference for stochastic volatility models using time change transformations
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Wednesday 7 December
09.00-09.40 Gareth Roberts (Abstract - Word)
Exact simulation of diffusions
09.45-10.25 Andreas Voss & Karl Christoff Klauer (Abstract - Word)
Diffusion model data analysis in cognitive psychology
10.25-11.00 Coffee
11.00-11.40 Darren Wilkinson (Abstract - Word)
Bayesian inference for nonlinear multivariate diffusion processes, with application to biochemical network dynamics
11.45-12.10 Chris Gilligan
Continuous-time stochastic models applied in plant disease modelling
12.15-12.40 Gavin Gibson
Experimental design for continuous time models
12.40-14.30 Lunch
14.30-14.55 Irina Chis Ster (Abstract - Word)
Estimation of key epidemiological parameters for the 2001 FMD epidemic
15.00-15.25 Eric Renshaw (Abstract - Word)
Space-time growth-interaction processes: inferring structure from partial observations
15.30-16.15 Coffee/Tea
16.15-16.40 Philip O’Neill (Abstract - Word)
Bayesian inference for stochastic epidemic models
16.45-17.10 Osnat Stramer (Abstract - Word)
On simulated likelihood of discretely observed diffusion processes & comparison to closed-from approximation
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Thursday 8 December
09.00-09.40 Mike Christie (Abstract - Word)
Uncertainty quantification in oil reservoir modelling
09.45-10.25 Chris Snyder (Abstract - Word)
Parameter estimation for large atmospherc models
10.25-11.00 Coffee
11.00-11.40 Henry Abarbanel (Abstract - Word)
Generalized synchronization & estimating parameters
11.45-12.10 Andrew Stuart (Abstract - Word)
Sampling conditioned SDEs with application to vacancy diffusion
12.15-12.40 Geir Evensen (Abstract - Word)
Combined parameter and state estimation
12.40-14.30 Lunch
14.30-14.55 Jean Jacod (Abstract - PDF)
Detecting the presence of jumps for discretely observed processes
15.00-15.25 Omiros Papaspiliopoulos (Abstract - Word)
Exact inference for discretely observed diffusion processes
15.30-16.15 Coffee/Tea
16.15-16.40 Jonathan Stroud (Abstract - Word)
Sequential parameter estimation in stochastic volatility models with jumps
16.45-17.10 Nial Friel (Abstract - PDF)
Bayesian model choice for finitely observed diffusion processes
19.30 Workshop Dinner – Scholars Restaurant
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Friday 9 December
09.00-09.40 Nick Polson (Abstract - PDF)
Sequential parameter estimation using Interacting particle systems
09.45-10.25 George Papanicolaou (Abstract - Word)
Volatility surface estimation
10.25-11.00 Coffee - crush area, Mountbatten building
11.00-11.40 Neil Shephard (Abstract - Word)
Robust variation estimation using kernel in financial econometrics
11.45-12.10 Ronnie Sircar (Abstract - Word)
Estimation & calibration of financial market volatility
12.15-12.40 TBA
12.40-14.30 Lunch - main refectory
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2 December
Name Institution
Abarbanel, Henry University of California, San Diego
Andrieu, Christophe University of Bristol
Bello, Iyabo Heriot-Watt University
Beskos, Alex University of Warwick
Boys, Richard University of Newcastle
Cairns, Andrew Heriot -Watt University
Casella, Bruno Università Bocconi
Chis-Ster, Irina Imperial College London
Christie, Mike Heirot-Watt University
Dellaportas, Petros Athens University of Economics and Business
Dittmer, Evelyn Free University, Berlin
Doucet, Arnaud University of Cambridge
Duan, Mark University of Oxford
Evensen, Geir Bergen Research Centre
Fearnhead, Paul University of Lancaster
Friel, Nial University of Glasgow
Gibson, Gavin Heriot-Watt University
Gilligan, Chris University of Cambridge
Godsill, Simon University of Cambridge
Griffin, Jim Warwick University
Huisinga, Wilhelm Free University of Berlin
Jacod, Jean Université Pierre et Marie Curie
Kalogeropoulos, Kostas Athens University of Economics and Business
Klauer, Karl Christoph University of Freiburg
Kleczkowski, Adam University of Cambridge
Kleinow, Torsten Heriot-Watt University
Künsch, Hans ETH Zurich
Lord, Gabriel J Heriot-Watt University
Maddocks, John EPFL Switzerland
Olhede, Sofia Imperial College London
O'Neill, Philip University of Nottingham
O'Sullivan, Alannah Heriot-Watt University
Papanicolaou, George Stanford University
Papaspiliopoulos, Omiros Lancaster University
Pavliotis, Greg Imperial College London
Pinski, Frank J University of Cincinnati
Pitt, Mike University of Warwick
Pokern, Yvo University of Warwick
Polson, Nick University of Chicago
Renshaw, Eric University of Strathclyde
Roberts, Gareth University of Lancaster
Schütte, Christof Free University of Berlin
Shephard, Neil University of Oxford
Sircar, Ronnie Princeton University
Snyder, Chris National Centre for Atmospheric Research
Sørensen, Michael University of Copenhagen
Stramer, Osnat University of Iowa
Streftaris, George Heriot-Watt University
Stroud, Jonathan University of Pennsylvania
Stuart, Andrew University of Warwick
Timofeyev, Ilya University of Houston
Vanden-Eijnden, Eric Courant Institute & IAS
Voss, Jochen University of Warwick
Voss, Andreas University of Freiburg
Wilkinson, Darren University of Newcastle
Yang, Gary University of Cambridge

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