PREDICTION OF TIME SERIES AND NON STATIONARY TIME SERIES

Maison des sciences économiques (Paris 13ème), 10,11 février 2012

Programme

February 10 ^th

10:00-10:45	Eric Moulines TELECOM-Paris	Online Parameter estimation in HMM with application to stochastic volatility
11:10-11:35	Nathanael Mayo CHEVREUX	Context selection for volume forecast- The influence of news on traded volume
11:40-12:25	Michael Neumann Jena	Dependent wild bootstrap for degenerate U- and V -statistics
14:00-14:45	Florence Merlevède Marne la Vallée	On the quenched weak invariance principle under projective criteria
14:50-15:35	Olivier Wintenberger Dauphine	Prediction for uniformly mixing processes (joint work with P. Alquier)
15:40-16:20	Jean Michel Zakoian CREST et Université Lille 3	Testing Strict Stationarity in GARCH Models (joint work with C. Francq)
16:40-17:10	Christine Jacob INRA	Conditional Least Squares Estimation in nonlinear and nonstationary stochastic regression models
17:10-17:40	Matthieu Cornec INSEE	Nowcasting GDP directional change with an application to French business survey data

February 11 th

9:30-10:15	Dragi Anevski Lund	Isotonic regression for time series
10:50-11:35	Emilie Muzereau GDF SUEZ / CEEME	Markov regime switching model for the gas price seasonality
11:40-12:10	Alain Célisse ENS	Kernel change-point detection
12:15-13:00	Yannig Goude EDF	Combining Forecasts for Short Term Load Forecasting
14:30-15:15	Rainer Dahlhaus Heidelberg	Approximations and Expansions for Locally Stationary Processes
15:20-16:05	Herold Dehling Bochum	Nonparametric Change-Point Tests for Long-Range Dependent Data
16:10-17:05	William Kengne Paris 1	A test for parameter change in general causal models