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Events

Online Mini-Сourse «Distributions and Moments: Determinacy, Limit Theorems, Inference»

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Laboratory of Stochastic Analysis and its Applications invites you to the mini-course «Distributions and Moments: Determinacy, Limit Theorems, Inference» which will be lectured by professor Jordan Stoyanov (Honorary Professor at Bulgarian Academy of Sciences, Sofia, Bulgaria; Visiting Professor at Shandong University, China)

Time: November 23 – November 27, 6-9pm

Schedule of the mini-course:

November 23: distributions, moments, bounds, problem of moments, determinacy (M-det), indeterminacy (M-indet), normal distribution, Chebyshev-Markov CLT, Cramer’s condition  (m.g.f.),  lognormal distribution.

November 24: shape of distributions, empirical moments, general picture, Stieltjes classes for M-indet distributions, index of dissimilarity, distributional equations, characterizations via moments.

November 25: checkable conditions, Carleman criterion for determinacy, Krein criterion for indeterminacy,   Hardy’s condition, rate of growth of the moments, Pedersen’s condition, functional transformations of random data (Box-Cox), converse conditions, Lin’s condition.

November 26: Frechet–Shohat limit theorem via convergence of the moments, limit theorem via cumulants (semi-invariants), multivariate distributions, random sums of random variables, random products.

November 27: inference problems,  identifiability of stochastic models, moments in stochastic financial models and actuarial sciences, moments for option pricing, moment properties of stochastic processes, challenging open questions, feedback from participants. 

Zoom link: https://zoom.us/j/99115665136

Working language – English.

For more information, please, contact the lab manager Anna Belykh (abelykh@hse.ru)