Stochastic Differential Equations (SDEs), with applications to spatio-temporal statistics

The group met on Mondays from 3.00 – 4.00pm in Cockins Hall, Room 240.

Schedule:

1. Mon 26 Jan: Planning meeting
2. Mon 9 Feb: Lecture 1 – Stochastic differential equations – introduction and background (Radu Herbei)
3. Mon 23 Feb: Lecture 2 – SDEs and SPDEs (Radu Herbei)
4. Mon 9 Mar: 3 faculty/student talks:
   1. Qingying Shu, from the University of Glasgow will talk about space weather.
   2. Peter Craigmile: “Heteroscedastic asymmetric spatial processes (HASP)”
   3. Oksana Chkrebtii: “Inference for differential equation models with spatio-temporal discretization uncertainty.”
5. Mon 30 Mar: Radu Herbei will discuss the paper:

   Stochastic partial differential equation based modelling of large space–time data sets,
   Fabio Sigrist, Hans R Kunsch and Werner A. Stahel,
   J. R. Statist. Soc. B (2015) 77, Part 1, pp. 3–33
   It may also to read Section 7.2.4 of Cressie and Wikle (2011), Statistics for Spatio-temporal Data, in preparation for that meeting.

   Here are Radu’s slides.

6. Mon 13 Apr: Oksana Chkrebtii will discuss the paper:

   Lindgren, Rue and Lindstrom (2011),
   An explicit link between Gaussian fields and Gaussian Markov random fields: the stochastic partial differential equation approach,
   JRSS B, 73, 423-498

   Here are Oksana’s slides.

7. Mon 27 Apr: Peter Craigmile will lead a discussion of all the material discussed this semester.