Statistical Methods For High Dimensional Diffusions (STAMFORD)

The project STAMFORD focuses on the statistical analysis of high dimensional observations of diffusion models.

The project at a glance

Start date:

01 Sep 2019
Duration in months:

60
Funding:

European Research Council
Principal Investigator(s):

Mark Podolskij

About

In the past twenty years the availability of vast dimensional data, typically referred to as big data, has given rise to exciting challenges in various fields of mathematics and computer sciences. The increasing need for getting a better understanding of such data in internet traffic, biology, genetics, and economics, has lead to a revolution in statistical and machine learning, optimisation and numerical analysis. The aim of STAMFORD is to provide a concise statistical theory for estimation of high dimensional diffusions. Such high dimensional processes naturally appear in modelling particle interactions in physics, neural networks in biology or large portfolios in economics, just to name a few. The methodological part of the project focuses on novel advanced techniques in mathematical statistics and probability theory.

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