I will be in Venezia for the week-end, for a short break.
I will be in Nice next week. In the context of a ‘PEPS MoMIS’ (Modèles mathématiques et Interactions Sociales) on Dynamique et contrôle du Risque systémique dans les graphes de réseaux financiers, I will be there to work with Romuald Elie and Frédéric Giroire, at Sophia Antipolis.
For the end of this week, I will spend some time in Caen, working with some colleagues.
Monday and Tuesday, the IA | BE Sumer School will take place in Louvain-la-Neuve. This year, the topic is Big data. On Monday, Montserrat Guillén will give a lecture on Pricing and Marketing Insurance in the Digital Era . And on Tuesday, I will give a lecture on Big Data and Machine Learning with an Actuarial Perspective.
After Amsterdam, the next stop is Bruxelles, Belgium. Here again, it is always a pleasure to get there… And then, time to get back home, to finalize some posts, prepare the new lectures, and answer all the late emails I got during those past days…
(illustration par l’immense Yves Chaland, français certes, mais qui a su relancer la ligne claire quand j’étais plus jeune, dans l’esprit des grands belges, comme Franquin… et le Jeune Albert se passe à Bruxelles, alors on va dire que je peux légitimement utiliser un de ses dessins pour illustrer un voyage à Bruxelles).
It is always a please to go to Amsterdam. But I believe it is my first time for summer time.
I will spend the week in København, it should be a lovely week, riding a bike !
On my way to spend a few days in Sweeden, escaping the summer heatwave experienced this week in Berlin
Time for some sort of summer break….
Today, I am flying to Singapore. I will spend a week there, doing some training on data science. I will probably post some codes following discussions we will have there. But before, I will enjoy Singapore. Last time I was there was 15 years ago, and I have the feeling that a lot of things have changed….
This Monday I will be in Lille to give a talk at the Journées de Statistiques. The talk will be based on the joint work with Gery Geenens and Davy Paindaveine, on “Probit transformation for nonparametric kernel estimation of the copula density”. The papier can be found online, on http://arxiv.org/abs/1404.4414
“Copula modelling has become ubiquitous in modern statistics. Here, the problem of nonparametrically estimating a copula density is addressed. Arguably the most popular nonparametric density estimator, the kernel estimator is not suitable for the unit-square-supported copula densities, mainly because it is heavily affected by boundary bias issues. In addition, most common copulas admit unbounded densities, and kernel methods are not consistent in that case. In this paper, a kernel-type copula density estimator is proposed. It is based on the idea of transforming the uniform marginals of the copula density into normal distributions via the probit function, estimating the density in the transformed domain, which can be accomplished without boundary problems, and obtaining an estimate of the copula density through back-transformation. Although natural, a raw application of this procedure was, however, seen not to perform very well in the earlier literature. Here, it is shown that, if combined with local likelihood density estimation methods, the idea yields very good and easy to implement estimators, fixing boundary issues in a natural way and able to cope with unbounded copula densities. The asymptotic properties of the suggested estimators are derived, and a practical way of selecting the crucially important smoothing parameters is devised. Finally, extensive simulation studies and a real data analysis evidence their excellent performance compared to their main competitors.”
The slides are available on Dropbox (it is a 54Mo file with animated pictures, that do not appear on the version below).
Before coming back in France, I will spend a (long) week-end in London !
In the middle of this week, I will also be in Oxford, visiting (briefly) Julien. That will be nice ! Before going to London by the end of the week. And going back to work next week !
Still in the region of Bath, in the UK. Saturday evening, we had a barbecue with Andreas Kyprianou. Among many other things, he mentioned the Stochastic Analysis and Applications research school that will be hosted in Ulan Bator, at the National University of Mongolia, this summer. I mention it here for those who might be interested to go there. The program is simply amazing!
I will flight (if my flight is not cancelled because of the strike) this Friday to go to Bath, to visit Victor Rivero (invited there for a year). It will be nice !… I will spend almost 10 days in the U.K.