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UCL-ULB Print
Friday, 07 March 2014, 14:30 - 17:00

14:30-15:30 : Laure Sansonnet, ISBA, UCLouvain

A Model of Poisonian Interactions: Detection of Dependence and Nonparametric Estimation 

Abstract: In this talk, we propose a model of interactions between two point processes, ruled by a reproduction function h, which is considered as the intensity of a Poisson process. In particular, we focus on the context of neuroscience to detect possible interactions between two neurons through their emission of action potentials along the recording time of the cerebral activity. To provide a mathematical answer to this specific problem of neurobiologists, we address so the question of testing the nullity of the intensity h. We construct a multiple testing procedure obtained by the aggregation of single tests based on a wavelet thresholding method. This test has good theoretical properties: it is possible to guarantee the level but also the power under some assumptions. Furthermore, the test is adaptive minimax over weak Besov bodies. The good practical behavior of our testing procedure  will be illustrated by simulations. Finally, theoretical results of nonparametric estimation in this same context will be briefly presented.

16:00-17:00 :  Dominik Liebl, ECARES, ULB

Modelling Electricity Prices as Functional Data on Random Domains

Abstract:  Motivated from the so-called merit-order model, a widely accepted theoretical model for electricity spot prices, we model electricity spot prices as noisy discretization points of a latent functional time series. This leads to a rarely studied phenomenon of functional data with densely sampled discretization points observed on random sub-parts of the original domain. We present in-probability convergence rates for the local linear estimators of the mean and covariance function as well as for the functional principal components. In our application, we present a forecast study and demonstrate that our functional data point of view on electricity prices leads to precise distribution forecasts.

 

 

Location: Plaine , salle des profs , NO9
Contact: BRUYERE Marie-Louise, This e-mail address is being protected from spam bots, you need JavaScript enabled to view it

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