Workshop on Dependence, Stability, and Extremes

May 2 - 6, 2016, The Fields Institute

Location: Fields Institute, Room 230

Overview

This workshop seeks to present recent results in the areas related to heavy tails, extremes and dependence. As such, in the scientific presentations we are aiming to cover the following subjects:

Weak convergence for heavy tailed dependent processes and time series;
Stationary and stable processes;
Stable random fields;
Regular variation and heavy tails;
Complex stochastic systems: Random matrices and random networks with heavy tails.

The workshop will feature 4 expository lectures by Gennady Samorodnitsky and Clément Dombry, and will also include approximately 20 talks by well-established or young researchers, open problem sessions, and a poster session.

Schedule

Monday, May 2nd, 2016
09:00 to 10:20	Expository Lecture 1: Measuring dependence in heavy tailed processes Gennady Samorodnitsky, Cornell University
10:50 to 11:30	Applications of distance correlation to time series Richard Davis, Columbia University
11:30 to 12:10	Locally stationary Hawkes processes François Roueff, LTCI
13:45 to 14:25	Non-Skorokhodian functional convergence for dependent heavy-tailed models Adam Jakubowski, Nicolaus Copernicus University
14:25 to 15:05	Joint sum-max stability and continuous time random maxima Peter Scheffler, University of Siegen
15:05 to 15:45	Tail process and its role in limit theorems Bojan Basrak, University of Zagreb
16:15 to 17:45	Open problem session with poster session

Tuesday, May 3rd, 2016
09:00 to 10:20	Expository Lecture 2: Measuring dependence in heavy tailed processes Gennady Samorodnitsky, Cornell University
10:50 to 11:30	Isomorphism identities for infinitely divisible processes with some applications Jan Rosinski, University of Tennessee
11:30 to 12:10	Random locations of periodic stationary processes Yi Shen, University of Waterloo
13:45 to 14:25	Behavior of the generalized Rosenblatt process at extreme critical exponent values Murad Taqqu, Boston University
14:25 to 15:05	Operator-scaling random ball model Hermine Biermé, Poitiers University
15:05 to 15:45	From infinite urn schemes to decompositions of self-similar Gaussian processes Olivier Durieu, Université de Tours
16:15 to 17:45	Panel Discussion

Wednesday, May 4th, 2016
09:00 to 10:20	Expository Lecture 1: A guided tour in the theory of max-stable processes Clement Dombry, Université de Franche-Comté
10:50 to 11:30	The eigenvalues and eigenvectors of the sample covariance matrix of heavy-tailed multivariate time series Thomas Mikosch, University of Copenhagen
11:30 to 12:10	The tail empirical process of regularly varying functions of geometrically ergodic Markov chains Olivier Wintenberger, University of Copenhagen
13:45 to 14:25	Some connections between max-stable processes, random sets and risk measures with applications to the argmax set in continuous choice models Kirstin Strokorb, University of Mannheim
14:25 to 15:05	Marginal standardization of upper-semicontinuous processes, with applications to max-stable processes Anne Sabourin, Centre national de la recherche scientifique (CNRS) and Paris-Saclay University
15:05 to 15:45	Bayesian inference for multivariate extreme value distributions Sebastian Engelke, Ecole Polytechnique Fédérale de Lausanne
16:15 to 17:45	Poster Session/Reception

Thursday, May 5th, 2016
09:00 to 10:20	Expository Lecture 2: A guided tour in the theory of max-stable processes Clement Dombry, Université de Franche-Comté
10:50 to 11:30	Multivariate Regular Variation of In- and Out-Degree in a Network Growth Model Sidney Resnick, Cornell University
11:30 to 12:10	Multivariate regular variation: asymptotic full and strong dependence
13:45 to 14:25	Excursion probabilities of Gaussian vector fields Yimin Xiao, Michigan State University
14:25 to 15:05	Confidence regions for exceedance sets of large geostatistical data sets Joshua French, University of Colorado Denver
15:05 to 15:45	Limit theorems for Betti numbers of extreme sample clouds Takashi Owada, Technion-Israel Institute of Technology
16:15 to 17:45	Panel Discussion

Friday, May 6th, 2016
09:00 to 09:40	The diameter of a random elliptical cloud Philippe Soulier, Université Paris Ouest Nanterre
09:40 to 10:20	Stability of point process, regular variation and branching random walk Rajat Subhra Hazra, Indian Statistical Institute, Bangalore
10:50 to 11:30	Dependent functional data Piotr Kokoszka, Colorado State University
11:30 to 12:10	Climate data: long range dependent or nonstationary? Mark M Meerschaert, Michigan State University

Coffee Break: 10:20-10:50 AM (Mon-Fri)
Lunch: 12:10-1:45 PM (Mon-Fri)
Coffee Break: 3:45-4:15 PM (Mon-Fri)

Abstracts

To view all abstracts, please see this PDF.

Location: Fields Institute, Room 230

Invited speakers

Bojan Basrak, University of Zagreb, Croatia
Hermine Biermé, Université de Poitiers, France
Bikrajmit Das, Singapore University of Technology
Richard Davis, Columbia University, United States
Clément Dombry, Université de Franche-Comté, France
Olivier Durieu, University of Tours, France
Sebastian Engelke, University of Lausanne, Switzerland
Rajat Subhra Hazra, Indian Statistical Institute, Kolkata, India
Henrik Hult, KTH, Sweden
Adam Jakubowski, Mikolaj Kopernik University, Torun, Poland
Piotr Kokoszka, Colorado States, United States
Mark Meerschaert, Michigan State University, United States
Thomas Mikosch, University of Copenhagen, Denmark
Takashi Owada, Technion-Israel Institute of Technology, Israel
Sidney Resnick, Cornell University, United States
François Roueff, Telecom ParisTech, France
Jan Rosinski, University of Tennessee, United States
Anne Sabourin, Telecom ParisTech, France
Gennady Samorodnitsky, Cornell University, United States
Hans-Peter Scheffler, University of Siegen, Germany
Kristin Strokorb, University of Mannheim, Germany
Yi Shen, University of Waterloo, Canada
Murad Taqqu, Boston University, United States
Olivier Winterberger, University of Copenhagen, Denmark
Yimin Xiao, Michigan State University, United States

Registered Participants

Name	Affiliation
ALEX KWAME APPAH	GEWAH NURSING COLLEGE
Shuyang Bai	Boston University
Raluca Balan	University of Ottawa
Bojan Basrak	University of Zagreb
Harald Bernhard	Singapore University of Technology and Design
Shrijita Bhattacharya	University of Michigan
Hermine Biermé	Poitiers University
Clemonell Lord Baronat Bilayi-Biakana	University of Ottawa
Yeonok Cho	UAB
Gabriela Ciolek	Université Paris Ouest Nanterre La Défense
Richard Davis	Columbia University
Clement Dombry	Université de Franche-Comté
Olivier Durieu	Université de Tours
Sebastian Engelke	Ecole Polytechnique Fédérale de Lausanne
Metin Eroglu	Michigan State University
Emily Fischer	Cornell University
Joshua French	University of Colorado Denver
Rajat Subhra Hazra	Indian Statistical Institute, Bangalore
Johannes Heiny	University of Copenhagen
Adam Jakubowski	Nicolaus Copernicus University
ALPHA AMADU JALLOH
Paul Jung	UAB
Michael Kateregga	University of Cape Town
Peter Kern	Heinrich-Heine-University Düsseldorf
Piotr Kokoszka	Colorado State University
Rafal Kulik	University of Ottawa
Lizhen Lin	University of Texas at Austin
Kyle MacDonald	McMaster University
Yixiang Mao	Harvard University
Kirill Mayorov	Royal Bank of Canada
Mark M Meerschaert	Michigan State University
Thomas Mikosch	University of Copenhagen
Takashi Owada	Technion-Israel Institute of Technology
Hrvoje Planinić	University of Zagreb
Sidney Resnick	Cornell University
Jan Rosinski	University of Tennessee
François Roueff	LTCI
Anne Sabourin	Centre national de la recherche scientifique (CNRS) and Paris-Saclay University
Becem Saidani	University of Ottawa
Gennady Samorodnitsky	Cornell University
Enrico Scalas	University of Sussex
Peter Scheffler	University of Siegen
Jie Shen	University of Waterloo
Yi Shen	University of Waterloo
Maryam Sohrabi	University of Ottawa
Philippe Soulier	Université Paris Ouest Nanterre
Evgeny Spodarev	Ulm University
Stilian Stoev	University of Michigan
Peter Straka	UNSW Australia
Kirstin Strokorb	University of Mannheim
Julian Sun	Cornell University
Murad Taqqu	Boston University
Charles Tillier	Université Paris-Ouest Nanterre la Défense
Eddie Tu	University of Tennessee, Knoxville
Tiandong Wang	Cornell University
Yizao Wang	University of Cincinnati
Phyllis Wan	Columbia University
Olivier Wintenberger	University of Copenhagen
Yimin Xiao	Michigan State University
Fan Yang	University of Waterloo
Na Zhang	University of Cincinnati
Xiaoqi Zhang	State University of New York at Buffalo
Yuwei Zhao	Université catholique de Louvain

Funding application form

Organizing Committee

Raluca Balan - University of Ottawa

Rafal Kulik - University of Ottawa

Philippe Soulier - Université Paris Ouest Nanterre

Stilian Stoev - University of Michigan

Yizao Wang - University of Cincinnati

The Fields Institute for
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Workshop on Dependence, Stability, and Extremes

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Registered Participants

Organizing Committee

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