The summer school is funded by the European Union's TMR network "Statistical and Computational Methods for the Analysis of Spatial Data. ERB-FMRX-CT96-0096"

The purpose of this 5 days summer school (September 17-21, 2001), is to bring together senior researchers  on the topic of recent advances in computational methods, with applications to complex statistical problems, like those encountered in econometrics, signal processing and finance, and to introduce Ph.D. students and junior researchers to these methods. The school will be organised in order to meet these two requirements, with courses held in the mornings, advanced talks in the afternoon and round-tables in the evenings. In fact, new methods are currently appearing in the field of computational Statistics which go beyond standard MCMC algorithms, taking advantage of earlier works on importance sampling (auxiliary variables, stratified sampling) and particle systems, the later being mainly studied in probability theory and statistical physics so far. Different simulation methods have also been devised for the analysis of continuous-time stochastic processes, in particular in connection with stochastic differential equations. The applications of these methods in various fields are also undergoing a rapid growth: see for instance the use of particle filters in target tracking and image analysis, advanced signal processing, quantitative finance and econometrics.

Presentation | Preliminary Program

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