| title: | Modelling of complex systems by stochastic methods |
|---|---|
| reg no: | SF0182724s06 |
| project type: | targeted financing |
| subject: |
1.2. Applied Mathematics |
| status: | accepted |
| institution: | University of Tartu |
| head of project: | Tõnu Kollo |
| duration: | 01.01.2006 - 31.12.2011 |
| description: | Reseach is focused to the following problems. 1) Investigation of multivariate skewed distributions, their parameter estimation and applications in statistical models. 2) Investigation of linear and general linear models with different covariance structures. 3) Linear models for non-normal data. 4) Construction of efficient estimators for the population and its domains in sample surveys by using auxiliary information. Study of the effect of sampling designs to estimators. 5) Estimation of ruin probabilities and their probabilistic description for different risk processes. 6) Estimation and minimization of financial risks in insurance and in options pricing. 7) Convergence of posterior measures for different posterior measures in asymptotic statistics. 8) Restoring binary code in the case of non-simple random walk. 9) Improved Viterbi training for finding maximum likelihood estimates of the parameters of a hidden Markov chain. 10) Investigation of the asymptotics of the longest joint subsequence of two independent Bernoulli sequencies. |
| project group | ||||
|---|---|---|---|---|
| no | name | institution | position | |
| 1. | Raul Kangro | Tartu University, Faculty of Mathematics and Computer Science | Docent of Financial Mathematics | |
| 2. | Tõnu Kollo | Tartu University, Faculty of Mathematics and Computer Science | Chair Professor of Mathematical Statistics | |
| 3. | Meelis Käärik | Tartu University, Faculty of Mathematics and Computer Science | researcher | |
| 4. | Jüri Lember | Tartu University, Faculty of Mathematics and Computer Science | senior researcher | |
| 5. | Märt Möls | Tartu University, Faculty of Mathematics and Computer Science | lecturer | |
| 6. | Tatjana Nahtman | Tartu University, Faculty of Mathematics and Computer Science | researcher | |
| 7. | Kalev Pärna | Tartu University, Faculty of Mathematics and Computer Science | Professor of Probability Theory | |
| 8. | Ene-Margit Tiit | Tartu University, Faculty of Mathematics and Computer Science | prof emer, 0,5 extraordinary researcher | |
| 9. | Imbi Traat | Tartu University, Faculty of Mathematics and Computer Science | Docent, Associate Professor | |