Department of Mathematical Sciences.
Division of Statistics and Operational Research
SEMINAR
30 Jan, 2 pm, Whittaker room, M & O Building.
Speaker: Dr.E.J.Collins (University of Bristol)
E-mail: [log in to unmask]
Title: "Average cost reversible Markov decision processes"
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Abstract: Reversible Markov decision processes describe a class of Markov
decision problems where the underlying process forms a reversible Markov
process under every stationary policy. We start by exploiting the structure
of the stationary distribution for such processes to give a simple
characterisation of the optimal policy for average cost problems. From this
we identify an efficient iterative algorithm for numerical solution of
general reversible problems, and qualitative methods for identifying
monotonic optimal policies. Finally, we look at applications, including
standard single server queueing control problems and a simple model for
control of a queue with multiple customer types.
SEMINAR
06 Feb, 2 pm, Whittaker room, M & O Building.
Speaker: Dr.S.Novak (University of Brunel)
E-maul: [log in to unmask]
Title: "Estimating financial risks from dependent data"
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Abstract: Statistics of extremes has been well developed for the case of
independent and identically distributed observations. In a growing number
of financial applications, however, data appears dependent and heavy-tailed.
We deal with problems of tail index, Value-at-Risk (extreme quantile)
and Expected Shortfall estimation from a sample of dependent random
variables. Consistency and asymptotic normality of the corresponding
estimators are established under mild mixing conditions. The accuracy of
estimation is shown to be of the same order as if the data were
independent. An approach to bias reduction is suggested as well.
Besides limit theorems, we present a procedure of practical estimation.
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13 Feb: Dr.H.Beedham (UK Data Archive, Univ. of Essex.) and
Brian Francis (Centre of Applied Statistics at Lancaster)
20 Feb: Mr. A.Ferguson (The University of Liverpool)
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SEMINAR
13 March, 2 pm, Whittaker room, M & O Building.
Speaker: Prof. G.P.Nason (University of Brunel)
E-maul: [log in to unmask]
Title: "Wavelets and texture"
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Abstract: The perceived texture of an image depends on the scale that it is
observed. In this talk we show how wavelet processes can be used to model
and analyse texture. Our wavelet texture models permit the classification
of images based on texture and reveal important information on texture
differences in scale-location-direction. We provide examples, taken from
industry, where wavelet methods have enhanced the classification of images
of hair and fabrics.
Joint work with Idris Eckley, Shell Global Solutions.
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20 March: Dr. S.Olafsson (BT)
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Dr. A.B.Piunovskiy, Division of Stat.& Oper.Res.
Dept. of Mathem.Sci., M & O Building, Peach Street,
The University of Liverpool, Liverpool, L69 7ZL, UK.
Tel.:+44-151-7944737
Fax :+44-151-7944754
E-mail: [log in to unmask]
http://www.liv.ac.uk/maths/SOR/HOME/AB_Piunovskiy.html
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