Statistical Inference for Stochastic Processes (Stolz)

SS 2026

 

Lecture:

Tuesday and Friday, 2-4 pm (M5)
Lecturer: PD Dr. Michael Stolz
Contents: We will discuss (possibly a subset of) the following topics:
  • Stationary time series
  • Stochastic calculus brush-up
  • Drift and volatility estimation in diffusions
  • Filtering of partially observed systems
  • Survival and event history analysis
Learnweb: Details will be provided in the first lecture of the course.
Tutorial: tba