Asymptotic Expansions and Large Deviations in Probability and Statistics: Theory and Applications. Statistics is the major enabling science in a number of disciplines. This is fundamental research in probability and statistics but it has wide applications in Biology and Social Sciences which will ultimately be of national benefit. The behaviour of self normalized sums is an exciting new area of fundamental research that has implications for the application of statistics in many areas. U-statist ....Asymptotic Expansions and Large Deviations in Probability and Statistics: Theory and Applications. Statistics is the major enabling science in a number of disciplines. This is fundamental research in probability and statistics but it has wide applications in Biology and Social Sciences which will ultimately be of national benefit. The behaviour of self normalized sums is an exciting new area of fundamental research that has implications for the application of statistics in many areas. U-statistics for dependent situations has direct application to understanding financial time series and the analysis of sample survey data. Saddlepoint methods provide extremely accurate approximations in a number of important applications.
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Empirical saddlepoint approximations and self-normalized limit theorems. Finite population sampling and resampling methods such as the bootstrap and randomization methods are central in a number of areas of application and M-estimates are the major method used to give robust methods under mild conditions; in both these areas statistics are used which are Studentized or self-normalized. We will develop asymptotic approaches for such statistics. Saddlepoint and empirical saddlepoint methods will ....Empirical saddlepoint approximations and self-normalized limit theorems. Finite population sampling and resampling methods such as the bootstrap and randomization methods are central in a number of areas of application and M-estimates are the major method used to give robust methods under mild conditions; in both these areas statistics are used which are Studentized or self-normalized. We will develop asymptotic approaches for such statistics. Saddlepoint and empirical saddlepoint methods will be used to give methods which have second order relative accuracy in large deviation regions and we will obtain limit results and Edgeworth approximations. Emphasis will be on obtaining results under weak conditions necessary for applications.Read moreRead less
Rare Event Simulation with Heavy Tails. The project provides a rigorous way to enhance our understanding of the mechanisms that bring about catastrophic rare events such as urban flooding, electricity shortages and financial bankrupcy. Australia is at the forefront of exciting recent developments in rare event simulation. The advancement of the knowledge in this area will generate a competitive advantage for various sections of the Australian industry, including the areas of industrial reliabili ....Rare Event Simulation with Heavy Tails. The project provides a rigorous way to enhance our understanding of the mechanisms that bring about catastrophic rare events such as urban flooding, electricity shortages and financial bankrupcy. Australia is at the forefront of exciting recent developments in rare event simulation. The advancement of the knowledge in this area will generate a competitive advantage for various sections of the Australian industry, including the areas of industrial reliability, finance and insurance, were accurate simulation techniques are becoming increasingly important.Read moreRead less
Self-Interacting Random Walks. This project aims to study the growth properties of a class of self-interacting processes defined on Euclidean lattices. This project expects to determine whether a shape theorem holds for once-reinforced random walks, and establish conditions for their recurrence/transience. It also expects to obtain new and very precise estimates for the local time of simple random walks. Expected outcomes of this project include solving long-standing open problems in the field o ....Self-Interacting Random Walks. This project aims to study the growth properties of a class of self-interacting processes defined on Euclidean lattices. This project expects to determine whether a shape theorem holds for once-reinforced random walks, and establish conditions for their recurrence/transience. It also expects to obtain new and very precise estimates for the local time of simple random walks. Expected outcomes of this project include solving long-standing open problems in the field of reinforced random walks, and the development of novel methods for their study. This should provide significant benefits not only to the field of mathematics, but also to the myriad of applied disciplines where self-interacting processes are utilised.Read moreRead less
Stein's method for probability approximation. Data of counts in time, such as incoming calls in telecommunications and the clusters of palindromes in a family of herpes-virus genomes, arise in an extraordinarily diverse range of fields from science to business. These problems can be modelled by sums of random variables taking values 0 and 1 in probability theory, thus permitting approximate calculations which are often good enough in practice. This project will obtain such approximate solutions ....Stein's method for probability approximation. Data of counts in time, such as incoming calls in telecommunications and the clusters of palindromes in a family of herpes-virus genomes, arise in an extraordinarily diverse range of fields from science to business. These problems can be modelled by sums of random variables taking values 0 and 1 in probability theory, thus permitting approximate calculations which are often good enough in practice. This project will obtain such approximate solutions and estimate the errors involved. Applications include analysis of data in insurance, finance, flood prediction in hydrology.Read moreRead less
The Mathematical and Philosophical Foundations of Probability. We find probability wherever we find uncertainty: virtually everywhere in our lives. Probability is essential to almost every technology. High-stakes decisions are routinely made on the basis of probability judgments and risk assessment-for example, in engineering, medicine, agriculture, environmental management, urban planning, public policy, public health, the law, and in our national defence. And some of those decisions have been ....The Mathematical and Philosophical Foundations of Probability. We find probability wherever we find uncertainty: virtually everywhere in our lives. Probability is essential to almost every technology. High-stakes decisions are routinely made on the basis of probability judgments and risk assessment-for example, in engineering, medicine, agriculture, environmental management, urban planning, public policy, public health, the law, and in our national defence. And some of those decisions have been made badly because of poor probability estimates-witness the 1986 space shuttle disaster. Our current methodologies for using probability are inadequate. This project will make an important contribution to the collective enterprise of enhancing our understanding of probability and its myriad applications.Read moreRead less
Chromatic polynomials, random graphs, and error-correcting codes: a unified approach to graph colouring problems. Through a unified approach involving cutting-edge results on chromatic polynomials, random graphs, matroids, and error-correcting codes, this project will establish the foundations for a rigorous mathematical framework for attempting to provide a short, transparent and illuminating solution to the Four Colour Problem. The project will support developments in computer science and sta ....Chromatic polynomials, random graphs, and error-correcting codes: a unified approach to graph colouring problems. Through a unified approach involving cutting-edge results on chromatic polynomials, random graphs, matroids, and error-correcting codes, this project will establish the foundations for a rigorous mathematical framework for attempting to provide a short, transparent and illuminating solution to the Four Colour Problem. The project will support developments in computer science and statistical mechanics and is likely to have flow-on effects in real-world disciplines such as network communication. This project will also strengthen Australia's international presence in discrete mathematics and will further strengthen ties between Australian and international mathematicians.Read moreRead less
Financial Risk Processes: Stochastic and Statistical Models and their Applications. On the one hand, the misuse of complex financial instruments has contributed to recent major disasters in the Australian financial and insurance industries; on the other hand, great benefits can be obtained by correct use of these kinds of instruments, to share risk between markets and segments of markets. The overall research effort in Australia in these areas is relatively small. This project will target the de ....Financial Risk Processes: Stochastic and Statistical Models and their Applications. On the one hand, the misuse of complex financial instruments has contributed to recent major disasters in the Australian financial and insurance industries; on the other hand, great benefits can be obtained by correct use of these kinds of instruments, to share risk between markets and segments of markets. The overall research effort in Australia in these areas is relatively small. This project will target the development of cutting edge technologies underlying the use of financial derivatives, not presently studied in this country or elsewhere, by bringing together a variety of top level international researchers in an integrated effort to lift the Australian understanding and application of this methodology.Read moreRead less
Stochastic Analysis with a View to Applications in Financial Risk Processes. Recent decades have seen explosive growth in applications of probability theory and statistics to the modelling of risk in finance and insurance. An intensive theoretical investigation into passage time and other problems for Levy and other continuous time processes will be applied to financial risk analyses. Related investigations will involve perpetuities and stochastic volatility models for price series. Outcomes ....Stochastic Analysis with a View to Applications in Financial Risk Processes. Recent decades have seen explosive growth in applications of probability theory and statistics to the modelling of risk in finance and insurance. An intensive theoretical investigation into passage time and other problems for Levy and other continuous time processes will be applied to financial risk analyses. Related investigations will involve perpetuities and stochastic volatility models for price series. Outcomes will include the development of new theory in probability and statistics, the initiation and reinforcement of collaborative ties with major international research figures, and the fostering of contacts with the finance industry.Read moreRead less
Random Structures and Asymptotics. Discrete random structures have many uses in algorithms in computer science (for instance, random networks modelling computer link-ups), biology (for instance, random sequences modelling DNA) and engineering. New techniques for studying these structures will lead to powerful new results on their properties. The emphasis will be on the behaviour of the random structures when their size becomes large. With the advent of
more powerful computing techniques, it is ....Random Structures and Asymptotics. Discrete random structures have many uses in algorithms in computer science (for instance, random networks modelling computer link-ups), biology (for instance, random sequences modelling DNA) and engineering. New techniques for studying these structures will lead to powerful new results on their properties. The emphasis will be on the behaviour of the random structures when their size becomes large. With the advent of
more powerful computing techniques, it is often the large-scale behaviour which has relevance to the more diffucult computations being undertaken. The results are also of potential application to other areas of mathematics.Read moreRead less