Prof. Mark Podolskij - Aarhus University
Fri 26 Oct 2018, 15:05 - 16:00
Room 5.10, Bayes Centre

If you have a question about this talk, please contact: Ruben Amoros Salvador (ramoros)

Image for Probabilistic and statistical analysis of the linear fractional stable motion

Joint seminar Probability-Statistics

In this talk we present some recent results on limit theory for high and low frequency observations of a linear fractional stable motion. The probabilistic theory contains some surprising theorems, which are non-ergodic in nature, and thus they make statistical inference more complex. Once we have demonstrated the limit theory, we will turn our attention to statistical estimation of the linear fractional stable motion, which is a three-parameter family. We show consistency and prove some associated central limit theorems for the parameter vector.