Variational sums in statistics and probability

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Conférencier : Mark Podolskij
Date de l'événement : mardi 26 février 2019 16:30 - 18:30
Lieu : Université du Luxembourg
Maison du Savoir
MSA 3.520
2, avenue de l’Université
L-4365 Esch-sur-Alzette


Variations are a standard tool in analysis and integration theory. While they are often used to study path properties of a function or to compute the fractional dimension, they are also extremely important in statistics and probability. In this talk we will review some statistical theory for diffusion processes, which is heavily based upon the probabilistic analysis of the so called power variations and their extensions. We will highlight numerous estimating and testing procedures, which gained popularity in financial applications. We further demonstrate possible extensions of the asymptotic theory to fractional models.

Lien: MAST Lecture Series
Fichier : PosterPodoloskij.pdf 441,01 kB
M Podolskij