Statistical Inference on Levy measures from discrete observations

Stochastic Analysis Seminar Series

Levy processes are increasingly popular for modelling stochastic process data with jump behaviour. In practice statisticians only observe discretely sampled increments of the process, leading to a statistical inverse problem. To understand the jump behaviour of the process one needs to make inference on the infinite-dimensional parameter given by the Levy measure. We discuss recent developments in the analysis of this problem, including in particular functional limit theorems for commonly used estimators of the generalised distribution function of the Levy measure, and their application to statistical uncertainty quantification methodology (confidence bands and tests). 

Location:
Speaker(s):

Richard Nickl (University of Cambridge)

 

Date:
Monday, March 9, 2015 - 14:15
to 15:15