Carissimi
di seguito trovate l'avviso del seminario:
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AVVISO DI SEMINARIO
Giovedì 30 ottobre, alle ore 12:30, in aula G del Dipartimento di Matematica e Fisica dell'Università della Campania Luigi Vamvitelli, in Viale Lincoln 5, Caserta,
Parameter estimation for one-sided heavy-tailed distributions
Abstract: Stable subordinators have been widely used in the context of subdiffusions, where particles get trapped or immobile in a number of time periods, called constant periods. The lengths of the constant periods follow a one-sided stable distribution
whose first moment does not exist. In this talk, we construct an estimator for the stability index, applying the method of moments to the number of observed constant periods in a fixed time interval. The resulting estimator is asymptotically unbiased and consistent,
and it is well-suited for situations where multiple observations of the same subdiffusion process are available. We present supporting numerical examples and an application to market price data for a low-volume stock. This is joint work with Phillip Kerger.
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Enrica Pirozzi