UNIVERSITA' DI SALERNO

Dipartimento di Matematica

AVVISO DI SEMINARIO

 Venerdì 24 febbraio 2023, alle ore 12:30, nella la Sala del Consiglio del Dipartimento di Matematica, edificio F2, livello 1, si terrà il seguente seminario in presenza e online (su Teams):

 Statistical estimation in the models with memory

Gli interessati sono cordialmente invitati a partecipare,         

                                               Antonio Di Crescenzo

                                               Barbara Martinucci

                                               Alessandra Meoli

                                               Serena Spina

Link su Teams: 
https://teams.microsoft.com/l/meetup-join/19%3a6hfHOOIVt89PyLIJDpqXis553z6pgGL9RMiVIQJWO201%40thread.tacv2/1676892505197?context=%7b%22Tid%22%3a%22c30767db-3dda-4dd4-8a4d-097d22cb99d3%22%2c%22Oid%22%3a%2261e4e421-60a6-4cb9-8153-d04cb91c1edf%22%7d

 Abstract

We consider mixed fractional Brownian motion with trend and propose the estimators of all parameters. However, the estimators are constructed in different ways for different parameters.  Then we consider the numerical estimation of the drift parameter in the linear model with two fBms with different Hurst indices. Numerical construction of MLE is reduced to the numerical solution of the Fredholm integral equation of the 2nd kind with a singular kernel.