STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO

Venerdì 18 Ottobre 2019, alle ore 12:00, presso il nuovo edificio del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente seminario:

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Mark PODOLSKIJ (Aarhus University)

OPTIMAL ESTIMATION OF CERTAIN RANDOM QUANTITIES ASSOCIATED WITH LEVY PROCESSES

In this talk we present new ideas on optimality of statistical estimates of certain random quantities of stochastic processes, such as supremum or local times. Despite the existing results on estimation of such objects through high frequency observations, the question of optimality is rarely discussed. We will demonstrate some optimal estimation methods for the supremum and local times of the Brownian motion in the L2 and L1 sense. In the second part of the talk we will investigate how the main ideas can be extended towards the class of Levy processes and continuous diffusion models. (joint work with J. Ivanovs) ------------------------------------------------

Tutti gli interessati sono invitati a partecipare. Il seminario è organizzato dalla "de Castro" Statistics Initiative (www.carloalberto.org/stats http://www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto.

Cordiali saluti, Pierpaolo De Blasi

--- Pierpaolo De Blasi

University of Torino & Collegio Carlo Alberto https://sites.google.com/a/carloalberto.org/pdeblasi/