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Workshop “Frontiers of High Dimensional Statistics, Optimization, and Econometrics”
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[Spectral estimation for sparse multi-dimensional Lévy processes] Д. В. Беломестный, Е. Ю. Клочков Лаборатория структурных методов анализа данных в предсказательном моделировании при МФТИ (ПреМоЛаб), г. Москва |
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Аннотация: In this talk we present some recent results on the estimation of multidimensional Levy processes observed at random times. $$$$ In particular, the problem of statistical inference for sparse diffusion matrices under the presence of infinite active small jumps well be considered. $$$$ We show how to estimate such matrices in a robust way and derive convergence rates which turn out to be optimal in minimax sense. Язык доклада: английский |
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