Harmonizable
Fractional Stable Motion: simultaneous estimators for both parameters
Date: 8 August 2023, Tuesday
Time: 1pm AEST
Statistics
and Stochastic colloquium (part of the Colloquium Series of the
Department of Mathematics and Statistics) at La Trobe University jointly
organized with the Kyushu - La Trobe
Seminar.
Contact the organizers: Andriy Olenko a.olenko@latrobe.edu.au
Speaker: Prof
Antoine Ayache (Lille University, France)
Abstract:
There are two classical very different extensions of the well-known Gaussian fractional Brownian motion to non-Gaussian frameworks of heavy-tailed stable distributions: the harmonizable fractional stable motion (HFSM) and the linear fractional stable motion (LFSM). As far as we know, while several articles in the literature, some of which appeared a long time ago, have proposed statistical estimators for the parameters of LFSM, no estimator has yet been proposed in the framework of HFSM. Among other things, what makes statistical estimation of parameters of HFSM to be a difficult problem is that, in contrast to LFSM, HFSM is not ergodic. The main goal of our talk is to propose a new strategy for dealing with this problem and obtaining solutions of it. The keystone of our new strategy consists in the construction of new transforms of HFSM which allow to obtain, at any dyadic level, a sequence of independent stable random variables.
Zoom meeting link:
https://latrobe.zoom.us/j/6923176607
