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Sébastien FRIES (CREST) “Path prediction of aggregated alpha-stable moving averages using semi-norm representations”

October 18, 10:30 am - 11:30 pm

FINANCIAL ECONOMETRICS SEMINAR

Time: 10:30 am – 11.30 pm
Date:18th of October 2018
Place: Room 3001

Sébastien FRIES (CREST) “Path prediction of aggregated alpha-stable moving averages using semi-norm representations”

Abstract: For (Xt) a two-sided alpha-stable moving average, this paper studies the conditional distribution of future paths given a piece of observed trajectory when the process is far from its central values. Under this framework, vectors of the form Xt = (Xt-m, … , Xt, Xt+1, … , Xt+h), m ≥ 0, h ≥ 1, are multivariate alpha-stable and the dependence between the past and future components is encoded in their spectral measures. A new representation of stable random vectors on unit cylinders -or “unit spheres” relative to adequate semi-norms- is proposed in order to describe the tail behaviour of vectors Xt when only the first m+1 components are assumed to be observed and large in norm. Not all stable vectors admit such a representation and the process (Xt) will have to be «anticipative enough» for the vector Xt to admit one. The conditional distribution of future paths during extreme events can then be explicitly derived using the regularly varying tails property of stable vectors and has a natural interpretation in terms of pattern identification. The approach extends to processes resulting from the linear combination of stable moving averages which feature much richer dynamics and applied to several examples.

 

Organizers:
Jean-Michel ZAKOIAN (CREST )

Sponsors:
CREST and ILB

Location:
Address
 : ENSAE ParisTech
5, avenue Henry Le Chatelier
91120 Palaiseau
How to come?

 

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Date:
October 18
Time:
10:30 am - 11:30 pm
Event Categories:
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