The Statistics Seminar: Every Monday at 3 pm.
Time: 15:00 – 16:15
Date: 25th of September 2017
Place: Room 3001 (Ensae).
Mathias TRABS (Université de Hambourg) – Volatility estimation for stochastic PDE’s using high-frequency observations.
Abstract :We study the parameter estimation for parabolic, linear, second order, stochastic partial differential equations (SPDEs) observing a mild solution on a discrete grid in time and space. A high-frequency regime is considered where the mesh of the grid in the time variable goes to zero. Focusing on volatility estimation, we provide an explicit and easy to implement method of moments estimator based on the squared increments of the process. The estimator is consistent and admits a central limit theorem. Starting from a representation of the solution as an infinite factor model, the theory considerably differs from the statistics for semi-martingales literature. The performance of the method is illustrated in a simulation study.
This is joint work with Markus Bibinger.
Ce séminaire est organisé par :
Alexandre TSYBAKOV (Laboratoire de Statistique-CREST)
Cristina BUTUCEA (Laboratoire de Statistique-CREST)