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DTSTART:20260329T010000
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DTSTART:20261025T010000
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DTSTART;TZID=Europe/Helsinki:20260611T110000
DTEND;TZID=Europe/Helsinki:20260611T120000
DTSTAMP:20260709T175521
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SUMMARY:Alessandra LUATI (Imperial College\, UK) "On a nu-class of limit-Gaussian distributions"
DESCRIPTION:Finance-Insurance\nTime: 11.00 am\nDate:11th of June  2026\nRoom 3001 \nAlessandra LUATI (Imperial College\, UK) “On a nu-class of limit-Gaussian distributions .” \nAbstract : We discuss a transformation of a Student-t random variable that arises in the field of robust filtering with score-driven models. As a function of the degrees of freedom parameter of the generating Student-t random variable\, here interpreted as a shape parameter\, 1<nu<infinity\, the density of the transformation specifies a class of sub-Gaussian distributions that include a location-scale transformation of a symmetric Beta when nu=1 and the Gaussian as a limit for nu tending to infinity. In some sense\, it can be viewed as a light-tailed counterpart of the Student-t distribution. The density is derived based on its moments\, using Mellin integral transforms. Equivalent representations and reparameterisations are considered. A multivariate version is obtained\, based on the distribution of the quadratic form of independent limit-Gaussian random variables. Applications are outlined\, such as optimal robust filtering with score-driven models\, an area that motivated the derivation of the density\, and volatility modelling. \n  \n  \n
URL:https://crest.science/event/alessandra-luati-imperial-college-uk-t-b-a/
CATEGORIES:Finance-Insurance,Seminars
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