Seminar on Probability and Statistics

Seminar information archive ~03/16Next seminarFuture seminars 03/17~

Date, time & place Tuesday 13:00 - 14:10 Room #052 (Graduate School of Math. Sci. Bldg.)


15:00-16:10   Room #270 (Graduate School of Math. Sci. Bldg.)
Arnaud Gloter (Université d'Evry Val d'Essonne)
"Estimating functions for SDE driven by stable Lévy processes"
Joint work with Emmanuelle Clément (Ecole Centrale)
[ Abstract ]
In this talk we will discuss about parametric inference for a stochastic differential equation driven by a pure-jump Lévy process, based on high frequency observations on a fixed time period. Assuming that the Lévy measure of the driving process behaves like that of an α-stable process around zero, we propose an estimating functions based method which leads to asymptotically efficient estimators for any value of α ∈ (0, 2).