OxTalks is Changing
OxTalks will soon be transitioning to Oxford Events (full details are available on the Staff Gateway). A two-week publishing freeze is expected in early Hilary to allow all events to be migrated to the new platform. During this period, you will not be able to submit or edit events on OxTalks. The exact freeze dates will be confirmed as soon as possible.
If you have any questions, please contact halo@digital.ox.ac.uk
Distributions of quadratic functionals of the fractional Brownian motion based on a martingale approximation
Please sign up for meetings at the link below:
docs.google.com/spreadsheets/d/1f8qVDhJVjjzt1slDbwiEwwKS77Bb4Yk_kg4vCM4ObfI/edit?usp=sharing
Abstract
I discuss some computational problems associated with distributions of statistics arising from the fractional Brownian motion (fBm). In particular, I deal with (ratios of) its quadratic functionals. While it is easy in principle to deal with the standard Bm, the fBm is difficult to analyse because of its non-semimartingale nature. Here I suggest how to derive and compute the distributions of such functionals by using a martingale approximation.
Date:
18 May 2018, 14:15
Venue:
Manor Road Building, Manor Road OX1 3UQ
Venue Details:
Lecture Theatre
Speaker:
Katsuto Tanaka (Gakushuin University)
Organising department:
Department of Economics
Hosts:
Anne Pouliquen (University of Oxford),
Erin Saunders (University of Oxford)
Part of:
Nuffield Econometrics Seminar
Booking required?:
Not required
Audience:
Members of the University only
Editors:
Anne Pouliquen,
Melis Clark,
Erin Saunders
