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Distributions of quadratic functionals of the fractional Brownian motion based on a martingale approximation
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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:
Erin Saunders,
Anne Pouliquen,
Melis Clark
