Virtualconference
H Likelihood-based estimation, model selection, and forecasting of integer-valued trawl processes
Auteurs : Veraart, Almut (Auteur de la Conférence)
CIRM (Editeur )
CIRM (Editeur )
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- Bennedsen, M., Lunde, A., Shephard, N., & Veraart, A. E. D. (2020). Likelihood-based estimation, model selection, and forecasting of integer-valued trawl processes. Work in progress. -
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Résumé :
The class of integer-valued trawl processes has recently been introduced for modelling univariate and multivariate integer-valued time series with short or long memory.
In this talk, I will discuss recent developments with regards to model estimation, model selection and forecasting of such processes. The new methods will be illustrated in an empirical study of high-frequency financial data.
This is joint work with Mikkel Bennedsen (Aarhus University), Asger Lunde (Aarhus University) and Neil Shephard (Harvard University).
In this talk, I will discuss recent developments with regards to model estimation, model selection and forecasting of such processes. The new methods will be illustrated in an empirical study of high-frequency financial data.
This is joint work with Mikkel Bennedsen (Aarhus University), Asger Lunde (Aarhus University) and Neil Shephard (Harvard University).
Codes MSC :
37M10
- Time series analysis
60G10
- Stationary processes
60G55
- Point processes
62F99
- None of the above but in this section
62M10
- Time series, auto-correlation, regression, etc.
62P05
- Applications to actuarial sciences and financial mathematics
Ressources complémentaires :
https://www.cirm-math.fr/RepOrga/2233/Slides/Veraart_TrawlTalk_Sep2020.pdf
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Informations sur la Vidéo
Réalisateur : Hennenfent, GuillaumeLangue : Anglais Date de publication : 09/10/2020 Date de captation : 17/09/2020 Collection : Research talks ; Probability and Statistics Durée : 00:41:35 Domaine : Probability & Statistics Audience : Chercheurs ; Doctorants , Post - Doctorants Download : https://videos.cirm-math.fr/2020-09-17_Veraart.mp4 
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Informations sur la Rencontre Virtuelle
Nom de la rencontre : New Results on Time Series and their Statistical Applications / Séries chronologiques: nouveaux résultats et applications statistiquesOrganisateurs de la rencontre : Bardet, Jean-Marc ; Eckley, Idris ; Fokianos, Konstantinos ; Neumann, Michael H. ; Philippe, Anne Dates : 14/09/2020 - 19/09/2020 Année de la rencontre : 2020 URL Congrès : https://conferences.cirm-math.fr/2233.html
Citation Data
DOI : 10.24350/CIRM.V.19655203Cite this video as: Veraart, Almut (2020). Likelihood-based estimation, model selection, and forecasting of integer-valued trawl processes.CIRM . Audiovisual resource. doi:10.24350/CIRM.V.19655203 URI : http://dx.doi.org/10.24350/CIRM.V.19655203 |
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