English
Likelihood-based estimation, model selection, and forecasting of integer-valued trawl processes
Virtualconference
Auteurs : Veraart, Almut (Auteur de la Conférence)
CIRM (Editeur )
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
CIRM (Editeur )
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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).
Codes MSC : 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).
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 Sous collection : Research talks arXiv category : Statistics Theory Domaine : Probability & Statistics Format : MP4 (.mp4) - HD Durée : 00:41:35 Audience : Researchers Download : https://videos.cirm-math.fr/2020-09-17_Veraart.mp4 
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Informations sur la Rencontre
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
Données de citation
DOI : 10.24350/CIRM.V.19655203Citer cette vidéo: 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 |
Voir aussi
- [Multi angle] Testing the existence of moments for GARCH-type processes / Auteur de la Conférence Zakoïan, Jean-Michel.
- [Virtualconference] Reconciling the Gaussian and Whittle Likelihood with an application to estimation in the frequency domain / Auteur de la Conférence Subba Rao, Suhasini.
- [Multi angle] Detecting seasonality changes in multivariate extremes from climatological time series / Auteur de la Conférence Naveau, Philippe.
- [Virtualconference] Modeling of time series using random forests: theoretical developments / Auteur de la Conférence Davis, Richard.
Bibliographie
- 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. -
