[Forum SIS] Seminar

[Simone Padoan]

Dear All,


*************************************************
We are glad to announce the following talk
Thursday, 24 October, 2013, 12.30, Room 3-E4-SR03
Bocconi University, via Roentgen 1, Milan.
*************************************************

by Stefano Iacus, Università degli studi di Milano, Italy

Title:
"On change point estimation and hypotheses testing for discretely observed diffusion processes"

Abstract:
In the first part of the talk we present the problem of change point volatility estimation for discretely observed diffusion processes under several discretization schemes (large sample and high frequency). Consistency and asymptotic distributions are presented.
In the second part of the talk, we present a family of test statistics based on $phi$-divergence measures for ergodic diffusion processes observed at discrete time. Although the tests in this class are asymptotically equivalent, the second order expansion of the test statistics suggest different behavior for the power function of the test in finite samples.









-----------------------------------------------

Dr. Simone Padoan, PhD.
Assistant Professor

Department of Decision Sciences
Bocconi University of Milan
via Roentgen, 1 20136 Milano - Italy
tel. +39 02 5836 5368
Email: simone.padoan a unibocconi.it
Webpage: http://faculty.unibocconi.it/simonepadoan
-----------------------------------------------
-------------- parte successiva --------------
Un allegato HTML è stato rimosso...
URL: <http://www.stat.unipg.it/pipermail/sis/attachments/20131017/42f1ab6e/attachment.html>