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University of Cambridge > Talks.cam > Isaac Newton Institute Seminar Series > Quantitative and stable limits of high-frequency statistics of L\'evy processes: a Stein's method approach
Quantitative and stable limits of high-frequency statistics of L\'evy processes: a Stein's method approachAdd to your list(s) Download to your calendar using vCal
If you have a question about this talk, please contact nobody. TMLW02 - SGD: stability, momentum acceleration and heavy tails We establish inequalities for assessing the distance between the distribution of errors of partially observed high-frequency statistics of multidimensional L\’evy processes and that of a mixed Gaussian random variable. Furthermore, we provide a general result guaranteeing stable convergence. Our arguments rely on a suitable adaptation of the Stein’s method perspective to the context of mixed Gaussian distributions, specifically tailored to the framework of high-frequency statistics. This talk is part of the Isaac Newton Institute Seminar Series series. This talk is included in these lists:This talk is not included in any other list Note that ex-directory lists are not shown. |
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