Quantitative and stable limits of high-frequency statistics of L\'evy processes: a Stein's method approach

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• Chiara Amorino (Université du Luxembourg)
• Thursday 25 April 2024, 14:30-15:15
• External.

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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.

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