BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Talks.cam//talks.cam.ac.uk//
X-WR-CALNAME:Talks.cam
BEGIN:VEVENT
SUMMARY:Nonparametric estimation of trawl processes: Theory and Applicatio
 ns  - Almut Veraart (Imperial College London)
DTSTART:20250819T093000Z
DTEND:20250819T103000Z
UID:TALK235090@talks.cam.ac.uk
DESCRIPTION:This talk introduces a flexible class of stochastic processes\
 , called trawl processes\, which are defined as L&eacute\;vy bases evaluat
 ed over deterministic trawl sets and are widely applicable in many science
 s. We will present a novel nonparametric estimator of the trawl function c
 haracterising the trawl set and the serial correlation of the process and 
 establish the corresponding asymptotic theory. A simulation study shows th
 e good finite sample performance of the proposed estimator\, and\, in an e
 mpirical illustration\, the new methodology is applied to modelling and fo
 recasting high-frequency financial spread data from a limit order book and
  to estimating the busy-time distribution of a stochastic queue. &nbsp\;
 \nThis is joint work with Orimar Sauri (Aalborg University). &nbsp\;
LOCATION:Seminar Room 2\, Newton Institute
END:VEVENT
END:VCALENDAR