Seminarium i matematisk statistik
fredagen den 27:e november 13.15 i MH227

Michael Sorensen
Afdelningen for teoretisk statistik
Koebenhavns universitet

Titel: Estimating Functions for Diffusion Models

Abstract:

Likelihood inference is usually not feasible for diffusion models when
the data are observation of the process at discrete time points.
Estimating functions provide a useful alternative. The talk will focus
on estimating functions based on eigenfunctions for the generator of
the model. An application to exchange rate data will be discussed.