Aug 28 – 31, 2018
Angers - France
Europe/Paris timezone

Exact spectral asymptotics of fractional processes with applications to inference

Aug 28, 2018, 11:50 AM
Angers - France

Angers - France


Prof. Marina Kleptsyna (Université du Maine)


Many problems of statistical inference can be solved, using spectral decomposition
of stochastic processes. The principal difficulty with this approach is that eigenproblems
are notoriously hard to solve in a reasonably explicit form. In this talk I will survey some
recent results on the exact asymptotics in eigenproblems for fractional processes and
discuss their applications to parameter estimation and filtering.

Primary authors

Dmytro Marushkevych (Université du Maine) Prof. Marina Kleptsyna (Université du Maine) Prof. Pavel Chigansky (Université de Jerusalem)

Presentation materials

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