Siegel der Universität Augsburg

Universität Augsburg
Institut für Mathematik

Siegel der Universität Augsburg


Oberseminar Stochastik


Dr. Daniel Kobe
ehemals Universität Dortmund

spricht am
Freitag, 3. November 2017
9:00 Uhr
über das Thema:

»Recovering the background driving process of models based on oscillating Ornstein Uhlenbeck processes and an useful CLT«

We introduce an arithmetic model of spot prices in electricity markets, that is a linear combination of dfferent oscillating Ornstein-Uhlenbeck processes which are a special class of Lévy driven moving average processes. In the first part of the talk we focus on a new extension of central limit theorem of Cohen and Lindner (2013) and show some technical details of the proof. We may use this result to show asymptotic normality for the estimated and derived parameters in different models based on continuous time moving average processes. In the second part of the talk we introduce a method for recovering the background driving Lévy process L of a arithmetic model which is based on oscillating Ornstein Uhlenbeck processes. Here we differ between a low and high frequency observation scheme. In both settings we present techniques to estimate the unknown parameters of L and discuss properties of our estimations, e.g., strong or weak consistency of the derived parameters. Simulation studies are presented showing that our method produces useful estimated approximations of the background driving process


Hierzu ergeht herzliche Einladung.
Prof. Dr. Gernot Müller

wwwadm@Math.Uni-Augsburg.DE,    Sa 28-Okt-2017 10:15:56 MESZ