UCPH Statistics Seminar: Almut Veraart

Title: Nonparametric estimation of trawl processes: Theory and Applications 

Speaker: Almut Veraart (Imperial College London) 

Abstract: 

This talk introduces a flexible class of stochastic processes, called trawl processes, which are defined as Lévy bases evaluated over deterministic trawl sets and are widely applicable in many sciences. We will present a novel nonparametric estimator of the trawl function characterising the trawl set and the serial correlation of the process and establish the corresponding asymptotic theory. A simulation study shows the good finite sample performance of the proposed estimator, and, in an empirical illustration, the new methodology is applied to modelling and forecasting high-frequency financial spread data from a limit order book and to estimating the busy-time distribution of a stochastic queue. 

This is joint work with Orimar Sauri (Aalborg University).