Probability Seminar - Frederi Viens

Probability Seminar

Speaker: Frederi Viens - Michigan State University
Title: Optimal rates for parameter estimation of stationary Gaussian processes
Date: Thursday, October 19, 2017
Location: C405 Wells Hall
Time: 3:00 PM - 3:50 PM
Abstract: In this talk, I will introduce some tools from the analysis on Wiener space which help with the estimation of distances between probability measures. I will explain how these can be used to estimate rates of convergence in central limit theorems for partial sum of functionals of general stationary and non-stationary Gaussian sequences. Specific applications include drift parameter estimation problems for some stochastic differential equations driven by fractional Brownian motion with fixed-time-step observations.”