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Almut Veraart (Imperial College London)
Tuesday 19 August 2025, 10:30-11:30
Nonparametric estimation of trawl processes: Theory and Applications
- 👤 Speaker: Almut Veraart (Imperial College London)
- 📅 Date & Time: Tuesday 19 August 2025, 10:30 - 11:30
- 📍 Venue: Seminar Room 2, Newton Institute
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).
Series This talk is part of the Isaac Newton Institute Seminar Series series.
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