| 12:20–12:45 |
Yu. Mishura On drift parameter
estimation in models with fractional Brownian motion
(joint talk with Yu. Kozachenko, A. Melnikov) |
| 12:45–13:10 |
L. Sakhno Limit theorems for quadratic forms and applications |
| 13:10–13:35 |
A. Olenko (La Trobe University of Melbourne)
Limit theorems for cyclical long-range dependent random fields
Abstract
There has recently been much interest in time series with long memory,
namely series which dependence decays slowly in the sense that
autocovariances are not summable and the spectral density is unbounded. It
was this case which was considered by M. Rosenblatt in his famous example
of a non-Gaussian limit law.
This concept has been extended to seasonal/cyclical long memory where the
dependence between seasonal or cyclic observations decays similarly
slowly. Several seasonal variants have appeared in the literature, under
different acronyms such as GARMA, ARFIMA, ARUMA etc.
We study the asymptotic behavior of the weighted functionals of random
fields when the underlying data are Gaussian and exhibit cyclical
long-range dependence. We show some new results concerning the influence
of cyclicity on the classical limit theorems.
|
| 13:35–14:00 |
Yu. Kozachenko
On accuracy and reliability of calculation of multiple integrals by Monte-Carlo method
(joint talk with Yu. Mlavets) |
| 14:15–15:00 |
E. Orsingher (Sapienza University of Rome)
Fractional Poisson processes |
|
15:00–15:30 |
A. De Gregorio (Sapienza University of Rome) Random flights |
| 15:30–15:55 |
G. Shevchenko
Random variables as fractional stochastic integrals |