Asymptotic properties for the
empirical correlation of two
correlated Ornstein-Uhlenbeck processes
报告专家：蒋辉 教授（南京航空航天大学）
报告时间：2025年4月23日（星期三）下午4:00--5:00
报告地点：腾讯会议：990-446-050 会议密码：250423
报告摘要：In this talk, we consider the asymptotic properties of the empirical correlation of two correlated Ornstein-Uhlenbeck processes based on discrete-time observations. Using deviation inequalities and moderate deviations of multiple Wiener-It\^o integrals, strong consistency, asymptotic normality and Cram\'er-type moderate deviations of the empirical correlation are established. Monte Carlo simulations are performed to demonstrate the feasibility and effectiveness of the proposed method. Finally, the estimator of the correlation is applied to some real time series.
专家简介：蒋辉，南京航空航天大学数学学院教授、博士生导师，研究方向为随机过程与随机分析，概率极限理论与大偏差理论。在Bernoulli、SPA等概率统计主流期刊发表多篇学术论文。主持国家自然科学基金面上及青年项目，江苏省自然科学基金面上项目等。
邀请人：胡泽春
