Processing...

**
Actuarial Seminar: Robert Stelzer, Ulm University
**

We first introduce time-varying Lévy-driven state space models, as a class of time series models in continuous time encompassing continuous-time autoregressive moving average processes with parameters changing over time.

In order to allow for their statistical analysis we define a notion of locally stationary approximations for sequences of continuous time processes and establish laws of large numbers and central limit type results under \theta-weak dependence assumptions. Finally, we consider the asymptotic behaviour of the empirical mean and autocovariance function of time-varying Lévy-driven state space models under appropriate conditions.

This talk is based on:

Bitter, A., Stelzer, R., Ströh, B. (2023):

Continuous-time Locally Stationary Time Series Models

*Advances in Applied Probability*, **55** no. 3, 965 - 99

Stelzer, R., Ströh, B. (2022):

Asymptotics of Time-varying Processes in Continuous-Time using Locally Stationary Approximations

*arXiv:2105.00223*

Seminar organized by Prof. Hashorva

Prof. Enkelejd Hashorva

Visibility:

archived