The Institute for Statistics and Mathematics is pleased to invite you to the next research seminar, taking place on campus:

Michal Pešta (Department of Probability and Mathematical Statistics, Charles University, Prague)
Semi-continuous Time Series for Sparse Data With Volatility Clustering
Friday, June 7, 2024, 10:30 am, Building D4, Room D4.0.127

Abstract:
Time series containing a non-negligible portion of possibly dependent zeros, whereas the remaining observations are positive, are considered. They are regarded as GARCH processes consisting of non-negative values. The aim lies in the estimation of the omnibus model parameters taking into account the semi-continuous distribution. The hurdle distribution, together with dependent zeros, causes the classical GARCH estimation techniques to fail. Two different likelihood-based approaches are derived, namely the maximum likelihood estimator and a new quasi-likelihood estimator. Both estimators are proved to be strongly consistent and asymptotically normal. Predictions with bootstrap add-ons are proposed. The empirical properties are illustrated in a simulation study, which demonstrates the computational efficiency of the methods employed. The developed techniques are presented through an actuarial problem concerning sparse insurance claims.

We aim to stream all on-campus talks via Zoom. A direct link to the stream will be posted on our website.

For further information and the seminar schedule, please see:
www.wu.ac.at/en/statmath/research/resseminar