School Seminars and Colloquia

Split Function and Split Point (Leung) and A Journey through Extremal Processes (Oates)

Stochastic Processes Seminar

by Jason Leung and James Oates


Institution: University of Melbourne
Date: Tue 21st August 2012
Time: 12:00 PM
Location: room 213, Richard Berry Building

Abstract: Speaker: Jason Leung

Title: Split Function and Split Point

Abstract: I will introduce the "Split Function and Split Point" developed from clustering framework in the 70's and the relevant estimators as well as their asymptotic behaviour. Then I will illustrate how we apply the above to conduct hypothesis test on whether high frequency financial data exhibit jump activity.

Speaker: James Oates

Title: A Journey through Extremal Processes

Abstract: In the early 40's the first paper was published about classical extreme value theory. From then until now there has been a lot of development in the field, more recently in the convergence of the extremal process. This talk will take you through the different dependent structures of the random variables and sample sizes and see how this effects the convergence of the processes. Hopefully leading to the convergence of a random process with dependent structure and random sample size via a 2 dimensional mixed Poisson process.