Die Erholunsgzone vor dem D4 Gebäude über dem Brunnen.

Research Seminar - Michal Pešta


We are pleased to announce the upcoming Research Seminar on June 7, 2024.

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

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:

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