Analytical and Numerical Approaches to Study Pitman Estimates

Prof. Alexander Novikov

University of Technology Sydney

About the Speaker

Alexander Novikov is a Professor of Mathematics at the School of Mathematical and Physical Sciences, UTS.

Prior to this appointment in 1999 he was Leading Research Fellow at the Steklov Mathematical Institute (Moscow, since 1970) and Senior Lecturer at the University of Newcastle (Australia, from 1996 to 1999).

He received a PhD in Mathematics in 1972 and his Doctor of Science degree in 1982, both from the Steklov Mathematical Institute. He has published more than 90 research papers in different areas of stochastic processes, statistics of random processes, sequential analysis, random fields and mathematical finance. He has also been invited to more than 80 visiting appointments at leading mathematical institutions.

Abstract

In some non-regular statistical estimation problems, the limiting likelihood processes are integral functional of fractional Brownian motion (fBm) with Hurst's parameter H, 0 < H < 1, or Levy processes. In this talk we present several analytical and numerical results on distributions of efficient estimators (Pitman estimators) represented in the form of integral functional of fBm or special Levy processes.