07.06.2023 12:15 Manfred Denker (Penn State University):
Monte Carlo estimation of multiple stochastic integrals and its statistical applicationsBC1 2.01.10 / 8101.02.110 (Parkring 11, 85748 Garching)

Multiple stochastic integrals with respect to Brownian motion is a classical topic while its version with respect to stable processes has created minor interest. Their distributions can be simulated using U-statistics. This will be discussed in the first part of the talk. On the other hand this representation allows for statistical applications for observations with slowly decaying tail distributions. I shall present some simulations and give an application from neuroscience.