06.11.2024, 14:00 - 16:00
– Campus Golm, Building 9, Room 2.22 and via Zoom
Institutskolloquium
Graphon Models for Inhomogeneous Random Graphs
Olga Klopp (Paris), Nicolas Verzelen (Montpellier)
Dr. Sara Mazzonetto
With the term threshold diffusion we denote diffusion processes which follow different dynamics in different space intervals. We focus on the one-dimensional case of two Ornstein-Uhlenbeck dynamics in two semi-axes: Threshold Ornstein-Uhlenbeck process. We discuss (quasi)-maximum likelihood estimation of the drift parameters based on continuous and discrete time observations. We study the convergence - in high frequency and/or in long time - of these estimators. We conclude by analyzing an application to short term US interest rates. This is a joint work with Paolo Pigato.