Thursday, June 5, 2025 - 16:00 in U2-135
Extremal paths of nonlinear time series
A talk in the Oberseminar Probability Theory and Mathematical Statistics series by
Sebastian Mentemeier from Uni Hildesheim
| Abstract: |
When observing time series (stock prices, exchange rates, weather data), extremal behavior is often much more exciting than "regular" behavior. Conditioned on the occurence of an extreme event, how does the path of the time series leading to or from this extreme event look like? How is it different from a non-extreme path? Can one identify universal behavior close to extreme values?
In this talk, I'm going to answer these questions in the context of GARCH processes by means of conditional limit theorems. The talk is based on joint work with Jeffrey Collamore (Copenhagen).
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