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Adam Jakubowski: Functional convergence for dependent heavy-tailed models
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The Skorokhod space is natural for modeling trajectories of most time series with heavy tails. We give a systematic account of topologies on the Skorokhod space. The applicability of each topology is illustrated by examples of suitable dependent stationary sequences, for which the corresponding functional limit theorem holds.
Recording during the thematic meeting: "Limit theorems in dynamics and applications" the July 07, 2014 at the Centre International de Rencontres Mathématiques (Marseille, France)
Filmmaker: Guillaume Hennenfent
- Videos enriched with abstracts, bibliographies, Mathematics Subject Classification
- Multi-criteria search by author, title, tags, mathematical area
The Skorokhod space is natural for modeling trajectories of most time series with heavy tails. We give a systematic account of topologies on the Skorokhod space. The applicability of each topology is illustrated by examples of suitable dependent stationary sequences, for which the corresponding functional limit theorem holds.
Recording during the thematic meeting: "Limit theorems in dynamics and applications" the July 07, 2014 at the Centre International de Rencontres Mathématiques (Marseille, France)
Filmmaker: Guillaume Hennenfent
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