報告題目🖖🏽：Estimation and Simulation for Multivariate Tempered Stable Distributions
報 告 人：夏雲霏 博士
報告時間：2024年11月1日（星期五）下午14:00-16:00
報告地點：卓越樓810會議室
報告摘要➜：We introduce a methodology for the simulation and parameter estimation of multivariate tempered stable distributions with an emphasis on the bivariate case. Our approach is based on an approximation due to a discretization of the spectral measure. It is then applied to two bivariate financial datasets related to exchange rates. The first is comprised of exchange rates between standard currencies, while the second is based on exchange rates related to cryptocurrencies. Our approximation results hold for a wide class of multivariate infinitely divisible distributions.
報告人簡介: 夏雲霏，現為哈爾濱工程大學數學科學必一的講師。於2022年獲得北卡羅來納大學夏洛特分校（UNC Charlotte）應用數學博士學位👱🏿♀️，師從Micheal Grabchak教授和Stanislav Molchanov教授。研究興趣涵蓋重尾問題🚴🏼♀️、隨機過程、無限可分過程🕝、量化金融以及高維數據分析等領域👲🏻⛹🏿。針對無限可分分布的估計和模擬取得了重要的理論成果。目前🧚，現研究聚焦於多元無限可分過程下的破產風險分析，多資產定價模型，以及傳染病傳播模型的研究。此外🔣💂♀️，目前參與教育部基金項目一項，主持中央高校專項基金項目一項。已發表11篇SCI和SSCI論文。