Olivetti Club

Zaoli ChenCornell University
An introduction to long range dependence

Tuesday, November 14, 2017 - 4:30pm
Malott 406

Long range dependence describes situations in which covariance functions have a slow decay, these models are different from classical iid sequences. I will start from stationary stable processes, and construct them by stochastic integrations. This step begins to reveal the hidden connections between stationary stable processes and infinite ergodic theory. In the second part of the talk, we will focus on non-Gaussian processes with infinite second moments and see how long memory makes a difference.

Refreshments will be served in the lounge at 4:00 PM.