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統計数学セミナー
過去の記録 ～04/23｜次回の予定｜今後の予定 04/24～
| 担当者 | 吉田朋広、荻原哲平、小池祐太 |
|---|---|
| セミナーURL | http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/ |
| 目的 | 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う. |
2006年04月26日(水)
16:20-17:30 数理科学研究科棟(駒場) 128号室
Arnak DALALYAN 氏 (Universite Paris 6, France)
Asymptotic statistical equivalence for diffusion processes I (JAPANESE)
Arnak DALALYAN 氏 (Universite Paris 6, France)
Asymptotic statistical equivalence for diffusion processes I (JAPANESE)
[ 講演概要 ]
This is the first talk of a series of three talks devoted to the asymptotic statistical equivalence for diffusion processes. We will introduce the notion of Le Cam's distance between statistical experiments and will present its properties with some easy examples. Then we will show that the experiment of a discretely observed diffusion process with unknown drift is asymptoically equivalent to the experiment of continuously observed diffusion process provided that the step of discretisation is small enough (this result is due to Milstein and Nussbaum).
This is the first talk of a series of three talks devoted to the asymptotic statistical equivalence for diffusion processes. We will introduce the notion of Le Cam's distance between statistical experiments and will present its properties with some easy examples. Then we will show that the experiment of a discretely observed diffusion process with unknown drift is asymptoically equivalent to the experiment of continuously observed diffusion process provided that the step of discretisation is small enough (this result is due to Milstein and Nussbaum).
