統計数学セミナー

過去の記録 ~03/27次回の予定今後の予定 03/28~

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.

2007年06月27日(水)

16:20-17:30   数理科学研究科棟(駒場) 122号室
小方 浩明 氏 (早稲田大学, 国際教養学部)
Empirical likelihood method for time series analysis
[ 講演概要 ]
For a class of vector-valued non-Gaussian stationary processes with unkown parameters, we develop the empirical likelihood approach which was proposed in the i.i.d. setting. In the time series analysis it is known that Whittle likelihood is one of fundamental tools to get a good estimator of unknown parameters and that the score functions are asymptotically normal. Motivated by the Whittle likelihood, we take its score as an estimating function and obtain the asymptotic distribution of our test statistic. Since the fitted spectral model may be different from true spectral structure, the results enable us to construct confidence rigions for various important time series parameters without knowing true spectral structure. We also consider the approach to a minimum contrast estimation and Cressie-Read power-divergence statistic. Numerical studies are introduced and illuminate some interesting features of the empirical approach.
[ 参考URL ]
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2007/02.html