統計数学セミナー

過去の記録 ~03/28次回の予定今後の予定 03/29~

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.

2014年04月08日(火)

13:00-14:10   数理科学研究科棟(駒場) 052号室
Alexandre Brouste 氏 (Universite du Maine, France)
Parametric estimation in fractional Ornstein-Uhlenbeck process (ENGLISH)
[ 講演概要 ]
Several statistical models that imply the fractional Ornstein-Uhlenbeck (fOU) process will be presented: direct observations of the process or partial observations in an additive independent noise, continuous observations or discrete observations. In this different settings, we exhibit large sample (or high-frequency) asymptotic properties of the estimators (maximum likelihood estimator, quadratic variation based estimator, moment estimator, …) for all parameters of interest of the fOU. We also illustrate our results with the R package yuima.
[ 参考URL ]
http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/2014/00.html