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Seminar on Probability and Statistics
Seminar information archive ～04/23｜Next seminar｜Future seminars 04/24～
| Organizer(s) | Nakahiro Yoshida, Teppei Ogihara, Yuta Koike |
|---|
2006/11/01
15:00-16:10 Room #128 (Graduate School of Math. Sci. Bldg.)
Ilia NEGRI (Department of Management and Information Technology, University of Bergamo, Italy)
Some problems related to the estimation of the invariant measure of an ergodic diffusion.
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/12.html
Ilia NEGRI (Department of Management and Information Technology, University of Bergamo, Italy)
Some problems related to the estimation of the invariant measure of an ergodic diffusion.
[ Abstract ]
We consider a one dimensional ergodic diffusion process solution of a stochastic differential equation. We suppose that the diffusion coefficient is known whereas the drift coefficient $S$ is unknown. Our interest is the invariant measure of the process denoted as $\\mu $. We denote by $f_S$ and $F_S$ the invariant density and the invariant distribution function of $\\mu$ respectively. We present the problems of finding efficient estimators when we observe the trajectory of the diffusion in continuos time over $[0,T]$ and we study asymptotic properties of the estimators when $T$ goes to infinity.
[ Reference URL ]We consider a one dimensional ergodic diffusion process solution of a stochastic differential equation. We suppose that the diffusion coefficient is known whereas the drift coefficient $S$ is unknown. Our interest is the invariant measure of the process denoted as $\\mu $. We denote by $f_S$ and $F_S$ the invariant density and the invariant distribution function of $\\mu$ respectively. We present the problems of finding efficient estimators when we observe the trajectory of the diffusion in continuos time over $[0,T]$ and we study asymptotic properties of the estimators when $T$ goes to infinity.
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/12.html
