Seminar on Probability and Statistics

Seminar information archive ~03/28Next seminarFuture seminars 03/29~

Organizer(s) Nakahiro Yoshida, Teppei Ogihara, Yuta Koike

2010/04/28

15:00-16:10   Room #002 (Graduate School of Math. Sci. Bldg.)
KATO, Shogo (The Institute of Statistical Mathematics)
A Markov process for circular data (JAPANESE)
[ Abstract ]
We propose a discrete-time Markov process which takes values on the unit circle. Some properties of the process, including the limiting behaviour and ergodicity, are investigated. Many computations associated with this process are shown to be greatly simplified if the variables and parameters of the model are represented in terms of complex numbers. The proposed model is compared with an existing Markov process for circular data. A simulation study is made to illustrate the mathematical properties of the model. Statistical inference for the process is briefly considered.
[ Reference URL ]
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2010/00.html