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Seminar on Probability and Statistics
Seminar information archive ～04/17｜Next seminar｜Future seminars 04/18～
| Organizer(s) | Nakahiro Yoshida, Teppei Ogihara, Yuta Koike |
|---|
2016/10/31
14:50-15:40 Room #123 (Graduate School of Math. Sci. Bldg.)
Teppei Ogihara (The Institute of Statistical Mathematics, JST PRESTO, JST CREST)
Parameter estimation for diffusion processes with high-frequency observations
Teppei Ogihara (The Institute of Statistical Mathematics, JST PRESTO, JST CREST)
Parameter estimation for diffusion processes with high-frequency observations
[ Abstract ]
We study statistical inference for security prices modeled by diffusion processes with high-frequency observations. In particular, we focus on two specific problems on analysis of high-frequency data, that is, nonsynchronous observations and the presence of observation noise called market microstructure noise. We construct a maximum-likelihood-type estimator of parameters, and study their asymptotic mixed normality. We also discuss on asymptotic efficiency of estimators.
We study statistical inference for security prices modeled by diffusion processes with high-frequency observations. In particular, we focus on two specific problems on analysis of high-frequency data, that is, nonsynchronous observations and the presence of observation noise called market microstructure noise. We construct a maximum-likelihood-type estimator of parameters, and study their asymptotic mixed normality. We also discuss on asymptotic efficiency of estimators.
