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統計数学セミナー
過去の記録 ～06/25｜次回の予定｜今後の予定 06/26～
| 担当者 | 吉田朋広、増田弘毅、荻原哲平、小池祐太 |
|---|---|
| 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. |
2006年11月01日(水)
15:00-16:10 数理科学研究科棟(駒場) 128号室
Ilia NEGRI 氏 (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 氏 (Department of Management and Information Technology, University of Bergamo, Italy)
Some problems related to the estimation of the invariant measure of an ergodic diffusion.
[ 講演概要 ]
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 fS and FS 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.
[ 参考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 fS and FS 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
