統計数学セミナー

過去の記録 ~04/24次回の予定今後の予定 04/25~

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.

2006年11月08日(水)

16:20-17:30   数理科学研究科棟(駒場) 128号室
蛭川 潤一 氏 (早稲田大学)
LAN Theorem for Non-Gaussian Locally Stationary Processes and Their Discriminant and Cluster Analyses
[ 講演概要 ]
This talk is concerned with asymptotic inference for non-Gaussian locally stationary processes. Lucien LeCam established the most important and sophisticated foundation of the general statistical asymptotic theory. He introduced the concept of local asymptotic normality (LAN) for the likelihood ratio of general statistical models. Once LAN is proved, the asymptotic optimality of estimators and tests is described in terms of the LAN property. The techniques of statistical inference for stationary time series have been well established. However, stationary time series model is not plausible to describe the real world. One of the difficult problem when we deal with nonstationary processes is how to set up an adequate model. Otherwise, the observation in the future will bring no information for the present structure. Recently, Dahalhaus has proposed an important class of nonstationary processes, called locally stationary processes. Locally stationary processes have the time varying densities whose spectral structures smoothly change in time. In this talk, we first show the LAN results for locally stationary processes under the assumption of the non-Gaussianity. Then, we apply the LAN theorem to estimation and testing theory, non-Gaussian robustness and adaptive estimation. Our LAN theorem elucidates various non-Gaussian asymptotics. Next, we develop asymptotic theory for discriminant and cluster analyses of non-Gaussian locally stationary processes. We discuss about non-Gaussian robustness of our classification statistic. Furthermore, we execute the clustering of stock returns in Tokyo Stock Exchanges. Consequently, we observe that the clustering results well extract features of relationships among companies.
[ 参考URL ]
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/13.html