統計数学セミナー

過去の記録 ~08/06次回の予定今後の予定 08/07~

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.

2008年02月06日(水)

13:30-14:40   数理科学研究科棟(駒場) 056号室
Jean JACOD 氏 (Universite Paris 6)
Estimation of the integrated volatility in presence of microstructure noise
[ 講演概要 ]
The aim is to estimate the integrated volatility of a process observed discretely, in the setting of high frequency data, and when there is a microstructure noise. We use a kind of pre-averaging approach, which is rate-optimal when the noise is i.i.d., and may probably be even variance-optimal for a good choice of the kernel involved. However, the main innovative aspect is that it accommodates other types of noise, and in particular the case where the observations are rounded values of the underlying process plus an additive noise.
[ 参考URL ]
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2007/17.html