統計数学セミナー

過去の記録 ~06/23次回の予定今後の予定 06/24~

担当者 吉田朋広、増田弘毅、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12月17日(水)

13:40-14:50   数理科学研究科棟(駒場) 002号室
Ilia Negri 氏 (University of Bergamo, Italy)
Goodness of fit tests for ergodic diffusions by discrete sampling schemes
[ 講演概要 ]
We consider a nonparametric goodness of fit test problem for the drift coefficient of one-dimensional ergodic diffusions, where the diffusion coefficient is a nuisance function which is estimated in some sense. Using a theory for the continuous observation case, we construct two kinds of tests based on different types of discrete observations, namely, the data observed discretely in time or in space. We prove that the limit distribution of our tests is the supremum of the standard Brownian motion, and thus our tests are asymptotically distribution free. We also show that our tests are consistent under any fixed alternatives.

joint with Yoichi Nishiyama (Inst. Statist. Math.)
[ 参考URL ]
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2008/09.html