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Seminar on Probability and Statistics
Seminar information archive ～09/18｜Next seminar｜Future seminars 09/19～
| Organizer(s) | Nakahiro Yoshida, Hiroki Masuda, Teppei Ogihara, Yuta Koike |
|---|
2010/05/19
15:00-16:10 Room #002 (Graduate School of Math. Sci. Bldg.)
YOSHIDA, Nakahiro (University of Tokyo)
Estimation of the variance-covariance structure for stochastic processes and applications of YUIMA (JAPANESE)
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2010/01.html
YOSHIDA, Nakahiro (University of Tokyo)
Estimation of the variance-covariance structure for stochastic processes and applications of YUIMA (JAPANESE)
[ Abstract ]
We discuss limit theorems and asymptotic expansions in estimation of the variance-covariance structure for Ito processes. We will show some numerical examples by YUIMA, a package for statistical analysis and simulation of stochastic differential equations.
[ Reference URL ]We discuss limit theorems and asymptotic expansions in estimation of the variance-covariance structure for Ito processes. We will show some numerical examples by YUIMA, a package for statistical analysis and simulation of stochastic differential equations.
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2010/01.html
