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Seminar on Probability and Statistics
Seminar information archive ～03/27｜Next seminar｜Future seminars 03/28～
| Organizer(s) | Nakahiro Yoshida, Hiroki Masuda, Teppei Ogihara, Yuta Koike |
|---|
2010/07/15
15:00-16:10 Room #000 (Graduate School of Math. Sci. Bldg.)
MASUDA, Hiroki (Graduate School of Mathematics, Kyushu University)
Mighty convergence in LAD type estimation (JAPANESE)
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2010/04.html
MASUDA, Hiroki (Graduate School of Mathematics, Kyushu University)
Mighty convergence in LAD type estimation (JAPANESE)
[ Abstract ]
We propose a LAD (least absolute deviation) type contrast function for estimating Levy driven Ornstein-Uhlenbeck processes sampled at high frequency. The asymptotic behavior and polynomial-type large deviation inequality concerning the statistical random fields in question are derived, entailing an asymptotic normality and convergence of moments of the LAD estimator. Also, we will mention some numerical experiments done by the R software and some possible extensions of the framework.
[ Reference URL ]We propose a LAD (least absolute deviation) type contrast function for estimating Levy driven Ornstein-Uhlenbeck processes sampled at high frequency. The asymptotic behavior and polynomial-type large deviation inequality concerning the statistical random fields in question are derived, entailing an asymptotic normality and convergence of moments of the LAD estimator. Also, we will mention some numerical experiments done by the R software and some possible extensions of the framework.
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2010/04.html
