統計数学セミナー

過去の記録 ~10/05次回の予定今後の予定 10/06~

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.

2013年02月07日(木)

11:00-12:10   数理科学研究科棟(駒場) 006号室
FMSP Lecturesと共催.参加をご希望される方は鎌谷 (阪大基礎工); kamatani at sigmath.es.osaka-u.ac.jpまでご連絡ください.
Stefano M. Iacus 氏 (Dipartimento di Economia, Managemente Metodi Quantitativi Universita' di Milano)
On L^p model selection for discretely observed diffusion processes (JAPANESE)
[ 講演概要 ]
The LASSO is a widely used L^2 statistical methodology for simultaneous estimation and variable selection. In the last years, many authors analyzed this technique from a theoretical and applied point of view. In the first part of the seminar, we introduce and study the adaptive LASSO problem for discretely observed ergodic diffusion processes We prove oracle properties also deriving the asymptotic distribution of the LASSO estimator. In the second part of the seminar we present general L^p approach for stochastic differential equations with small diffusion noise. Finally, we present simulated and real data analysis to provide some evidence on the applicability of this method.

FMSP Lectures
http://faculty.ms.u-tokyo.ac.jp/~fmsp/jpn/conferences/fmsp.html
[ 参考URL ]
http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/2012/14.html