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統計数学セミナー
過去の記録 ～10/10｜次回の予定｜今後の予定 10/11～
| 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. |
2016年10月31日(月)
14:50-15:40 数理科学研究科棟(駒場) 123号室
Teppei Ogihara 氏 (The Institute of Statistical Mathematics, JST PRESTO, JST CREST)
Parameter estimation for diffusion processes with high-frequency observations
Teppei Ogihara 氏 (The Institute of Statistical Mathematics, JST PRESTO, JST CREST)
Parameter estimation for diffusion processes with high-frequency observations
[ 講演概要 ]
We study statistical inference for security prices modeled by diffusion processes with high-frequency observations. In particular, we focus on two specific problems on analysis of high-frequency data, that is, nonsynchronous observations and the presence of observation noise called market microstructure noise. We construct a maximum-likelihood-type estimator of parameters, and study their asymptotic mixed normality. We also discuss on asymptotic efficiency of estimators.
We study statistical inference for security prices modeled by diffusion processes with high-frequency observations. In particular, we focus on two specific problems on analysis of high-frequency data, that is, nonsynchronous observations and the presence of observation noise called market microstructure noise. We construct a maximum-likelihood-type estimator of parameters, and study their asymptotic mixed normality. We also discuss on asymptotic efficiency of estimators.
