Seminar on Probability and Statistics

Seminar information archive ~04/24Next seminarFuture seminars 04/25~

Organizer(s) Nakahiro Yoshida, Teppei Ogihara, Yuta Koike

2016/10/31

14:50-15:40   Room #123 (Graduate School of Math. Sci. Bldg.)
Teppei Ogihara (The Institute of Statistical Mathematics, JST PRESTO, JST CREST)
Parameter estimation for diffusion processes with high-frequency observations
[ Abstract ]
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.