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Seminar on Probability and Statistics
Seminar information archive ～10/09｜Next seminar｜Future seminars 10/10～
| Organizer(s) | Nakahiro Yoshida, Hiroki Masuda, Teppei Ogihara, Yuta Koike |
|---|
2018/03/02
15:00-16:10 Room #270 (Graduate School of Math. Sci. Bldg.)
Arnaud Gloter (Université d'Evry Val d'Essonne)
"Estimating functions for SDE driven by stable Lévy processes"
Joint work with Emmanuelle Clément (Ecole Centrale)
Arnaud Gloter (Université d'Evry Val d'Essonne)
"Estimating functions for SDE driven by stable Lévy processes"
Joint work with Emmanuelle Clément (Ecole Centrale)
[ Abstract ]
In this talk we will discuss about parametric inference for a stochastic differential equation driven by a pure-jump Lévy process, based on high frequency observations on a fixed time period. Assuming that the Lévy measure of the driving process behaves like that of an α-stable process around zero, we propose an estimating functions based method which leads to asymptotically efficient estimators for any value of α ∈ (0, 2).
In this talk we will discuss about parametric inference for a stochastic differential equation driven by a pure-jump Lévy process, based on high frequency observations on a fixed time period. Assuming that the Lévy measure of the driving process behaves like that of an α-stable process around zero, we propose an estimating functions based method which leads to asymptotically efficient estimators for any value of α ∈ (0, 2).
