Seminar on Probability and Statistics

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

2018/12/05

15:00-17:00   Room #156 (Graduate School of Math. Sci. Bldg.)
Yuliia Mishura (The Taras Shevchenko National University of Kiev)
Lecture 3:Statistical parameter estimation for the diffusion processes and in the models involving fBm

[ Abstract ]
Drift parameter estimation in the standard diffusion model and its strong consistency. Hurst and drift parameter estimation in the models involving fBm and in the mixed models. Asymptotic properties. Estimation of the diffusion parameter.