統計数学セミナー

過去の記録 ~08/07次回の予定今後の予定 08/08~

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.

2019年03月13日(水)

14:00-15:10   数理科学研究科棟(駒場) 052号室
Yury A. Kutoyants 氏 (Laboratoire Manceau de Mathématiques, Le Mans University)
On parameter estimation of hidden Markov processes
[ 講演概要 ]
We present a survey of several results devoted to parameter estimation of partially observed models. The hidden processes are Ornstein-Uhlenbeck process and Telegraph process. We describe the asymptotic behavior of the MLE and BE of the unknown parameters of hidden processes and special attention is paid to a new class of estimators called Multi-step MLE-processes, which have the same asymptotic properties as the MLE but can be calculated much easier than MLE.

The corresponding articles are

1.Kutoyants Yu. A., " On the multi-step MLE-process for ergodic
diffusion", (arXiv 1504.01869) Stochastic Processes and their
Applications, 2017, 127, 2243-2261.

2.Khasminskii, R. Z. and Kutoyants, Yu. A. "On parameter estimation of
hidden telegraph process". (arXiv:1509.02704 ) Bernoulli, 2018, 24, 3,
2064-2090.

3.Kutoyants, Yu. A. "On parameter estimation of hidden
Ornstein-Uhlenbeck process", Journal of Multivariate Analysis. 2019,
169, 1, 248-263.

4.Kutoyants, Yu. A. "On parameter estimation of hidden ergodic
Ornstein-Uhlenbeck process", 2019, submitted (arXiv:1902.08500)