統計数学セミナー

過去の記録 ~03/28次回の予定今後の予定 03/29~

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.

2006年09月25日(月)

13:00-14:10   数理科学研究科棟(駒場) 128号室
西山 陽一 氏 (統計数理研究所)
Nonparametric testing time-homogeneity for L'evy processes
[ 講演概要 ]
First, a review about uniform central limit theorems for martingales is given. The main part of the talk is concerned with a change point problem for L'evy processes. The null hypothesis is that the L'evy process is time-homogeneous, and the alternative is that the L'evy measure changes at a certain time point of the observation period. We propose an empirical process type statistics, and derive its asymptotic behaviour under the null and the alternative hypotheses. The limiting distribution under the null hypothesis is a functional of the standard Brownian motion.
[ 参考URL ]
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/09.html