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統計数学セミナー
過去の記録 ～05/01｜次回の予定｜今後の予定 05/02～
| 担当者 | 吉田朋広、増田弘毅、荻原哲平、小池祐太 |
|---|---|
| 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11月01日(水)
15:00-16:10 数理科学研究科棟(駒場) 128号室
Ilia NEGRI 氏 (Department of Management and Information Technology, University of Bergamo, Italy)
Some problems related to the estimation of the invariant measure of an ergodic diffusion.
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/12.html
Ilia NEGRI 氏 (Department of Management and Information Technology, University of Bergamo, Italy)
Some problems related to the estimation of the invariant measure of an ergodic diffusion.
[ 講演概要 ]
We consider a one dimensional ergodic diffusion process solution of a stochastic differential equation. We suppose that the diffusion coefficient is known whereas the drift coefficient $S$ is unknown. Our interest is the invariant measure of the process denoted as $\\mu $. We denote by $f_S$ and $F_S$ the invariant density and the invariant distribution function of $\\mu$ respectively. We present the problems of finding efficient estimators when we observe the trajectory of the diffusion in continuos time over $[0,T]$ and we study asymptotic properties of the estimators when $T$ goes to infinity.
[ 参考URL ]We consider a one dimensional ergodic diffusion process solution of a stochastic differential equation. We suppose that the diffusion coefficient is known whereas the drift coefficient $S$ is unknown. Our interest is the invariant measure of the process denoted as $\\mu $. We denote by $f_S$ and $F_S$ the invariant density and the invariant distribution function of $\\mu$ respectively. We present the problems of finding efficient estimators when we observe the trajectory of the diffusion in continuos time over $[0,T]$ and we study asymptotic properties of the estimators when $T$ goes to infinity.
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/12.html
