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統計数学セミナー
過去の記録 ～05/22｜次回の予定｜今後の予定 05/23～
| 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. |
2014年04月08日(火)
13:00-14:10 数理科学研究科棟(駒場) 052号室
Alexandre Brouste 氏 (Universite du Maine, France)
Parametric estimation in fractional Ornstein-Uhlenbeck process (ENGLISH)
http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/2014/00.html
Alexandre Brouste 氏 (Universite du Maine, France)
Parametric estimation in fractional Ornstein-Uhlenbeck process (ENGLISH)
[ 講演概要 ]
Several statistical models that imply the fractional Ornstein-Uhlenbeck (fOU) process will be presented: direct observations of the process or partial observations in an additive independent noise, continuous observations or discrete observations. In this different settings, we exhibit large sample (or high-frequency) asymptotic properties of the estimators (maximum likelihood estimator, quadratic variation based estimator, moment estimator, …) for all parameters of interest of the fOU. We also illustrate our results with the R package yuima.
[ 参考URL ]Several statistical models that imply the fractional Ornstein-Uhlenbeck (fOU) process will be presented: direct observations of the process or partial observations in an additive independent noise, continuous observations or discrete observations. In this different settings, we exhibit large sample (or high-frequency) asymptotic properties of the estimators (maximum likelihood estimator, quadratic variation based estimator, moment estimator, …) for all parameters of interest of the fOU. We also illustrate our results with the R package yuima.
http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/2014/00.html
