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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. |
2018年03月02日(金)
15:00-16:10 数理科学研究科棟(駒場) 270号室
Arnaud Gloter 氏 (Université d'Evry Val d'Essonne)
"Estimating functions for SDE driven by stable Lévy processes"
Joint work with Emmanuelle Clément (Ecole Centrale)
Arnaud Gloter 氏 (Université d'Evry Val d'Essonne)
"Estimating functions for SDE driven by stable Lévy processes"
Joint work with Emmanuelle Clément (Ecole Centrale)
[ 講演概要 ]
In this talk we will discuss about parametric inference for a stochastic differential equation driven by a pure-jump Lévy process, based on high frequency observations on a fixed time period. Assuming that the Lévy measure of the driving process behaves like that of an α-stable process around zero, we propose an estimating functions based method which leads to asymptotically efficient estimators for any value of α ∈ (0, 2).
In this talk we will discuss about parametric inference for a stochastic differential equation driven by a pure-jump Lévy process, based on high frequency observations on a fixed time period. Assuming that the Lévy measure of the driving process behaves like that of an α-stable process around zero, we propose an estimating functions based method which leads to asymptotically efficient estimators for any value of α ∈ (0, 2).
