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.

2020年04月16日(木)

17:00-18:10   数理科学研究科棟(駒場) φ号室
Zoomでの開催となります。3日前までに講演参考URLから参加申込みをしてください。
郷田昌稔 氏 (東京大学)
Hawkes process and Edgeworth expansion with application to Maximum Likelihood Estimator (JAPANESE)
[ 講演概要 ]
The Hawkes process is a point process with a self-exciting property. It has been used to model earthquakes, social media events, infections, etc. and is getting a lot of attention. However, as a real problem, there are often situations where we can not obtain data with sufficient observation time. In such cases, it is not appropriate to approximate the error distribution of an estimator by the normal distribution. We established the Edgeworth expansion for a functional of a geometric mixing process, and applied this scheme to a functional of the Hawkes process with an exponential kernel. Furthermore, we gave a more appropriate asymptotic distribution for the error of the Maximum Likelihood Estimator of the Hawks process, i.e. a higher-order asymptotic distribution than the normal distribution. Here, in addition to the details of these statements, we also present the simulation results.
[ 参考URL ]
https://docs.google.com/forms/d/18MDagC71CtB7SJmW2s0tPIBW9YDUNWH5XH1uby2W6Xc/edit