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統計数学セミナー
過去の記録 ～05/02｜次回の予定｜今後の予定 05/03～
| 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. |
2025年02月20日(木)
13:00-14:10 数理科学研究科棟(駒場) 056号室
ハイブリッド開催
Evgeny Spodarev 氏 (Universität Ulm)
Non-ergodic statistics for stationary-increment harmonizable stable processes (English)
https://docs.google.com/forms/d/e/1FAIpQLSd5_4NM3xazVUAARMhyv_e55RsYZFyfpOHqC0oGYasM2NLOqQ/viewform
ハイブリッド開催
Evgeny Spodarev 氏 (Universität Ulm)
Non-ergodic statistics for stationary-increment harmonizable stable processes (English)
[ 講演概要 ]
We consider the class of stationary-increment harmonizable stable processes $𝑋=\{ 𝑋(𝑡): 𝑡\in \mathbb{R} \}$ defined by $$𝑋(𝑡)=𝑅𝑒\left( \int_{\mathbb{R}} (𝑒^{𝑖𝑡𝑥}−1) \Psi (𝑥) 𝑀_{\alpha}(𝑑𝑥) \right), \quad 𝑡\in\mathbb{R},$$ where $𝑀_{\alpha}$ is an isotropic complex symmetric $\alpha$-stable (𝑆$\alpha$𝑆) random measure with Lebesgue control measure. This class contains real harmonizable fractional stable motions, which are a generalization of the harmonizable representation of fractional Brownian motions to the stable regime, when $\Psi(𝑥)=|𝑥|−𝐻−1/\alpha, 𝑥\in\mathbb{R}$. We give conditions for the integrability of the path of $𝑋$ with respect to a finite, absolutely continuous measure, and show that the convolution with a suitable measure yields a real stationary harmonizable 𝑆$\alpha$𝑆 process with finite control measure. Such a process admits a LePage type series representation consisting of sine and cosine functions with random amplitudes and frequencies, which can be estimated consistently using the periodogram. Combined with kernel density estimation, this allows us to construct consistent estimators for the index of stability $\alpha$ as well as the kernel function $\Psi$ in the integral representation of $𝑋$ (up to a constant factor). For real harmonizable fractional stable motions consistent estimators for the index of stability $\alpha$ and its Hurst parameter $𝐻$ are given, which are computed directly from the periodogram frequency estimates.
[ 参考URL ]We consider the class of stationary-increment harmonizable stable processes $𝑋=\{ 𝑋(𝑡): 𝑡\in \mathbb{R} \}$ defined by $$𝑋(𝑡)=𝑅𝑒\left( \int_{\mathbb{R}} (𝑒^{𝑖𝑡𝑥}−1) \Psi (𝑥) 𝑀_{\alpha}(𝑑𝑥) \right), \quad 𝑡\in\mathbb{R},$$ where $𝑀_{\alpha}$ is an isotropic complex symmetric $\alpha$-stable (𝑆$\alpha$𝑆) random measure with Lebesgue control measure. This class contains real harmonizable fractional stable motions, which are a generalization of the harmonizable representation of fractional Brownian motions to the stable regime, when $\Psi(𝑥)=|𝑥|−𝐻−1/\alpha, 𝑥\in\mathbb{R}$. We give conditions for the integrability of the path of $𝑋$ with respect to a finite, absolutely continuous measure, and show that the convolution with a suitable measure yields a real stationary harmonizable 𝑆$\alpha$𝑆 process with finite control measure. Such a process admits a LePage type series representation consisting of sine and cosine functions with random amplitudes and frequencies, which can be estimated consistently using the periodogram. Combined with kernel density estimation, this allows us to construct consistent estimators for the index of stability $\alpha$ as well as the kernel function $\Psi$ in the integral representation of $𝑋$ (up to a constant factor). For real harmonizable fractional stable motions consistent estimators for the index of stability $\alpha$ and its Hurst parameter $𝐻$ are given, which are computed directly from the periodogram frequency estimates.
https://docs.google.com/forms/d/e/1FAIpQLSd5_4NM3xazVUAARMhyv_e55RsYZFyfpOHqC0oGYasM2NLOqQ/viewform
