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Seminar on Probability and Statistics
Seminar information archive ～04/26｜Next seminar｜Future seminars 04/27～
| Organizer(s) | Nakahiro Yoshida, Teppei Ogihara, Yuta Koike |
|---|
2014/04/08
13:00-14:10 Room #052 (Graduate School of Math. Sci. Bldg.)
Alexandre Brouste (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 (Universite du Maine, France)
Parametric estimation in fractional Ornstein-Uhlenbeck process (ENGLISH)
[ Abstract ]
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.
[ Reference 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
