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Seminar on Probability and Statistics
Seminar information archive ～04/25｜Next seminar｜Future seminars 04/26～
| Organizer(s) | Nakahiro Yoshida, Teppei Ogihara, Yuta Koike |
|---|
2016/04/26
16:10-17:10 Room #123 (Graduate School of Math. Sci. Bldg.)
Teppei Ogihara (Institute of Statistical Mathematics, JST PRESTO, JST CREST)
LAMN property and optimal estimation for diffusion with non synchronous observations
Teppei Ogihara (Institute of Statistical Mathematics, JST PRESTO, JST CREST)
LAMN property and optimal estimation for diffusion with non synchronous observations
[ Abstract ]
We study so-called local asymptotic mixed normality (LAMN) property for a statistical model generated by nonsynchronously observed diffusion processes using a Malliavin calculus technique. The LAMN property of the statistical model induces an asymptotic minimal variance of estimation errors for any estimators of the parameter. We also construct an optimal estimator which attains the best asymptotic variance.
We study so-called local asymptotic mixed normality (LAMN) property for a statistical model generated by nonsynchronously observed diffusion processes using a Malliavin calculus technique. The LAMN property of the statistical model induces an asymptotic minimal variance of estimation errors for any estimators of the parameter. We also construct an optimal estimator which attains the best asymptotic variance.
