| Project/Area Number |
15K21598
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Foundations of mathematics/Applied mathematics
Economic statistics
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| Research Institution | The Institute of Statistical Mathematics |
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Principal Investigator |
Teppei Ogihara 統計数理研究所, 数理・推論研究系, 助教 (40746426)
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| Project Period (FY) |
2015-04-01 – 2018-03-31
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| Project Status |
Completed (Fiscal Year 2017)
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| Budget Amount *help |
¥2,730,000 (Direct Cost: ¥2,100,000、Indirect Cost: ¥630,000)
Fiscal Year 2017: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2016: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2015: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
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| Keywords | 非同期観測 / マイクロストラクチャー・ノイズ / 高頻度データ解析 / 最尤型推定量 / 拡散過程 / 漸近有効性 / 疑似尤度解析 / 積分観測モデル / マイクロストラクチャーノイズ / 積分観測 / 高頻度データ / ベイズ型推定量 / 確率過程 |
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| Outline of Final Research Achievements |
Statistical inference for diffusion processes with noisy, nonsynchronous observations was studied. This model is applied to high-frequency data in a stock market. A maximum-likelihood- and a Bayes-type estimators were constructed by using a quasi-likelihood function. Asymptotic mixed normality of the estimators were shown. Local asymptotic normality of the statistical model was proved in the case that the diffusion coefficients were deterministic, and consequently, asymptotic optimality of the estimators were shown.
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