Statistical Applications of metric entropy methods
Project/Area Number |
21540157
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Research Category |
Grant-in-Aid for Scientific Research (C)
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Allocation Type | Single-year Grants |
Section | 一般 |
Research Field |
General mathematics (including Probability theory/Statistical mathematics)
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Research Institution | The Institute of Statistical Mathematics |
Principal Investigator |
NISHIYAMA Yoichi 統計数理研究所, 数理・推論研究系, 准教授 (90270412)
|
Project Period (FY) |
2009 – 2011
|
Project Status |
Completed (Fiscal Year 2011)
|
Budget Amount *help |
¥2,990,000 (Direct Cost: ¥2,300,000、Indirect Cost: ¥690,000)
Fiscal Year 2011: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2010: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2009: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
|
Keywords | マルチンゲール / メトリック・エントロピー / 弱収束 / 適合度検定 / 推定 / 漸近有効性 / 変化点問題 / 確率過程 / 漸近理論 / 検定 / 不変原理 |
Research Abstract |
In mathematical models to describe some data which is varying from time to time, the problem to check if the model fits the data or not is called" goodness-of. fit test". Usually, the test statistics for such problems do not have an explicite expression. However, when the observation time period is long, the distribution of such a test can be approximated by a functional of standard Brownian motions. Such a situation is called "asymptotically distribution free". One of the main results in this research project is to have succeeded in constructing such test statistics in various statistical models.
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Report
(4 results)
Research Products
(69 results)
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[Presentation] Adaptive estimation for diffusion processes2011
Author(s)
Nishiyama, Y.
Organizer
Joint Meeting of the 2011 Taipei International Statistical Symposium and 7th Conference of the Asian Regional Section of the IASC
Place of Presentation
Academia Sinica, Taiwan(招待講演)
Year and Date
2011-12-17
Related Report
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[Presentation] 変化点問題2011
Author(s)
西山陽一
Organizer
日本数学会秋季分科会
Place of Presentation
信州大学
Year and Date
2011-09-30
Related Report
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