Theory and implementation of inference for semimartingales from discrete observations.
| Project/Area Number |
21740073
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Single-year Grants |
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| Research Field |
General mathematics (including Probability theory/Statistical mathematics)
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| Research Institution | Osaka University |
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Principal Investigator |
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| Project Period (FY) |
2009 – 2011
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| Project Status |
Completed (Fiscal Year 2011)
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| Budget Amount *help |
¥4,030,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥930,000)
Fiscal Year 2011: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2010: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2009: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Keywords | 統計数学 / 確率過程 / 漸近理論 / ジャンプ拡散過程 / 閾値推定 / 情報量規準 / 非エルゴード的モデル / 金融・保険への応用 |
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| Research Abstract |
We developed some statistical methodologies to estimate unknown parameters in stochastic models, which is used in financial and insurance applications. The estimators are based on a set of practical data, and has a mathematical validity. The implementation to a computational package is also ongoing.
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Report
(4 results)
Research Products
(43 results)
