Statistical inference for jump stochastic processes with local time.
| Project/Area Number |
25730016
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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 |
Statistical science
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| Research Institution | Shiga University |
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Principal Investigator |
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| Project Period (FY) |
2013-04-01 – 2016-03-31
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| Project Status |
Completed (Fiscal Year 2015)
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| Budget Amount *help |
¥2,600,000 (Direct Cost: ¥2,000,000、Indirect Cost: ¥600,000)
Fiscal Year 2015: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2014: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2013: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
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| Keywords | 統計的推測 / 確率過程 / ノンパラメトリック統計 / 局所時間 / モデル選択 |
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| Outline of Final Research Achievements |
We consider some problems of statistical inference for jump stochastic processes with local time. In this research, we find the local time estimator has good asymptotic properties (consistency and asymptotic normality) in estimation problem for stationary density. As preliminary study for model selection for jump processes, we consider the similar problem in the case of discretely observed diffusion processes.
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Report
(4 results)
Research Products
(2 results)
