Statistical inference for jump stochastic processes with local time.

Research Project

Project/Area Number	25730016
Research Category	Grant-in-Aid for Young Scientists (B)
Allocation Type	Multi-year Fund
Research Field	Statistical science
Research Institution	Shiga University
Principal Investigator	Fujii Takayuki 滋賀大学, 経済学部, 准教授 (40530259)
Project Period (FY)	2013-04-01 – 2016-03-31
Project Status	Completed (Fiscal Year 2015)
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)
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
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.