| Budget Amount *help |
¥4,680,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥1,080,000)
Fiscal Year 2016: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2015: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2014: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Outline of Final Research Achievements |
We have mainly developed a novel quasi-likelihood for estimating stochastic differential equations driven by a locally stable Levy process. The proposed quasi-likelihood theoretically outstrips the conventional Gaussian quasi-likelihood. We have deduced the asymptotic mixed normality of the associated estimator, which does not require any stability condition, such as finite moments and ergodicity, allowing us to construct confidence regions in a unified manner. The results broaden perspective of quasi-likelihood construction based on small-time distributional approximation, hence of theoretical basis for high-frequency dependent data analysis.
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