New statistical inference for locally stable model and its implementation
| Project/Area Number |
26400204
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Foundations of mathematics/Applied mathematics
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| Research Institution | Kyushu University |
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Principal Investigator |
Masuda Hiroki 九州大学, 数理学研究院, 教授 (10380669)
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| Project Period (FY) |
2014-04-01 – 2017-03-31
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| Project Status |
Completed (Fiscal Year 2016)
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| 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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| Keywords | 統計的漸近推測 / 疑似安定過程 / 確率微分方程式 / 統計的漸近推測理論 / 確率過程モデル / 疑似安定過程モデル / 擬似安定過程モデル |
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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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Report
(4 results)
Research Products
(29 results)
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[Journal Article] The YUIMA project: A computational framework for simulation and inference of stochastic differential equations2014
Author(s)
Brouste, A., Fukasawa, M., Hino, H., Iacus, S., Kamatani, K., Koike, Y., Masuda, H., Nomura, R., Ogihara, T., Shimuzu, Y., Uchida, M., and Yoshida, N.
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Journal Title
Journal of Statistical Software
Volume: 57
Pages: 1-51
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Peer Reviewed / Open Access
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[Presentation] On quasi-BIC for general LAQ model2014
Author(s)
Eguchi, S. and Masuda, H.
Organizer
The 7th International Conference of the ERCIM WG on Computational and Methodological Statistics (ERCIM 2014)
Place of Presentation
University of Pisa, Italy
Year and Date
2014-12-06 – 2014-12-08
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