2009 Fiscal Year Final Research Report
Bayes approach to time series models
| Project/Area Number |
19700268
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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 |
Statistical science
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| Research Institution | Waseda University |
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Principal Investigator |
TAMAKI Kenichiro Waseda University, 政治経済学術院, 准教授 (80409664)
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| Project Period (FY) |
2007 – 2009
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| Keywords | 経験尤度 / 高次漸近理論 |
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| Research Abstract |
First, we considered the second order power properties of empirical likelihood for stationary processes. Next, we investigated an optimal property of the maximum likelihood estimator of Gaussian locally stationary processes by the second order approximation. To elucidate the effect on zero-coupon bond price valuation when short rate model has non-Gaussian dependent innovations, we derived the approximate bond price formula using higher order asymptotic theory. Moreover we investigated asymptotic distribution of the change point test statistic based on the frequency domain empirical likelihood.
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