2010 Fiscal Year Final Research Report
Theory construction of asymptotic statistics for stochastic processes and its application to high-frequency data analysis
| Project/Area Number |
20740061
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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 |
General mathematics (including Probability theory/Statistical mathematics)
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| Research Institution | Kyushu University |
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Principal Investigator |
MASUDA Hiroki Kyushu University, 大学院・数理学研究院, 准教授 (10380669)
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| Project Period (FY) |
2008 – 2010
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| Keywords | 統計的漸近推測理論 / 確率過程論 / 確率解析 |
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| Research Abstract |
Mainly, we have derived the following devices concerning statistical analyses for the stochastic process models : (1) how to estimate the parameters and construct their approximate confidence regions, when the model exhibits heteroskedasticity ; (2) sets of sufficient conditions for the long-term stability of the models ; (3) an easy-to-implement and precise method for estimating the mean structure, when the model is of pure-jump type ; (4) test statistics for the noise normality, enabling us to avoid a serious model misspecification. All of these results can serve as tool for an efficient and quantitative exploitation of underlying information.
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