Statistical inference for jump stochastic processes with local time.

2015 Fiscal Year Final Research Report

• 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
• 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

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.

Free Research Field

数理統計学