| Budget Amount *help |
¥44,460,000 (Direct Cost: ¥34,200,000、Indirect Cost: ¥10,260,000)
Fiscal Year 2021: ¥8,710,000 (Direct Cost: ¥6,700,000、Indirect Cost: ¥2,010,000)
Fiscal Year 2020: ¥8,710,000 (Direct Cost: ¥6,700,000、Indirect Cost: ¥2,010,000)
Fiscal Year 2019: ¥8,710,000 (Direct Cost: ¥6,700,000、Indirect Cost: ¥2,010,000)
Fiscal Year 2018: ¥8,710,000 (Direct Cost: ¥6,700,000、Indirect Cost: ¥2,010,000)
Fiscal Year 2017: ¥9,620,000 (Direct Cost: ¥7,400,000、Indirect Cost: ¥2,220,000)
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| Outline of Final Research Achievements |
We developed a statistical inference method that accurately calculates estimators and test statistics for stochastic differential equation models by establishing the statistical asymptotic theory of the model. We obtained hybrid estimators for ergodic diffusion processes based on subsampling and thinning data, as well as for non-ergodic diffusion processes based on high-frequency data, and demonstrated their asymptotic properties. Using high-frequency data with observation noise, we constructed adaptive estimators and adaptive test statistics for the drift and volatility parameters of ergodic diffusion processes, and proved their asymptotic properties. We also conducted research on high-frequency data analysis and its application to financial and actuarial mathematics. In addition, we verified the effectiveness of the proposed methods through large-scale numerical simulations.
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