| Budget Amount *help |
¥17,810,000 (Direct Cost: ¥13,700,000、Indirect Cost: ¥4,110,000)
Fiscal Year 2016: ¥3,510,000 (Direct Cost: ¥2,700,000、Indirect Cost: ¥810,000)
Fiscal Year 2015: ¥3,510,000 (Direct Cost: ¥2,700,000、Indirect Cost: ¥810,000)
Fiscal Year 2014: ¥3,510,000 (Direct Cost: ¥2,700,000、Indirect Cost: ¥810,000)
Fiscal Year 2013: ¥3,380,000 (Direct Cost: ¥2,600,000、Indirect Cost: ¥780,000)
Fiscal Year 2012: ¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
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| Outline of Final Research Achievements |
We considered sampling problems for diffusion type processes. For parametric inference of stochastic differential equations based on high frequency data, it is important to obtain a quasi-maximum likelihood estimator (QMLE). In order to compute the QMLE efficiently, we proposed the hybrid type estimator by using advantages of both Bayes type estimation and the maximum likelihood type estimation. Moreover, the mathematical validity of the proposed estimator was shown and we confirmed that the proposed estimator had good performance by large scale numerical simulations. The proposed statistical method works well for not only diffusion type models including ergodic diffusions and small diffusions but general models. We also researched statistical inference for Levy driven stochastic differential equations and applications of statistical inference for stochastic differential equations to high frequency data analysis.
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