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2008 Fiscal Year Self-evaluation Report

Statistical asymptotic theory for stochastic processes And its computer implementation

Research Project

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Project/Area Number 18500219
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Statistical science
Research InstitutionKobe University (2007-2009)
Hiroshima International University (2006)

Principal Investigator

SAKAMOTO Yuji  Kobe University, 人間発達環境学研究科, 准教授 (70215664)

Project Period (FY) 2006 – 2009
Keywords漸近理論 / 確率過程 / ファイナンス統計
Research Abstract

(1) 離散観測に基づく拡散モデルに対する M 推定量の漸近展開の導出, (2) 隠れマルコフモデルに対する推定量の漸近正規性の証明および漸近展開の導出, (3) ジャンプを持つ拡散過程の擬似最尤推定量および尤度に基づく検定統計量の漸近展開の導出, (4) 様々な株価・金利・割引債に基づく金融派生商品の価格に対する統計的推定・検定理論の構築, (5) 拡散過程の判別分析法の構築, (6) 推定・検定・判別分析の各種手法の計算機への実装を目標とする.

  • Research Products

    (2 results)

All 2008 Other

All Journal Article (2 results) (of which Peer Reviewed: 2 results)

  • [Journal Article] Asymptotic Expansion for Stochastic Processes2008

    • Author(s)
      Sakamoto, Y. and Yoshida, N.
    • Journal Title

      Journal of Japan Statistical Society vol.38

      Pages: 173-185

    • Peer Reviewed
  • [Journal Article] Third-orderasymptotic expansion of M-estimators for diffusion processes

    • Author(s)
      Sakamoto, Y. and Yoshida, N.
    • Journal Title

      Annals of the Institute of Statistical Mathematics (掲載予定)

      Pages: 2009

    • Peer Reviewed

URL: 

Published: 2010-06-11   Modified: 2016-04-21  

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