Art

J-GLOBAL ID：200902269001390733   Reference number：09A0039128

ASYMPTOTIC EXPANSION FOR STOCHASTIC PROCESSES: AN OVERVIEW AND EXAMPLES

確率過程に対する漸近展開:概論と事例

Author (2)： SAKAMOTO Yuji (Kobe Univ., Kobe, JPN) ,  YOSHIDA Nakahiro (Univ. Tokyo, Tokyo, JPN)
Material： Journal of the Japan Statistical Society  (J Jpn Stat Soc)
Volume： 38  Issue： 1  Page： 173-185  Publication year： Jun. 2008 
JST Material Number： L7007A  ISSN： 1882-2754  Document type： Article
Article type： 文献レビュー  Country of issue： Japan (JPN)  Language： ENGLISH (EN)

Thesaurus term： *asymptotic series ,  *Markov process ,  *diffusion process ,  characteristic ,  martingale ,  estimator ,  regression model ,  time series analysis ,  epsilon expansion
Semi thesaurus term： mixing model ,  mixing characteristic ,  *point process

JST classification (2)： Statistics  (AB08000H) ,  System and control theory in general  (IA02010H)

Reference (15)：

• (1)Kusuoka, S. and Yoshida, N. (2000). Malliavin calculus, geometric mixing, and expansion of diffusion functionals, Probab. Theory Related Fields, 116(4), 457–484.
• (2)Kutoyants, Y. A. (2004). Statistical Inference for Ergodic Diffusion Processes, Springer Series in Statistics, Springer-Verlag London Ltd., London.
• (3)Kutoyants, Y. and Yoshida, N. (2007). Moment estimation for ergodic diffusion processes, Bernoulli, 13(4), 933–951.
• (4)Masuda, H. and Yoshida, N. (2005). Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model, Stochastic Process. Appl., 115(7), 1167–1186.
• (5)Sakamoto, Y. (2000). Asymptotic expansions of test statistics for stochastic processes, Theory of Statistical Analysis and Its Applications (3), volume 130 of Cooperative Research Report, pp. 19–32, The Institute of Statistical Mathematics.

Terms in the title (2)： 確率過程 ,  漸近展開