Art

J-GLOBAL ID：201702230443705690   Reference number：17A0991442

Levy駆動型確率微分方程式の段階的推定について

Author (2)： UEHARA YUUMA (九大 大学院数理学研究院) ,  MASUDA HIROKI (九大 大学院数理学研究院)
Material： 統計数理  (Proceedings of the Institute of Statistical Mathematics)
Volume： 65  Issue： 1  Page： 21-38  Publication year： Jun. 2017 
JST Material Number： F0407A  ISSN： 0912-6112  Document type： Article
Article type： 短報  Country of issue： Japan (JPN)  Language： JAPANESE (JA)

Thesaurus term： *stochastic differential equation ,  *stochastic process ,  *statistical estimation ,  drift (migration) ,  stochastic model ,  ergodic property ,  estimated accuracy ,  covariance matrix ,  high-frequent data ,  computation workload ,  numerical experiment ,  mathematical model
Semi thesaurus term： Levy process ,  non-Gaussianity ,  score function

JST classification (2)： Theory of probability  (AB09000O) ,  Fluctuation phenomena,random process,Brownian motion,and transport process  (BA08020B)

Reference (10)：

• Barndorff-Nielsen, O. E. (1998). Processes of normal inverse Gaussian type, Finance and Stochastics, 2(1), 41-68.
• Brouste, A., Fukasawa, M., Hino, H., Iacus, S., Kamatani, K., Koike, Y., Masuda, H., Nomura, R., Ogihara, T., Shimizu, Y., Uchida, M. and Yoshida, N. (2014). The YUIMA project: A computational framework for simulation and inference of stochastic differential equations, Journal of Statistical Software, 57(4), 1-51.
• Dvoretzky, A. (1972). Asymptotic normality for sums of dependent random variables, Proceedings of the Sixth Berkeley Symposium on Mathematical Statistics and Probability (University of California, Berkeley, California, 1970/1971), Vol. II: Probability Theory, 513-535, University of California Press, Berkeley, California.
• Genon-Catalot, V. and Jacod, J. (1993). On the estimation of the diffusion coefficient for multidimensional diffusion processes, Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 29, 119-151.
• Kamatani, K. and Uchida, M. (2015). Hybrid multi-step estimators for stochastic differential equations based on sampled data, Statistical Inference for Stochastic Processes, 18(2), 177-204.

Terms in the title (3)： 確率微分方程式 ,  段階 ,  推定