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統計数学セミナー
Seminar on Probability and Statistics |
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Seminar on Probability and Statistics Thursday October 9 2003 Tokyo 118 4:30-5:40 pm
Nonparametric Estimation of Diffusion Processes with Jumps by the Method of Nearest Neighbors
清水 泰隆 / SHIMIZU, Yasutaka 東京大学大学院数理科学研究科 / Graduate school of Mathematical Sciences, Univ. of Tokyo Abstract （１次元）ジャンプ型拡散過程のドリフト項, 拡散項を
離散観測からノンパラ的に推定する. 局所時間が重要な役割を果たす.
Florens-Zmirou (1993, JAP)の（１次元）拡散過程に関する結果の拡張.
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