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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 Wednesday May 19 2010 Tokyo 002 3:00-4:10 pm
Estimation of the variance-covariance structure for stochastic processes and applications of YUIMA
吉田 朋広 / YOSHIDA, Nakahiro 東京大学大学院数理科学研究科 / Graduate school of Mathematical Sciences, Univ. of Tokyo Abstract We discuss limit theorems and asymptotic expansions
in estimation of the variance-covariance structure for Ito processes.
We will show some numerical examples by YUIMA, a package for
statistical analysis and simulation of stochastic differential equations.
伊藤過程の分散および共分散構造の推定に関連した 極限定理と漸近展開について話す． 確率微分方程式に対する，統計解析とシミュレーションのための 統計パッケージYUIMAによる数値例も紹介する． |
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