統計数学セミナー
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Seminar on Probability and Statistics Tuesday April 26 2016 Tokyo 123 14:30-15:50 am
LAMN property and optimal estimation for diffusion with non synchronous observations
Teppei Ogihara Institute of Statistical Mathematics, JST PRESTO, JST CREST Abstract We study so-called local asymptotic mixed normality (LAMN) property for a statistical model generated by nonsynchronously observed diffusion processes using a Malliavin calculus technique. The LAMN property of the statistical model induces an asymptotic minimal variance of estimation errors for any estimators of the parameter. We also construct an optimal estimator which attains the best asymptotic variance.
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