統計数学セミナー
Seminar on Probability and Statistics
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Seminar on Probability and Statistics
Monday October 31 2016
Tokyo 123
2:50-3:40 pm


Parameter estimation for diffusion processes with high-frequency observations


Teppei Ogihara
The Institute of Statistical Mathematics, JST PRESTO, JST CREST

Abstract

We study statistical inference for security prices modeled by diffusion processes with high-frequency observations. In particular, we focus on two specific problems on analysis of high-frequency data, that is, nonsynchronous observations and the presence of observation noise called market microstructure noise. We construct a maximum-likelihood-type estimator of parameters, and study their asymptotic mixed normality. We also discuss on asymptotic efficiency of estimators.




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Seminar on Probability and Statistics