統計学輪講（第３回）

日時    2004年 4月 20日(火)　15時〜16時40分
場所    経済学部新棟３階第３教室
講演者  国友 直人(経済)
演題    Empirical Likelihood Estimation of Levy Processes
概要：
 A Joint Work with Takashi Owada (Bank of Japan).
We propose a new parameter estimation procedure for the L${\acute e}$vy 
processes and the class of infinitely divisible distributions.
We shall show that the empirical likelihood method gives an easy way to 
estimate the key parameters of the infinitely divisible distributions 
including the class of stable distributions as a special case.
The maximum empirical likelihood estimator by using the characteristic 
functions gives the consistency, the asymptotic normality, and the 
asymptotic efficiency for the key parameters when the number of 
restrictions on the empirical characteristic functions is large.
Some extensions to the estimating equations problem
with the infinitely divisible distributions are discussed.

統計学輪講のスケジュールに戻る．

Tokyo University