[Forum SIS] Seminario H. Masuda

[stefano iacus]

Il giorno 3 luglio 2009, ore 12.00,
Aula 22 I Piano, Facoltà di Scienze Politiche, Via Conservatorio 7,  
Milano,


Hiroki Masuda

Graduate School of Mathematics, Kyushu University, Japan

terrà un seminario dal titolo:

"On explicit estimation of Lévy-driven SDEs"

segue abstract

Lévy processes serve as the general continuous-time noise process. Due  
to diversity of the jump component, parametric estimation of Lévy- 
driven nonlinear stochastic differential equations (SDEs) has been a  
difficult problem, and no general result has been obtained as yet.
In this talk, we consider approximate quadratic martingale estimating  
functions for a parametric model consisting of discrete-time sample  
from "ergodic" SDEs driven by a centered Lévy process. Although this  
estimation procedure does not give rise to an optimal estimator in the  
presence of jumps, it has a merit of robustness to the specification  
of the Lévy measure, which we may regard as a nuisance parameter.








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Stefano M. Iacus
Dipartimento di Scienze Economiche, Aziendali e Statistiche
Universita' di Milano
Via Conservatorio, 7
I-20123 Milano
Tel: 02 50321 461
Fax: 02 50321 505
http://www.economia.unimi.it/iacus
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