ASYMPTOTIC EXPANSION UNDER DEGENERACY

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概要

• 論文の詳細を見る

• We will consider a stochastic expansion described by random variables whose covariance matrix is asymptotically degenerate. Though the conventional approach with Bhattacharya-Ghosh's transform requires the nondegeneracy of the covariance matrix, it is known that this method still works even in degenerate cases@with the help of the so-called global@approach. In this paper, we explain this fact and also mention, as an example, the third order asymptotic expansion of the maximum like- lihood estimator for the O-U process.

• 一般社団法人日本統計学会の論文

著者

• 阪本 雄二

  Faculty Of Human Environment Hiroshima International University

• Sakamoto Yuji

  Faculty of Human Environment, Hiroshima International University

• Yoshida Nakahiro

  Graduate School of Mathematical Sciences, University of Tokyo

• Yoshida Nakahiro

  Graduate School Of Mathematical Sciences University Of Tokyo

関連論文

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• 連続時間ミキシング過程に対する3次の漸近展開とその応用
• MONTE CARLO SIMULATION WITH ASYMPTOTIC METHOD

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