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Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete obser
日期:2020/10/14 13:08:30  发布:数学科学学院  浏览: 1363

时间:2020年10月20日(星期二)  下午1:00

地点:腾讯会议ID:888389227,密码:10332


报告题目:Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
主讲人:蒋辉

   

    报告摘要:In this talk, under discrete observations, we study Cramer-type moderate deviations (extended central limit theorem) for parameter estimation in Ornstein-Uhlenbeck process. Our results contain both stationary and explosive cases. For applications, we propose test statistics which can be used to construct rejection regions in the hypothesis testing for the drift coefficient, and the corresponding probability of type II error tends to zero exponentially. Simulation study shows that our test statistics have good finite-sample performances both in size and power. The main methods include the deviation inequalities for multiple Wiener-Ito integrals, as well as the asymptotic analysis techniques. This is a joint work with Liu Hui and Zhou Youzhou.

    报告人简介:蒋辉,教授,博士生导师。主要从事随机分析、大偏差、随机过程统计推断等研究,作为主要成员获教育部高等学校优秀科研成果二等奖以及湖北省自然科学二等奖,主持国家自然科学基金3项,中国博士后基金2项。

 

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