第10回デリバティブ部会セミナー

投稿日: 2013/09/17 12:18:06

日時：2013年10月23日(水曜) 19:00- 20:00

場所：立命館大学東京キャンパス（サピアタワー8F )

講師：Alex Novikov 氏 (University of Technology, Sydney,)

講演タイトル：On moments of Pitman estimators: the case of fractional Brownian motion

講演概要：

Abstract. In some non-regular statistical estimation problems, the limiting likelihood processes are generated by fractional Brownian motion (fBm) with Hurst's parameter H, 0 < H  < 1. For these cases we present several analytical and numerical results on the moments of Pitman estimators, also known as Bayesian estimators with a constant prior on real line. We also present selected simulation results for the variance of Pitman estimators.