Apr 2014-Mar 2015

Math-Fi seminar on 30 Oct.

2014.10.25 Sat up
  • Date : 30 Oct. (Thu)
  • Place: W.W. 7th-floor, 4th lab.
  • Time : 16:30 – 18:00
  • Speaker: Dmitry Ivanenko
  • Title: LA(M)N property for Markov models
  • Abstract: A sequence of statistical models is “locally asymptotically normal” if, asymptotically, their likelihood ratio processes are similar to those for a normal location parameter. Technically, this is if the likelihood ratio processes admit a certain quadratic expansion. By the Hajek Theorem if a statistical model possesses the LAN property then we can write asymptotically minimax limit of risks for any statistics. In addition with the aim of this property we can establish some impotent statistical characteristics of MLE.
     The general sufficient condition of LAN is obtained for a statistical model based on a discrete observations of a Markov process.
     By means of this result, the LAN property is proved in the statistical model based on discrete-time observations of a solution to a L´evy driven SDE.

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