数学学科Seminar第2175讲 alpha-Wiener 桥过程漂移参数极大似然估计的渐近行为

创建时间:  2021/11/03  龚惠英   浏览次数:   返回

报告题目 (Title): alpha-Wiener 桥过程漂移参数极大似然估计的渐近行为

报告人 (Speaker): 王绍臣 博士(华南理工大学)

报告时间 (Time):2021年11月7日(周日) 9:00

报告地点 (Place):腾讯会议(会议号:251 720 050)

邀请人(Inviter):张阳春

主办部门:理学院数学系

报告摘要:In this talk, we study the asymptotic behavior, including Cram\'{e}r-type moderate deviations and optimal Berry-Esseen bounds for maximum likelihood estimator of drift parameter in $\alpha$-Wiener bridge process. For statistical practice, a self-normalized version asymptotic result for maximum likelihood estimator is also established. Numerical simulations show that our new established maximum likelihood estimator based test statistic outperforms than the moment estimator based test statistic and the likelihood ratio test statistic in literature.

上一条:数学学科Seminar第2176讲 高维混合模型的聚类问题

下一条:数学学科Seminar第2174讲 椭球分布样本协方差矩阵的离群特征值和最大非离群值的渐进分布


数学学科Seminar第2175讲 alpha-Wiener 桥过程漂移参数极大似然估计的渐近行为

创建时间:  2021/11/03  龚惠英   浏览次数:   返回

报告题目 (Title): alpha-Wiener 桥过程漂移参数极大似然估计的渐近行为

报告人 (Speaker): 王绍臣 博士(华南理工大学)

报告时间 (Time):2021年11月7日(周日) 9:00

报告地点 (Place):腾讯会议(会议号:251 720 050)

邀请人(Inviter):张阳春

主办部门:理学院数学系

报告摘要:In this talk, we study the asymptotic behavior, including Cram\'{e}r-type moderate deviations and optimal Berry-Esseen bounds for maximum likelihood estimator of drift parameter in $\alpha$-Wiener bridge process. For statistical practice, a self-normalized version asymptotic result for maximum likelihood estimator is also established. Numerical simulations show that our new established maximum likelihood estimator based test statistic outperforms than the moment estimator based test statistic and the likelihood ratio test statistic in literature.

上一条:数学学科Seminar第2176讲 高维混合模型的聚类问题

下一条:数学学科Seminar第2174讲 椭球分布样本协方差矩阵的离群特征值和最大非离群值的渐进分布