ANNUNCIO DI SEMINARIO
Il giorno 9 Giugno 2011 alle ore 11.00 presso la Sala di Rappresentanza del Dipartimento di Matematica via Saldini 50, Milano
il
Prof. Yuri Kutoyants, Université du Maine, France
terra’ il seguente seminario:
On identification of threshold diffusion processes
Abstract. We consider several problems of threshold estimation for ergodic diffusion processes. It is shown that the maximum likelihood and bayesian estimators are consistent, have singular rate of convergence and the bayesian estimators are asymptotically efficient. The properties of these estimators are described in non regular situations too.