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2013 | OriginalPaper | Chapter

On Singularity of Fisher Information Matrix for Stochastic Processes Under High Frequency Sampling

Author : R. Kawai

Published in: Numerical Mathematics and Advanced Applications 2011

Publisher: Springer Berlin Heidelberg

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Abstract

We discuss the singularity of the Fisher information arising from statistical inference for continuous-time stochastic processes of practical interest, such as asset price dynamics in finance and individual animal movement in biology, under high frequency discrete sampling schemes. Singularity seems to be caused by the scale parameter and the selfsimilarity index, while there exists a different type of singularity resulting from some redundancy of parameters in the short time framework. We derive the speed of convergence of the Fisher information to singularity for some instances and show that the convergence to singularity may be delayed through a wise expansion of the total observation window.

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previous chapter SAVU: A Statistical Approach for Uncertain Data in Dynamics of Axially Moving Materials
next chapter Hierarchical Model Reduction: Three Different Approaches
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Metadata
Title
On Singularity of Fisher Information Matrix for Stochastic Processes Under High Frequency Sampling
Author
R. Kawai
Copyright Year
2013
Publisher
Springer Berlin Heidelberg
Book
Numerical Mathematics and Advanced Applications 2011

Print ISBN: 978-3-642-33133-6

Electronic ISBN: 978-3-642-33134-3

Copyright Year: 2013

DOI
https://doi.org/10.1007/978-3-642-33134-3_87

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