Approximate martingale estimating functions for stochastic differential equations with small noises
Approximate martingale estimating functions for stochastic differential equations with small noises
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DOI：
10.1016/j.spa.2007.10.008
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发表时间：
2008-09
影响因子：
1.4
通讯作者：
Masayuki Uchida
中科院分区：
文献类型：
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作者：
Masayuki Uchida
针对具有小扰动参数ε的一维扩散过程在n个规则时间点k/n（k= 0，1，..，n）上的离散观测值对未知漂移参数的估计问题，提出了一种具有特征函数的近似鞅估计函数.证明了当ε→0和n→∞时，由近似鞅估计函数导出的M-估计的渐近有效性.
An approximate martingale estimating function with an eigenfunction is proposed for an estimation problem about an unknown drift parameter for a one-dimensional diffusion process with small perturbed parameter ε from discrete time observations at n regularly spaced time points k/n, k=0,1,…,n. We show asymptotic efficiency of an M-estimator derived from the approximate martingale estimating function as ε→0 and n→∞ simultaneously.