Adaptive estimation of an ergodic diffusion process based on sampled data
Adaptive estimation of an ergodic diffusion process based on sampled data
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DOI：
10.1016/j.spa.2012.04.001
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发表时间：
2012-08-01
影响因子：
1.4
通讯作者：
Yoshida, Nakahiro
中科院分区：
文献类型：
--
作者：
Uchida, Masayuki;Yoshida, Nakahiro
我们考虑基于离散观测的遍历扩散过程的漂移和扩散系数参数的自适应最大似然类型估计。提出了两种自适应最大似然型估计器，并获得了自适应估计器的渐近性质，包括矩收敛。 (C) 2012 Elsevier B.V. 保留所有权利。
We consider adaptive maximum likelihood type estimation of both drift and diffusion coefficient parameters for an ergodic diffusion process based on discrete observations. Two kinds of adaptive maximum likelihood type estimators are proposed and asymptotic properties of the adaptive estimators, including convergence of moments, are obtained. (C) 2012 Elsevier B.V. All rights reserved.