Two-step estimation of ergodic Lévy driven SDE
Two-step estimation of ergodic Lévy driven SDE
复制标题
遍历 L 的两步估计
DOI：
10.1007/s11203-016-9133-5
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发表时间：
2016
影响因子：
0.8
通讯作者：
Hiroki Masuda and Yuma Uehara
中科院分区：
文献类型：
--
作者：
Kenta KOBAYASHI;Takuya TSUCHIYA;土屋卓也;Kenta Kobayashi,Takuya Tsuchiya;Hiroki Masuda and Yuma Uehara
我们考虑了包含未知参数和漂移系数和尺度系数的遍历lsamvy驱动随机微分方程的高频样本。我们假设lsamvy测度，有所有阶矩，但没有完全指定。我们将证明一类泛函参数和的估计量的联合渐近正态性，这类泛函参数是分两步构造的：首先，我们使用高斯拟似然估计；然后，我们利用基于欧拉型残差的矩量方法和先前得到的拟似然估计量进行估计。
We consider high frequency samples from ergodic Lévy driven stochastic differential equation with drift coefficientand scale coefficientinvolving unknown parametersand. We suppose that the Lévy measure, has all order moments but is not fully specified. We will prove the joint asymptotic normality of some estimators of,and a class of functional parameter, which are constructed in a two-step manner: first, we use the Gaussian quasi-likelihood for estimation of; and then, for estimatingwe make use of the method of moments based on the Euler-type residual with the the previously obtained quasi-likelihood estimator.