Small-diffusion asymptotics for discretely sampled stochastic differential equations
Small-diffusion asymptotics for discretely sampled stochastic differential equations
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DOI：
10.3150/bj/1072215200
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发表时间：
2003-12
期刊：
影响因子：
1.5
通讯作者：
Michael Sørensen;Masayuki Uchida
中科院分区：
文献类型：
--
作者：
Michael Sørensen;Masayuki Uchida
当样本路径在等距时刻k/n，k0，1，…，n时，基于对转移密度的高斯近似，给出了具有小弥散参数e的多维扩散过程漂移和扩散系数参数的最小对比度估计.我们研究了当e到0，n同时到oc时，最小对比度估计的渐近结果.
The minimum-contrast estimation of drift and diffusion coefficient parameters for a multidimensional diffusion process with a small dispersion parameter e based on a Gaussian approximation to the transition density is presented when the sample path is observed at equidistant times k/n, k 0, 1, ..., n. We study asymptotic results for the minimum-contrast estimator as e goes to 0 and n goes to oc simultaneously.