摘要
基于离散观测样本,利用局部线性拟合,得到了局部平稳扩散模型中时变漂移参数的加权最小二乘估计,并讨论了估计量的相合性,渐近正态性和一致收敛速度.同时,通过模拟研究说明了估计量的有效性.
Based on discretely observed sample of local stationary diffusion model, the weighted least squares estimations of time-varying drift parameters are obtained by using local linear fitting. The consistency, asymptotic normality and convergence rate of the proposed estimations are discussed. Moreover, it is shown that the estimations are effective through a simulation study.
出处
《高校应用数学学报（A辑）》
CSCD
北大核心
2014年第3期277-287,共11页
Applied Mathematics A Journal of Chinese Universities(Ser.A)
基金
国家自然科学基金(11171221)
上海市一流学科(系统科学)(XTKX2012)
关键词
局部平稳扩散模型
局部线性拟合
加权最小二乘估计
相合性
渐近正态性
收敛速度
local stationary diffusion model
local linear fitting
weighted least squares method
consistency
asymptotic normality
convergence rate
