关于分数 SDE 中漂移参数的可计算斯科罗霍德积分估计器

IF 0.8 4区数学 Q3 STATISTICS & PROBABILITY

Scandinavian Journal of Statistics Pub Date : 2024-03-23 DOI:10.1111/sjos.12711

Nicolas Marie

{"title":"关于分数 SDE 中漂移参数的可计算斯科罗霍德积分估计器","authors":"Nicolas Marie","doi":"10.1111/sjos.12711","DOIUrl":null,"url":null,"abstract":"This paper deals with a Skorokhod's integral‐based least squares‐ (LS) type estimator of the drift parameter computed from multiple (possibly dependent) copies of the solution of a stochastic differential equation (SDE) driven by a fractional Brownian motion of Hurst index . On the one hand, some convergence results are established on our LS estimator when . On the other hand, when , Skorokhod's integral‐based estimators cannot be computed from data, but in this paper some convergence results are established on a computable approximation of our LS estimator.","PeriodicalId":49567,"journal":{"name":"Scandinavian Journal of Statistics","volume":null,"pages":null},"PeriodicalIF":0.8000,"publicationDate":"2024-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"On a computable Skorokhod's integral‐based estimator of the drift parameter in fractional SDE\",\"authors\":\"Nicolas Marie\",\"doi\":\"10.1111/sjos.12711\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper deals with a Skorokhod's integral‐based least squares‐ (LS) type estimator of the drift parameter computed from multiple (possibly dependent) copies of the solution of a stochastic differential equation (SDE) driven by a fractional Brownian motion of Hurst index . On the one hand, some convergence results are established on our LS estimator when . On the other hand, when , Skorokhod's integral‐based estimators cannot be computed from data, but in this paper some convergence results are established on a computable approximation of our LS estimator.\",\"PeriodicalId\":49567,\"journal\":{\"name\":\"Scandinavian Journal of Statistics\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.8000,\"publicationDate\":\"2024-03-23\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Scandinavian Journal of Statistics\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1111/sjos.12711\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Scandinavian Journal of Statistics","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1111/sjos.12711","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}

引用次数: 0

摘要

本文论述了一种基于斯科洛克霍德积分的最小二乘法（LS）型漂移参数估计器，该估计器由赫斯特指数为.的分数布朗运动驱动的随机微分方程（SDE）解的多个（可能依赖的）副本计算得出。一方面，当......时，我们的 LS 估计器建立了一些收敛结果。另一方面，当 , 时，Skorokhod 基于积分的估计器无法从数据中计算出来，但本文对我们的 LS 估计器的可计算近似值建立了一些收敛结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

On a computable Skorokhod's integral‐based estimator of the drift parameter in fractional SDE

This paper deals with a Skorokhod's integral‐based least squares‐ (LS) type estimator of the drift parameter computed from multiple (possibly dependent) copies of the solution of a stochastic differential equation (SDE) driven by a fractional Brownian motion of Hurst index . On the one hand, some convergence results are established on our LS estimator when . On the other hand, when , Skorokhod's integral‐based estimators cannot be computed from data, but in this paper some convergence results are established on a computable approximation of our LS estimator.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Scandinavian Journal of Statistics 数学-统计学与概率论

CiteScore

1.80

自引率

0.00%

发文量

审稿时长

6-12 weeks

期刊介绍： The Scandinavian Journal of Statistics is internationally recognised as one of the leading statistical journals in the world. It was founded in 1974 by four Scandinavian statistical societies. Today more than eighty per cent of the manuscripts are submitted from outside Scandinavia. It is an international journal devoted to reporting significant and innovative original contributions to statistical methodology, both theory and applications. The journal specializes in statistical modelling showing particular appreciation of the underlying substantive research problems. The emergence of specialized methods for analysing longitudinal and spatial data is just one example of an area of important methodological development in which the Scandinavian Journal of Statistics has a particular niche.