针对高频数据的瓦西切克综合扩散过程对比度估算

IF 0.8 4区数学 Q3 STATISTICS & PROBABILITY

Communications in Statistics-Simulation and Computation Pub Date : 2024-04-09 DOI:10.1080/03610918.2024.2337077

Shanchao Yang, Zhiyong Li, Jiaying Xie, Shuyi Luo, Xin Yang

引用次数: 0

摘要

本文旨在研究 Vasicek 集成扩散过程的参数估计。基于对比度函数，Vasicek 积分扩散过程的参数对比度估算器可用于估算 Vasicek 积分扩散过程。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Contrast estimation of the Vasicek integrated diffusion process for high-frequency data

The purpose of this paper is to study the parameter estimation of the Vasicek integrated diffusion process. Based on the contrast function, the parameter contrast estimators of the Vasicek integrat...

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来源期刊

Communications in Statistics-Simulation and Computation 数学-统计学与概率论

CiteScore

2.50

自引率

11.10%

发文量

240

审稿时长

6 months

期刊介绍： The Simulation and Computation series intends to publish papers that make theoretical and methodological advances relating to computational aspects of Probability and Statistics. Simulational assessment and comparison of the performance of statistical and probabilistic methods will also be considered for publication. Papers stressing graphical methods, resampling and other computationally intensive methods will be particularly relevant. In addition, special issues dedicated to a specific topic of current interest will also be published in this series periodically, providing an exhaustive and up-to-date review of that topic to the readership.