分数阶lsamvy过程驱动的离散观测Cox-Ingersoll-Ross模型参数估计

IF 1.8 3区 数学 Q1 MATHEMATICS
Jiangrui Ding, Chao Wei
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引用次数: 0

摘要

本文研究了离散观测值中含有分数阶lsamvy噪声的Cox-Ingersoll-Ross模型的最小二乘估计。给出了最小二乘估计的对比函数。当离散系数分别为$\varepsilon \to 0$、$n \to \infty $、$\varepsilon {n^{\frac{1}{2} - d}} \to 0$和$n\varepsilon \to \infty $时,得到了估计量的相合性和渐近分布。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Parameter estimation for discretely observed Cox–Ingersoll–Ross model driven by fractional Lévy processes
This paper deals with least squares estimation for the Cox–Ingersoll–Ross model with fractional Lévy noise from discrete observations. The contrast function is given to obtain the least squares estimators. The consistency and asymptotic distribution of estimators are derived when a small dispersion coefficient $\varepsilon \to 0$, $n \to \infty $, $\varepsilon {n^{\frac{1}{2} - d}} \to 0$, and $n\varepsilon \to \infty $ simultaneously.
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来源期刊
AIMS Mathematics
AIMS Mathematics Mathematics-General Mathematics
CiteScore
3.40
自引率
13.60%
发文量
769
审稿时长
90 days
期刊介绍: AIMS Mathematics is an international Open Access journal devoted to publishing peer-reviewed, high quality, original papers in all fields of mathematics. We publish the following article types: original research articles, reviews, editorials, letters, and conference reports.
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