کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155996 | 958792 | 2009 | 21 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Parametric estimation for partially hidden diffusion processes sampled at discrete times
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
For a one-dimensional diffusion process X={X(t);0≤t≤T}, we suppose that X(t)X(t) is hidden if it is below some fixed and known threshold ττ, but otherwise it is visible. This means a partially hidden diffusion process. The problem treated in this paper is the estimation of a finite-dimensional parameter in both drift and diffusion coefficients under a partially hidden diffusion process obtained by a discrete sampling scheme. It is assumed that the sampling occurs at regularly spaced time intervals of length hnhn such that nhn=Tnhn=T. The asymptotic is when hn→0hn→0, T→∞T→∞ and nhn2→0 as n→∞n→∞. Consistency and asymptotic normality for estimators of parameters in both drift and diffusion coefficients are proved.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 119, Issue 5, May 2009, Pages 1580–1600
Journal: Stochastic Processes and their Applications - Volume 119, Issue 5, May 2009, Pages 1580–1600
نویسندگان
Stefano Maria Iacus, Masayuki Uchida, Nakahiro Yoshida,