Sharp Error Estimate for Maximum Likelihood Estimator of Nonstationary Diffusion Processes

Sharp Error Estimate for Maximum Likelihood Estimator of Nonstationary Diffusion Processes

导出

摘要 We consider the maximum likelihood estimator of the unknown parameter in aclass of nonstationary diffusion processes. We give further a precise estimate for the error of theestimator. We consider the maximum likelihood estimator of the unknown parameter in aclass of nonstationary diffusion processes. We give further a precise estimate for the error of theestimator.

作者 ZhiYanXU WeiAnZHENG

机构地区 DepartmentofStatistics DepartmentofStatistics

出处《Acta Mathematica Sinica,English Series》 SCIE CSCD 2005年第2期303-314,共12页 数学学报（英文版）

基金 Research partially supported by N.S.F.Grants DMS-0203823 Doctoral Program Foundation of the Ministry of Education of China,Grant No.20020269015

关键词 stochastic differential equation diffusion processes maximum likelihoodestimator stochastic differential equation diffusion processes maximum likelihoodestimator

分类号 O211.63 [理学—概率论与数理统计]

引文网络
相关文献

参考文献5

1Prakasa Rao, B. L. S.: Statististical Inference for Diffusion Type Processes, Arnold, Co-published in the USA bv Oxford University Press, Inc., 1999.
2Bishwal, J. P. N.: Large deviations inequalities for the maximum likelihood estomator and Bayes estimators in nonlinear stochastic diferential equations. Staticstics and Probability Letters, 43, 207-215 (1999).
3Ibraginmov, I. A.: Has's Minskii, Statistical Estimation : Asymptotic Theory, Springer, Berlin, 1981.
4Qian, Z., Zheng, W.: Sharp bounds for transition densities of a class of diffusions. Comtes Rendus de Academie des Sciences, Serie I, 335, 953 957 (2002).
5Van, J. A.: Une remarque sur solutions faibles des equations differentielles stochastiques unidimensionnelles.Lecture Notes in Math., 986, Springer, Berlin, pp. 78-80, 1983.

1王文周.平均值置信区间的公式表示[J].信阳师范学院学报（自然科学版）,2002,15(1):42-43. 被引量：1
2Baghery-Kabbaj Fouzia Massa-Turpin Isabelle.Impulse Control Problem of Partially Observed Diffusion Processes[J].Computer Technology and Application,2011,2(1):80-84.
3QI Yongcheng(Department of Probability and Statistics, Peking University, Beijing 100871, China).A　SIMPLE　ESTIMATOR　FOR　AN　EXPONENTIAL　TAIL　COEFFICIENT[J].Systems Science and Mathematical Sciences,1996,9(2):151-156.
4金忠.圆概率偏差的测定与检验[J].南京理工大学学报,1995,19(2):135-138. 被引量：6
5王风雨.Ergodicity for Infinite-dimensional Diffusion Processes on Manifolds[J].Science China Mathematics,1994,37(2):137-146. 被引量：2
6ZANG QingPei,ZHANG LiXin.Parameter estimation for generalized diffusion processes with reflected boundary[J].Science China Mathematics,2016,59(6):1163-1174. 被引量：2
7Huijie JI,Jinghai SHAO.First passage probabilities of one-dimensional diffusion processes[J].Frontiers of Mathematics in China,2015,10(4):901-916. 被引量：2
8许伟.不完备信息系统中知识发现的新方法[J].保定师范专科学校学报,2005,18(2):10-13.
9XI FuBao,SHAO JingHai.Successful couplings for difusion processes with state-dependent switching[J].Science China Mathematics,2013,56(10):2135-2144. 被引量：2
10胡耀忠,Nualart David,肖炜麟,张卫国.EXACT MAXIMUM LIKELIHOOD ESTIMATOR FOR DRIFT FRACTIONAL BROWNIAN MOTION AT DISCRETE OBSERVATION[J].Acta Mathematica Scientia,2011,31(5):1851-1859. 被引量：5

Acta Mathematica Sinica,English Series

2005年第2期

浏览历史

内容加载中请稍等...

Sharp Error Estimate for Maximum Likelihood Estimator of Nonstationary Diffusion Processes

参考文献5

相关作者

相关机构

相关主题

浏览历史