分数布朗运动模型中贝叶斯估计的渐近正态性(英文)

ASYMPTOTIC NORMALITY OF THE BAYES ESTIMATOR IN FRACTIONAL BROWNIAN MOTION MODEL

本文研究了由分数布朗运动驱动的线性随机微分方程中贝叶斯估计的渐近趋势.利用分数布朗运动的随机积分理论和Girsanov公式,得到了在平方损失函数下贝叶斯估计的渐近正态性.

In this paper, we discuss the asymptotic behavior of the Bayes estimator for a linear stochastic differential equation with factional Brownian motion. According to the stochastic analysis for fractional Brownian motion and Girsanov formula, we obtain the asymptotic normality of the usual Bayes estimator under quadratic loss function.