摘要
时间域州域的方法是在现代金融分析的普通途径。经济条件改变时间，飘移功能为一个给定的州的变量取决于时间和价格水平。在这份报纸，工作一致地估计 bivariate 飘移，我们的目的由梳时间的一个新动态综合评估者 -- 并且为估计的州域的方法漂流功能。并且我们建立它的 asymptotic 性质并且说明它由模拟超过一些旧的。
Time-domain state-domain methods are common approaches in modern financial analysis.Economic conditions vary time,drift function depends on time and price level for a given state variable.In this paper,to consistently estimate the bivariate drift function,our purpose a new dynamic integrated estimator by combing time-and state-domain methods for estimating drift function.And we establish its asymptotic properties and illustrates it outperforms some old ones by simulations.
基金
Supported by the Natural Science Research Foundation of Education Department of Guizhou Province(20090080,2010076)
Supported by the Project of Kaili University(Z1004)
Supported by the Key Discipline Construction Program of Kaili University(KZD2009001)
关键词
时间域
州域
综合评估者
飘移功能
time-domain
state-domain
integrated estimator
drift function
