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时变扩散模型中扩散系数的核估计 被引量:1

Kernel Estimation of the Diffusion Efficient in the Time-Dependent Diffusion Models
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摘要 本文研究了时变扩散方程基于离散时间样本观察值的非参数估计问题.针对时变扩散系数,用"分时段"的方法构造出了扩散系数的局部核估计,证明了估计量的强相合性. This paper studies non-parametric kernel estimates of the time-dependent diffusion equation based on the observations of discrete samples. We construct local kernel estimation of the time-dependent diffusion coefficient using "sectional" method.Furthermore we proved the strong consistency of the estimator.
作者 马雷 陈萍
出处 《应用概率统计》 CSCD 北大核心 2012年第5期489-498,共10页 Chinese Journal of Applied Probability and Statistics
基金 国家社会科学基金(09BTJ004)资助
关键词 时变扩散方程 扩散系数 核估计 强相合性. Time dependent equation, diffusion efficient, kernel estimation, strong consistency.
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参考文献12

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同被引文献9

  • 1陈萍,王金德.时变扩散模型中扩散系数的小波估计[J].中国科学(A辑),2007,37(6):719-732. 被引量:1
  • 2Ho T S Y, Lee S B. Term structure movements and pricing interest rate contingent claims. J Finance, 1986, 41:1011-1029.
  • 3Hull J, White A. Pricing interest-rate derivative securities. Rev Finan Stud, 1990, 3:573-592.
  • 4Black F, Karasinski P. Bond and option pricing when short rates are 10gnormal. Finan Analysts J, 1991, 47:52-59.
  • 5Fan J, Jiang J, Zhang C, Zhou Z. Time-dependent diffusion models for term structure dynamics and the stock price volatility. Statistica Sinica, 2003, 13:965-992.
  • 6Fan J, Huang T. Profile likelihood inferences on semi-parametric varying-coefficient partially linear models. Bernoulli. 2005. 11:1031-1057.
  • 7Revuz D, Yor M. Continuous Martingales and Brownian Motion. New York: Springer-Verlag, 1998.
  • 8Bandi F M, Phillips P C B. Fully nonparametric estimation of scalar diffusion models. Econometrica, 2003, 71:241-283.
  • 9Karatzas I, Shreve S E. Brownian Motion and Stochastic Calculus. New York: Springer-Verlag, 1991.

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