摘要
本文利用极大似然方法基于离散观测研究混合次分数Brown运动的参数估计问题,得到了这些估计的渐近性质.结合Stein方法和Malliavin积分证明了相应估计的渐近正态性.模拟结果表明本文的方法是有效的.
In this paper,we investigate the problem of estimating the parameters for the sub-mixed fractional Brownian motion from discrete observations based on the maximum likelihood method.We obtain the asymptotic properties of these estimators.By combining the Stein＇s method with Malliavin calculus we prove the asymptotic normality for the corresponding estimators.Simulation results show that our method is efficient.
出处
《数学进展》
CSCD
北大核心
2016年第3期471-479,共9页
Advances in Mathematics（China）
基金
Supported by NSFC(No.11101137)
the Natural Science Foundation of Hunan Province(No.2015JJ2055)
the Education Department Foundation of Hunan Province(No.14C0456)
the Natural Science Foundation of Hunan University of Science and Technology(No.E54018)
