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Estimation in Interacting Diffusions: Continuous and Discrete Sampling
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作者 jaya prakash narayan bishwal 《Applied Mathematics》 2011年第9期1154-1158,共5页
Consistency and asymptotic normality of the sieve estimator and an approximate maximum likelihood estimator of the drift coefficient of an interacting particles of diffusions are studied. For the sieve estimator, obse... Consistency and asymptotic normality of the sieve estimator and an approximate maximum likelihood estimator of the drift coefficient of an interacting particles of diffusions are studied. For the sieve estimator, observations are taken on a fixed time interval [0,T] and asymptotics are studied as the number of interacting particles increases with the dimension of the sieve. For the approximate maximum likelihood estimator, discrete observations are taken in a time interval [0,T] and asymptotics are studied as the number of interacting particles increases with the number of observation time points. 展开更多
关键词 Stochastic Differential Equations MEAN-FIELD Model Large INTERACTING Systems Diffusion Process Discrete Observations Approximate Maximum LIKELIHOOD ESTIMATION SIEVE ESTIMATION
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