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α-赋权分数桥的最小二乘估计
  • ISSN号：1000-4424
  • 期刊名称：高校应用数学学报A辑(中文版)
  • 时间：2015
  • 页码：432-444
  • 分类：O211[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]东华大学信息科学与技术学院,上海201620, [2]安徽师范大学数学系,安徽芜湖241000, [3]东华大学理学院,上海201620
  • 相关基金：国家自然科学基金（11271020;11171062）; 安徽省自然科学基金（1408085MA07）
  • 相关项目：G-分数布朗运动与Hermite过程的分析及其相关问题
作者： 韩婧琦（研究生）|申广君|闫理坦|
关键词： 赋权分数布朗运动, 最小二乘估计量, 收敛性, weighted fractional Brownian motion, least squares estimator, convergence
中文摘要：

考虑赋权分数布朗运动B^a,b驱动的桥X0=0,dXt=-αXt/T-tdt＋dBt^a,b,0≤t0.当α取不同值时,得到了其不同的收敛性质及对应收敛速度.

英文摘要：

In this paper, the asymptotic properties of α are considered, which is a least squares estimator for the parameter α of a weighted fractional bridge X0=0,dXt=-αXt/T-tdt＋dBr^a,b, 0 ≤ t〈 T where Ba,bis a weighted fractional Brownian motion with parameters 0 〈a〈 1, 0 〈b 〈1, b〈 a ＋ 1,as well as α〉0, T 〉0. The estimator has various convergence depending on the value of α as t → T.The rate of corresponding convergence is proved as well.

同期刊论文项目
G-分数布朗运动与Hermite过程的分析及其相关问题
期刊论文 87
分数布朗运动的扩张及其随机分析
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期刊信息
  • 《高校应用数学学报：A辑》
  • 北大核心期刊（2011版）
  • 主管单位:国家教育部
  • 主办单位:浙江大学 中国工业与应用数学学会
  • 主编：林正炎 李大潜
  • 地址：杭州市玉泉浙江大学数学系
  • 邮编：310027
  • 邮箱：amjcu@zjy.edu.cn
  • 电话：0571-87951602
  • 国际标准刊号：ISSN：1000-4424
  • 国内统一刊号：ISSN：33-1110/O
  • 邮发代号:
  • 获奖情况:
  • 国内外数据库收录:
  • 美国数学评论（网络版）,德国数学文摘,中国中国科技核心期刊,中国北大核心期刊（2004版）,中国北大核心期刊（2008版）,中国北大核心期刊（2011版）,中国北大核心期刊（2014版）,中国北大核心期刊（2000版）
  • 被引量:3669