ON MINIMUM UNIFORM METRIC ESTIMATE OF PARAMETERS OF DIFFUSION-TYPE PROCESSES

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:51

Article

KUTOYANTS, Y ; PILIBOSSIAN, P

关键词: PARAMETER ESTIMATION;    DIFFUSION-TYPE PROCESS;    DIFFUSION COEFFICIENT;    LIMIT DISTRIBUTION;   

DOI  :  10.1016/0304-4149(94)90044-2

来源: Elsevier

【 摘 要 】

The problem of finite-dimensional parameter estimation for a diffusion-type process is considered. The proposed minimum distance estimate is introduced as a point where the supremum norm of the difference between the observations and the corresponding deterministic (limit) solution attains its minimum. Under some regularity conditions the consistency of this estimate is established as the diffusion coefficient tends to zero and the limit distribution is described.

【 授权许可】

Free