局部平稳短期利率扩散模型的半参数估计
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引用本文:王继霞 1,2 ,肖庆宪 1.局部平稳短期利率扩散模型的半参数估计[J].经济数学,2013,(4):17-20
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王继霞 1,2 ,肖庆宪 1 (1.上海理工大学 管理学院上海 2000932.河南师范大学 数学与信息科学学院河南 新乡 453007) 
中文摘要:主要研究局部平稳扩散模型的半参数估计.首先,基于局部常数拟合,利用局部加权最小二乘法得到了漂移参数函数的估计量.同时,通过Kolmogorov向前方程,得到了扩散函数的估计量.然后,分别讨论了所得估计量的相合性和渐近正态性.最后,通过模拟研究说明了估计量的有效性.
中文关键词:局部平稳  扩散模型  加权最小二乘估计  相合性  渐近正态性
 
Semi-Parametric Estimations for Local Stationary Short-Term Interest Diffusion Model
Abstract:This paper studied semi-parametric estimations of local stationary diffusion model.Firstly, based on local constant fitting, the estimations of drift parametric functions were gained by using local weighted least squares method.Moreover, the estimation of the diffusion function was proposed by using forward Kolmogorov equation.Secondly, the consistency and asymptotic normality of the estimations proposed were discussed, respectively.Finally,it is shown that the estimations are effective through a simulation study.
keywords:local stationary  diffusion model  weighted least squares method  consistency  asymptotic normality
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