Parameter estimation for the α-stable vasicek model based on discrete observations

被引：0

作者：

Wei, Chao ^{[1
]}

机构：

[1] School of Mathematics and Statistics, Anyang Normal University, Anyang,455000, China

来源：

IAENG International Journal of Computer Science | 2020年 / 47卷 / 01期

关键词：

Calculations;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper is concerned with parameter estimation for Vasicek model driven by-stable motion from discrete observation. The contrast function is used to obtain the least squares estimator. The strong consistency and asymptotic distribution of the estimators are studied by using ergodic theorem, Holder inequality and Markov inequality. Some numerical calculus and simulations are given to verify the effectiveness of estimator. © 2020 International Association of Engineers.

引用

页码：110 / 117

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