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
收藏
页码：110 / 117
相关论文
共 50 条
  • [21] Filtering and parameter estimation for a jump stochastic process with discrete observations
    Makhnin, Oleg V.
    ELECTRONIC COMMUNICATIONS IN PROBABILITY, 2008, 13 : 210 - 224
  • [22] Parameter estimation for reflected Ornstein–Uhlenbeck processes with discrete observations
    Hu Y.
    Lee C.
    Lee M.H.
    Song J.
    Statistical Inference for Stochastic Processes, 2015, 18 (3) : 279 - 291
  • [23] Parameter estimation for diffusion process from perturbed discrete observations
    Trong, Dang Duc
    Hung, Thai Phuc
    COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2023, 52 (03) : 925 - 944
  • [24] A discrete bass model and its parameter estimation
    Satoh, D
    JOURNAL OF THE OPERATIONS RESEARCH SOCIETY OF JAPAN, 2001, 44 (01) : 1 - 18
  • [25] Parameter Estimation for a Fractional Black-Scholes Model with Jumps from Discrete Time Observations
    Thony, John-Fritz
    Vaillant, Jean
    MATHEMATICS, 2022, 10 (22)
  • [26] Parametric estimation for a parabolic linear SPDE model based on discrete observations
    Kaino, Yusuke
    Uchida, Masayuki
    JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2021, 211 : 190 - 220
  • [27] Parameter estimation in CKLS model by continuous observations
    Mishura, Yuliya
    Ralchenko, Kostiantyn
    Dehtiar, Olena
    STATISTICS & PROBABILITY LETTERS, 2022, 184
  • [28] Parameter estimation of PMSM driven by PWM inverter based on discrete dynamic model
    Kubo, Hajirne
    Tadano, Yugo
    PROCEEDINGS OF THE IECON 2016 - 42ND ANNUAL CONFERENCE OF THE IEEE INDUSTRIAL ELECTRONICS SOCIETY, 2016, : 2873 - 2878
  • [29] Parameter estimation for ergodic linear SDEs from partial and discrete observations
    Masahiro Kurisaki
    Statistical Inference for Stochastic Processes, 2023, 26 : 279 - 330
  • [30] Parameter estimation for ergodic linear SDEs from partial and discrete observations
    Kurisaki, Masahiro
    STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES, 2023, 26 (02) : 279 - 330
12345