共查询到19条相似文献,搜索用时 78 毫秒
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本文研究混合分数O-U过程的最小范数估计问题.利用分数布朗运动驱动的随机微分方程偏差不等式,获得了混合分数O-U过程漂移参数的最小范数估计、相合性及渐近分布. 相似文献
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王立春 《数学物理学报(A辑)》2006,26(6):938-947
该文运用经验贝叶斯(empirical Bayes(简称EB))方法,在历史样本和当前样本均被另一个具有未知分布的变量随机右删失的条件下,构造了一个指数分布参数的经验贝叶斯估计并获得了它的渐近最优性.文章最后给出了一个例子和模拟结果. 相似文献
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该文在实可分的Hilbert空间中,用不动点方法研究了由分数布朗运动驱动的脉冲中立型随机泛函微分方程温和解的P阶矩的渐近稳定性并举例说明所得结论的可行性. 相似文献
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本文研究了以分数布朗运动为输入过程的存储过程上穿高水平u形成的点过程的渐近泊松特性,结果表明当分数布朗运动参数H∈(0,1/2),u→∞时,该点过程弱收敛到泊松过程. 相似文献
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分数布朗运动随机微分方程的MLE和Bayes估计的大偏差不等式 总被引:1,自引:1,他引:0
本文研究了分数布朗运动随机微分方程未知参数的极大似然估计和Bayes估计的偏差不等式.在一定的正则条件下.利用似然方法给出了这两个估计量的大偏差不等式. 相似文献
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本文研究一类由分数布朗运动驱动的一维倒向随机微分方程解的存在性与唯一性问题,在假设其生成元满足关于y Lipschitz连续,但关于z一致连续的条件下,通过应用分数布朗运动的Tanaka公式以及拟条件期望在一定条件下满足的单调性质,得到倒向随机微分方程的解的一个不等式估计,应用Gronwall不等式得到了一个关于这类方程的解的存在性与唯一性结果,推广了一些经典结果以及生成元满足一致Lipschitz条件下的由分数布朗运动驱动的倒向随机微分方程解的结果. 相似文献
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《数学的实践与认识》2020,(15)
在考虑分数布朗运动,马尔可夫跳跃和时变时滞的扩散-反应过程的基础上建立了随机基因调控网络模型,通过构造Lyapunov函数,利用Wirtinger不等式和随机稳定性理论,时滞相关渐近稳定性定理,以推导线性矩阵不等式的形式实现了随机基因调控网络模型均方意义上的全局稳定性. 相似文献
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B. L. S. Prakasa Rao 《随机分析与应用》2013,31(5):767-781
ABSTRACTWe investigate the asymptotic properties of the maximum likelihood estimator and Bayes estimator of the drift parameter for stochastic processes satisfying linear stochastic differential equations driven by a mixed fractional Brownian motion. We obtain a Bernstein–von Mises-type theorem also for such a class of processes. 相似文献
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We consider the fractional analogue of the Ornstein–Uhlenbeck process, that is, the solution of a one-dimensional homogeneous
linear stochastic differential equation driven by a fractional Brownian motion in place of the usual Brownian motion. The
statistical problem of estimation of the drift and variance parameters is investigated on the basis of a semimartingale which
generates the same filtration as the observed process. The asymptotic behaviour of the maximum likelihood estimator of the
drift parameter is analyzed. Strong consistency is proved and explicit formulas for the asymptotic bias and mean square error
are derived. Preparing for the analysis, a change of probability method is developed to compute the Laplace transform of a
quadratic functional of some auxiliary process.
This revised version was published online in August 2006 with corrections to the Cover Date. 相似文献
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Masafumi Akahira Nao Ohyauchi 《Annals of the Institute of Statistical Mathematics》2002,54(4):806-815
For a family of non-regular distributions with a location parameter including the uniform and truncated distributions, the stochastic expansion of the Bayes estimator is given and the asymptotic lower bound for the Bayes risk is obtained and shown to be sharp. Some examples are also given. 相似文献
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Estimation of the bias parameter of the skew random walk and application to the skew Brownian motion
Antoine Lejay 《Statistical Inference for Stochastic Processes》2018,21(3):539-551
We study the asymptotic property of simple estimator of the parameter of a skew Brownian motion when one observes its positions on a fixed grid—or equivalently of a simple random walk with a bias at 0. This estimator, nothing more than the maximum likelihood estimator, is based only on the number of passages of the random walk at 0. It is very simple to set up, is consistent and is asymptotically mixed normal. We believe that this simplified framework is helpful to understand the asymptotic behavior of the maximum likelihood of the skew Brownian motion observed at discrete times which is studied in a companion paper. 相似文献
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We study the maximum likelihood estimator for stochastic equations with additive fractional Brownian sheet. We use the Girsanov
transform for the the two-parameter fractional Brownian motion, as well as the Malliavin calculus and Gaussian regularity
theory.
相似文献
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In this article, using the limit theory of martingales, we study the
moderate deviation for maximum likelihood estimator of unknown parameter in the stochastic
partial differential equation driven by additive fractional Brownian motion with Hurst
parameter, and the rate function can be calculated. Moreover, we apply our
main result to several examples. 相似文献
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Shinzo Watanabe 《Acta Appl Math》2000,63(1-3):441-464
We study asymptotic winding properties of Brownian motion paths on Riemann surfaces by obtaining limit laws for stochastic line integrals along Brownian paths of meromorphic differential 1-forms (Abelian differentials). 相似文献
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B. L. S. Prakasa Rao 《随机分析与应用》2017,35(6):943-953
We investigate the asymptotic properties of instrumental variable estimators of the drift parameter for stochastic processes satisfying linear stochastic differential equations driven by mixed fractional Brownian motion. 相似文献
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B. L. S. Prakasa Rao 《随机分析与应用》2018,36(4):600-612
We investigate the asymptotic properties of instrumental variable estimators of the drift parameter for stochastic processes satisfying linear stochastic differential equations driven by a sub-fractional Brownian motion. 相似文献