| 关于扩散方程漂移系数估计方法的改进 |
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| 引用本文： | 朱文佳,陈萍.关于扩散方程漂移系数估计方法的改进[J].数学理论与应用,2010(3):107-110. |
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| 作者姓名： | 朱文佳 陈萍 |
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| 作者单位： | 南京理工大学理学院,南京210094 |
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| 基金项目： | 国家社会科学基金（No.09BTJ004）与南京理工大学科技发展基金（No.XF09040）资助项目 |
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| 摘 要： | 本文提出了一种新的基于扩散过程轨道构造漂移系数样本的方法—对数增量法,通过理论及模拟分析说明了在适当条件下,特别是对于大多数金融数据,基于对数增量法获得的漂移系数估计量的收敛速度及有限样本性质均比基于传统的"直接增量法"所得到的结果要好。
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| 关 键 词： | 漂移系数 非参数估计 对数增量法 直接增量法 |
Improvement on Estimation Method of Drift Coefficient in the Diffusion Equation |
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| Zhu Wenjia Chen Ping.Improvement on Estimation Method of Drift Coefficient in the Diffusion Equation[J].Mathematical Theory and Applications,2010(3):107-110. |
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| Authors: | Zhu Wenjia Chen Ping |
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| Institution: | Zhu Wenjia Chen Ping (School of Science, Nanjing University of Science and Technology, Nanjing, 210094) |
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| Abstract: | This paper proposes a new way of structuring sample of driR coefficient based on the path d diffusion process observations- logarithmic incremental method. Theoretical analysis and simulation results show that, under appropriate conditions, especially for the majority of financial data, the convergence rate and the finite sample properties of drift coefficient estimator based on logarithmic incremental method are more superior than the result based on traditional direct incremental method. |
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| Keywords: | Drift coefficient Nonparametric estimation Logarithmic incremental method Direct incremental method |
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