| 混合分数O-U过程的最小范数估计 |
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| 引用本文： | 陆健华.混合分数O-U过程的最小范数估计[J].数学杂志,2014,34(3):597-602. |
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| 作者姓名： | 陆健华 |
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| 作者单位： | 湖北经济学院统计学院; |
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| 摘 要： | 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.
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| 关 键 词： | 最小范数估计 混合分数O-U过程 |
| 收稿时间： | 2013/8/1 0:00:00 |
| 修稿时间： | 2013/12/20 0:00:00 |
MINIMUM NORM ESTIMATION FOR MIXED FRACTIONALORNSTEIN-UHLENBECK TYPE PROCESS |
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| LU Jian-hua.MINIMUM NORM ESTIMATION FOR MIXED FRACTIONALORNSTEIN-UHLENBECK TYPE PROCESS[J].Journal of Mathematics,2014,34(3):597-602. |
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| Authors: | LU Jian-hua |
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| Institution: | School of Statistics, Hubei University of Economics, Wuhan 430205, China |
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| Abstract: | The minimum norm estimation for mixed fractional Ornstein-Uhlenbeck type process is studied. By using deviation inequalities of fractional Brownian motion, some asymptotic properties of the minimum norm estimator of the drift parameter for mixed fractional OrnsteinUhlenbeck type process are obtained. |
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| Keywords: | minimum norm estimation mixed fractional |
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