| 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 |
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| 引用本文： | 苗雨,王继霞.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[J].数学杂志,2008,28(4). |
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| 作者姓名： | 苗雨 王继霞 |
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| 作者单位： | 1. 河南师范大学数学与信息科学学院,河南,新乡,453007;武汉大学数学与统计学院,湖北,武汉,430072
2. 河南师范大学数学与信息科学学院,河南,新乡,453007 |
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| 摘 要： | 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.
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| 关 键 词： | 极大似然估计 Bayes估计 随机微分方程 分数布朗运动 大偏差不等式 Maximum likelihood estimator Bayes estimator stochastic differential equation fractional Brownian motion large deviation inequality 布朗运动 随机微分方程 Bayes 估计量 偏差不等式 FRACTIONAL BROWNIAN MOTION ESTIMATOR INEQUALITIES DEVIATION large deviation maximum likelihood estimator theory regular conditions unknown parameter stochastic differential equation fractional Brownian motion study inequalities |
LARGE DEVIATION INEQUALITIES FOR MLE AND BAYES ESTIMATOR IN SDE WITH FRACTIONAL BROWNIAN MOTION |
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| MIAO Yu,WANG Jixia.LARGE DEVIATION INEQUALITIES FOR MLE AND BAYES ESTIMATOR IN SDE WITH FRACTIONAL BROWNIAN MOTION[J].Journal of Mathematics,2008,28(4). |
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| Authors: | MIAO Yu WANG Jixia |
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| Abstract: | In the paper, we study the deviation inequalities for the maximum likelihood estimator (MLE) and Bayes estimator (BE) of the unknown parameter in stochastic differential equation with fractional Brownian motion. The large deviation inequalities of the two estimators are btained by using likelihood theory under some regular conditions. |
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| Keywords: | Maximum likelihood estimator Bayes estimator stochastic differential equation fractional Brownian motion large deviation inequality |
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