| 对于金融资产漂移函数估计的双域组合方法(英文) |
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| 引用本文： | 叶绪国,杜雪樵.对于金融资产漂移函数估计的双域组合方法(英文)[J].数学季刊,2011(2):190-195. |
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| 作者姓名： | 叶绪国 杜雪樵 |
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| 作者单位： | School of Science and Physics;Kaili University;College of Mathematics;Hefei University of Technology; |
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| 基金项目： | Supported by the Natural Science Research Foundation of Education Department of Guizhou Province(20090080,2010076); Supported by the Project of Kaili University(Z1004); Supported by the Key Discipline Construction Program of Kaili University(KZD2009001) |
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| 摘 要： | Time-domain state-domain methods are common approaches in modern financial analysis.Economic conditions vary time,drift function depends on time and price level for a given state variable.In this paper,to consistently estimate the bivariate drift function,our purpose a new dynamic integrated estimator by combing time-and state-domain methods for estimating drift function.And we establish its asymptotic properties and illustrates it outperforms some old ones by simulations.
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| 关 键 词： | time-domain state-domain integrated estimator drift function |
The Integration of Dual-domain Method for Estimating the Drift Function of Financial Assets |
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| YE Xu-guo,DU Xue-qiao.The Integration of Dual-domain Method for Estimating the Drift Function of Financial Assets[J].Chinese Quarterly Journal of Mathematics,2011(2):190-195. |
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| Authors: | YE Xu-guo DU Xue-qiao |
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| Institution: | YE Xu-guo1,DU Xue-qiao2(1.School of Science and Physics,Kaili University,Kaili 556011,China,2.College of Mathematics,Hefei University of Technology,Hefei 230009,China) |
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| Abstract: | Time-domain state-domain methods are common approaches in modern financial analysis.Economic conditions vary time,drift function depends on time and price level for a given state variable.In this paper,to consistently estimate the bivariate drift function,our purpose a new dynamic integrated estimator by combing time-and state-domain methods for estimating drift function.And we establish its asymptotic properties and illustrates it outperforms some old ones by simulations. |
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| Keywords: | time-domain state-domain integrated estimator drift function |
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