分数阶lsamvy过程驱动的离散观测Cox-Ingersoll-Ross模型参数估计

IF 1.8 3区 数学 Q1 MATHEMATICS AIMS Mathematics Pub Date : 2023-01-01 DOI:10.3934/math.2023613
Jiangrui Ding, Chao Wei
{"title":"分数阶lsamvy过程驱动的离散观测Cox-Ingersoll-Ross模型参数估计","authors":"Jiangrui Ding, Chao Wei","doi":"10.3934/math.2023613","DOIUrl":null,"url":null,"abstract":"This paper deals with least squares estimation for the Cox–Ingersoll–Ross model with fractional Lévy noise from discrete observations. The contrast function is given to obtain the least squares estimators. The consistency and asymptotic distribution of estimators are derived when a small dispersion coefficient $\\varepsilon \\to 0$, $n \\to \\infty $, $\\varepsilon {n^{\\frac{1}{2} - d}} \\to 0$, and $n\\varepsilon \\to \\infty $ simultaneously.","PeriodicalId":48562,"journal":{"name":"AIMS Mathematics","volume":"1 1","pages":""},"PeriodicalIF":1.8000,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Parameter estimation for discretely observed Cox–Ingersoll–Ross model driven by fractional Lévy processes\",\"authors\":\"Jiangrui Ding, Chao Wei\",\"doi\":\"10.3934/math.2023613\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper deals with least squares estimation for the Cox–Ingersoll–Ross model with fractional Lévy noise from discrete observations. The contrast function is given to obtain the least squares estimators. The consistency and asymptotic distribution of estimators are derived when a small dispersion coefficient $\\\\varepsilon \\\\to 0$, $n \\\\to \\\\infty $, $\\\\varepsilon {n^{\\\\frac{1}{2} - d}} \\\\to 0$, and $n\\\\varepsilon \\\\to \\\\infty $ simultaneously.\",\"PeriodicalId\":48562,\"journal\":{\"name\":\"AIMS Mathematics\",\"volume\":\"1 1\",\"pages\":\"\"},\"PeriodicalIF\":1.8000,\"publicationDate\":\"2023-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"AIMS Mathematics\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.3934/math.2023613\",\"RegionNum\":3,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"MATHEMATICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"AIMS Mathematics","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.3934/math.2023613","RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"MATHEMATICS","Score":null,"Total":0}
引用次数: 0

摘要

本文研究了离散观测值中含有分数阶lsamvy噪声的Cox-Ingersoll-Ross模型的最小二乘估计。给出了最小二乘估计的对比函数。当离散系数分别为$\varepsilon \to 0$、$n \to \infty $、$\varepsilon {n^{\frac{1}{2} - d}} \to 0$和$n\varepsilon \to \infty $时,得到了估计量的相合性和渐近分布。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
Parameter estimation for discretely observed Cox–Ingersoll–Ross model driven by fractional Lévy processes
This paper deals with least squares estimation for the Cox–Ingersoll–Ross model with fractional Lévy noise from discrete observations. The contrast function is given to obtain the least squares estimators. The consistency and asymptotic distribution of estimators are derived when a small dispersion coefficient $\varepsilon \to 0$, $n \to \infty $, $\varepsilon {n^{\frac{1}{2} - d}} \to 0$, and $n\varepsilon \to \infty $ simultaneously.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
相关文献
二甲双胍通过HDAC6和FoxO3a转录调控肌肉生长抑制素诱导肌肉萎缩
IF 8.9 1区 医学Journal of Cachexia, Sarcopenia and MusclePub Date : 2021-11-02 DOI: 10.1002/jcsm.12833
Min Ju Kang, Ji Wook Moon, Jung Ok Lee, Ji Hae Kim, Eun Jeong Jung, Su Jin Kim, Joo Yeon Oh, Sang Woo Wu, Pu Reum Lee, Sun Hwa Park, Hyeon Soo Kim
具有疾病敏感单倍型的非亲属供体脐带血移植后的1型糖尿病
IF 3.2 3区 医学Journal of Diabetes InvestigationPub Date : 2022-11-02 DOI: 10.1111/jdi.13939
Kensuke Matsumoto, Taisuke Matsuyama, Ritsu Sumiyoshi, Matsuo Takuji, Tadashi Yamamoto, Ryosuke Shirasaki, Haruko Tashiro
封面:蛋白质组学分析确定IRSp53和fastin是PRV输出和直接细胞-细胞传播的关键
IF 3.4 4区 生物学ProteomicsPub Date : 2019-12-02 DOI: 10.1002/pmic.201970201
Fei-Long Yu, Huan Miao, Jinjin Xia, Fan Jia, Huadong Wang, Fuqiang Xu, Lin Guo
来源期刊
AIMS Mathematics
AIMS Mathematics Mathematics-General Mathematics
CiteScore
3.40
自引率
13.60%
发文量
769
审稿时长
90 days
期刊介绍: AIMS Mathematics is an international Open Access journal devoted to publishing peer-reviewed, high quality, original papers in all fields of mathematics. We publish the following article types: original research articles, reviews, editorials, letters, and conference reports.
期刊最新文献
Efficient numerical approaches with accelerated graphics processing unit (GPU) computations for Poisson problems and Cahn-Hilliard equations. Fejér type inequalities for harmonically convex functions Angle in the space of $ p $-summable sequences Cohomologies of modified $ \lambda $-differential Lie triple systems and applications The lifespan of classical solutions of one dimensional wave equations with semilinear terms of the spatial derivative
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1