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インターネットで読める全国の図書館
- 件名62M05 62F12 Martingale estimating function diffusion process with small noise discrete time observation parametric inference
- 一般注記...ntury COE Program Development of Dynamic Mathematics with High Functionality 九州大学21世紀COEプログラム「機能数理学の構築...
- 関連情報MHF Preprint Series || MHF2005-11 || p1-11 http://www.math.kyushu-u.ac.jp/gakufu/
デジタル記事
インターネットで読める全国の図書館
- 要約等We study an asymptotically efficient estimator for drift parameters of a onedimensional small diffusion process with a linear drift. A martingale estimating function can be constructed for this model, and an estimator obtained from the estimating function has an explicit form. Under the situation where the sample path is observed at $ n $ regularly spaced time points......$ on the interval [0, 1], we consider asymptotic prope......es of the estimator as a small dispersion parameter $ \varepsilon \rightarrow 0 $ and $ n \rightarrow infty $ simultaneously. Kyushu......ntury COE Program Development of Dynamic Mathematics with High Func...
- 件名62M05 62F12 Martingale estimating function diffusion process with small noise discrete time observation parametric inference
- 著者標目Matsukubo, Junichi 松崎, 亮 内田, 雅之
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