分数OU模型参数估计的大偏差
분수OU모형삼수고계적대편차
LARGE DEVIATIONS FOR PARAMETER ESTIMATE IN FRACTIONAL ORNSTEIN-UHLENBECK MODEL
  • 万方数据
    数学杂志 수학잡지
    JOURNAL OF MATHEMATICS
    2006年 6期 609-612 ,共4页

    汪宝彬%高付清

    왕보빈%고부청

    大偏差%速率函数%分数OU扩散过程%漂移估计 大偏差%速率函數%分數OU擴散過程%漂移估計
    대편차%속솔함수%분수OU확산과정%표이고계
    large deviation%rate function%fractional Ornstein-Uhlenbeck diffusion process%drift estimate
    本文考虑了分数OU模型参数估计的大偏差,通过Laplace变换的技巧,得到了极大似然估计的大偏差.
    본문고필료분수OU모형삼수고계적대편차,통과Laplace변환적기교,득도료겁대사연고계적대편차.
    In this paper, we consider the large deviation for parameter estimate in fractional Ornstein-Uhlenbeck models. By the technique of Laplace transform, we establish the large deviation principle for the maximum likelihood estimate.
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