估计一类非线性扩散过程参数的新方法
고계일류비선성확산과정삼수적신방법
A New Method to Estimate Nonlinear Diffusions Based on Discretely Observed Data
  • 万方数据
    数学季刊(英文版) 수학계간(영문판)
    CHINESE QUARTERLY JOURANL OF AMTHEMTICS
    2002年 2期 94-100 ,共7页

    杜本峰%郭兴义%杨俊龙

    두본봉%곽흥의%양준룡

    扩散过程%GARCH%PML%极限理论 擴散過程%GARCH%PML%極限理論
    확산과정%GARCH%PML%겁한이론
    diffusion%GARCH%PML%limit theory
    本文基于一类非线性扩散过程的离散可观测数据,建立一种新的参数估计方法.即用GARCH类模型逼近估计相应扩散过程中的参数,并给出估计性质.
    본문기우일류비선성확산과정적리산가관측수거,건립일충신적삼수고계방법.즉용GARCH류모형핍근고계상응확산과정중적삼수,병급출고계성질.
    The paper proposes a new method to estimate nonlinear diffusions based on discretely observed data, and gives some properties of the corresponding parameters estimation.
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