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带有指数型扩散项Ornstein-Uhlenback过程的参数估计
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Abstract:
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，其中Hurst指数H≥1/2 。dXt=-θXtdt+σectdBtH，我们讨论满足相合性以及当1/2≤H≤5/8时应用多重维纳积分的中心极限定理得到-θ的渐进分布。这个最小二乘估计同时可以推导出其它类型的估计量，例如可由函数∫0TXt2dt进行表示。 for the Ornstein-Uhlenbeck processes driven by fractional Brownian motion (fBm) with Hurst index H≥1/2 and exponential diffusion term. dXt=-θXtdt+σectdBtH, we prove the strong consistent of , and also obtain the asymptotic distribution of？-θ,？when 1/2≤H≤5/8, applying a central limit theorem for multiple Wiener integrals. This least square estimator can be used to study other estimators such as obtained by a function of ∫0TXt2dt .
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