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高校应用数学学报
Applied Mathematics A Journal of Chinese Universities  2014, Vol. 29 Issue (3): 277-287    DOI:
    
Weighted least squares estimations of time-varying parameters for local stationary diffusion model
WANG Ji-xia1,2, XIAO Qing-xian1
1. Business School, University of Shanghai for Science and Technology, Shanghai 200093, China
2. College of Mathematics and Information Science, Henan Normal University, Xinxiang 453007, China
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Abstract  Based on discretely observed sample of local stationary diffusion model, the weighted least squares estimations of time-varying drift parameters are obtained by using local linear fitting. The consistency, asymptotic normality and convergence rate of the proposed estimations are discussed. Moreover, it is shown that the estimations are effective through a simulation study.

Key words： local stationary diffusion model      local linear fitting      weighted least squares method      consistency      asymptotic normality      convergence rate     
Received: 23 September 2013      Published: 10 June 2018
CLC:  O212.1  
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WANG Ji-xia
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WANG Ji-xia, XIAO Qing-xian. Weighted least squares estimations of time-varying parameters for local stationary diffusion model. Applied Mathematics A Journal of Chinese Universities, 2014, 29(3): 277-287.

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http://www.zjujournals.com/amjcua/     OR     http://www.zjujournals.com/amjcua/Y2014/V29/I3/277


局部平稳扩散模型中时变参数的加权最小二乘估计

基于离散观测样本, 利用局部线性拟合, 得到了局部平稳扩散模型中时变漂移参数的加权最小二乘估计, 并讨论了估计量的相合性, 渐近正态性和一致收敛速度. 同时, 通过模拟研究说明了估计量的有效性.

关键词： 局部平稳扩散模型,  局部线性拟合,  加权最小二乘估计,  相合性,  渐近正态性,  收敛速度 
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