摘要
针对金融、保险等领域研究中经常遇到的隐Brown运动驱动的Poisson过程模型,通过概率变换并利用鞅论方法等工具,证明了对模型中某些参数所提出的两类估计量的强相合性,用数值试验检验了它们的有效性.试验结果表明,文中所给两类估计方法均优于已有方法.
For a kind of hidden Brownian marked Poisson processes arising from the finance and insurance field,it is proved that two types of proposed estimators are strong consistent by using the martingale theory and the reference probability measures.Efficiency of designed estimators are examined through numerical experiments and are also compared with current estimators.Numerical results show that the new estimators are superior to the existing estimators.
出处
《系统科学与数学》
CSCD
北大核心
2013年第7期751-765,共15页
Journal of Systems Science and Mathematical Sciences
基金
国家自然科学基金(10571141
70971109)资助课题
关键词
隐过程
POISSON过程
强相合性
鞅论
概率变换
Hidden process
Poisson process
strong consistency
martingale theory
probability transform
