摘要
考虑了两种带有混合分式布朗运动的随机过程的估计问题.首先,在离散时间的情况下考虑了漂移混合分式布朗运动过程的漂移项参数和波动率参数的极大似然估计.然后,在有限的时间段内连续观察的情况下,用非参数估计的方法给出了另一种带有混合分式布朗运动的随机过程的趋势函数的估计.
Two estimation problems associated with the process driven by the mixed fractional Brownian motion are given.Firstly,the maximum likelihood estimators of the mean and variance of the mixed fractional Brownian motion with drift observed at discrete time instants are considered.And then,the nonparametric estimation for the trend function of the process driven by a mixed fractional Brownian motion continuously observed at finite time span is given.
出处
《南开大学学报（自然科学版）》
CAS
CSCD
北大核心
2017年第4期99-106,共8页
Acta Scientiarum Naturalium Universitatis Nankaiensis
基金
Supported by the National Natural Science Foundation of China(11571189)
关键词
混合分式布朗运动
极大似然估计
非参数估计
mixed fractional Brownian motion
maximum likelihood estimate
non-parametric estimation
