摘要
讨论了资产方程扩散系数的估计问题,给出了当系数σ(.)为资产过程状态Xt的非线性函数,样本数据为X0,X1,…,Xn-1时,对应的非线性小波估计量,并证明了所得估计量的均方收敛性。
The problem of wavelet estimation of the assets equation's coefficients is discussed. When the assets equation's coefficients σ(.) are nonlinear functions of x and X_0,X_1,…,X_(n-1) are the samples of assets process ｛X_1,t∈[0,T]｝,A wavelet estimation of σ(.) is constructed. And the mean square consistency of the estimate is proved.
出处
《工程数学学报》
CSCD
北大核心
2004年第2期212-216,共5页
Chinese Journal of Engineering Mathematics
关键词
资产方程
扩散系数
小波估计
均方收敛性
assets equation
diffusion coefficient
wavelet estimation
mean square consistency
