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文章基本信息

  • 标题:Estimation for Dynamical Systems with Small Noise from Discrete Observations
  • 本地全文:下载
  • 作者:Masayuki Uchida
  • 期刊名称:JOURNAL OF THE JAPAN STATISTICAL SOCIETY
  • 印刷版ISSN:1882-2754
  • 电子版ISSN:1348-6365
  • 出版年度:2003
  • 卷号:33
  • 期号:2
  • 页码:157-167
  • DOI:10.14490/jjss.33.157
  • 出版社:JAPAN STATISTICAL SOCIETY
  • 摘要:

    We consider an efficient estimation of an unknown parameter appearing in both the drift and the diffusion coefficient for a d -dimensional dynamical system with small noise. Asymptotic properties of an M -estimator obtained from an approximate quadratic martingale estimating function are stated. The sample path is observed at equidistant times k/n, k = 0,1,…, n . The type of asymptotics considered is when a small dispersion parameter ε goes to 0 and n goes to ∞ simultaneously.

  • 关键词:discrete time observation; dynamical systems with small noise; M -estimator; parametric inference; quadratic martingale estimating function
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