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  • 标题:Adaptive Bayes Estimators and Hybrid Estimators for Small Diffusion Processes Based on Sampled Data
  • 本地全文:下载
  • 作者:Ryosuke Nomura ; 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:2016
  • 卷号:46
  • 期号:2
  • 页码:129-154
  • DOI:10.14490/jjss.46.129
  • 出版社:JAPAN STATISTICAL SOCIETY
  • 摘要:

    We study adaptive Bayes type estimation and hybrid type estimation of both drift and volatility parameters for small diffusion processes from discrete observations. By applying adaptive maximum likelihood type estimation for small diffusion processes to the Bayesian method and by using the polynomial type large deviation inequality for the statistical random field and Ibragimov-Has’minskii-Kutoyants program, the adaptive Bayes type estimators and hybrid type estimators are obtained and we show that they have asymptotic normality and convergence of moments.

  • 关键词:Bayes type estimator;convergence of moments;discrete time observations;small diffusion process
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