Recursive parameter estimation in the trend coefficient of a diffusion process
Recursive parameter estimation in the trend coefficient of a diffusion process
Lazrieva, Nanuli; Toronjadze, Teimuraz
2010-12-01 00:00:00
The recursive estimation problem of a one-dimensional parameter in the trend coefficient of a diffusion process is considered. The asymptotic properties of recursive estimators are derived, based on the results on the asymptotic behaviour of a Robbins–Monro type SDE. Various special cases are considered.
http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.pngGeorgian Mathematical Journalde Gruyterhttp://www.deepdyve.com/lp/de-gruyter/recursive-parameter-estimation-in-the-trend-coefficient-of-a-diffusion-8ZST8UTa5Z
Recursive parameter estimation in the trend coefficient of a diffusion process
The recursive estimation problem of a one-dimensional parameter in the trend coefficient of a diffusion process is considered. The asymptotic properties of recursive estimators are derived, based on the results on the asymptotic behaviour of a Robbins–Monro type SDE. Various special cases are considered.
Journal
Georgian Mathematical Journal
– de Gruyter
Published: Dec 1, 2010
Keywords: Diffusion; recursive parameter estimation; stochastic approximation; Robbins–Monro type SDE
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