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Cox-Ingersoll-Ross模型的统计推断 被引量：2

Statistical Inference in Cox-Ingersoll-Ross Model
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摘要 本文研究了Cox—Ingersoll—Ross模型的统计推断问题.给出了CIR过程的平稳均值m与平稳方差v的矩估计,并利用m和v给出了CIR过程中尺度参数α与波动率β之间的关系,讨论了参数α的条件矩估计和渐近极大似然估计.并通过数值模拟对条件矩估计,渐近极大似然估计这两种方法作了比较. In this paper, the problem of estimating coefficients in Cox-Ingersoll-Ross model are studied. The moment estimates of the equilibrium mean m and the equilibrium variance v of the CIR process is given. By assuming the parameters m and v “ known ”, the relation between the scale parameter α and the volatility β is obtained. The conditional moment estimate and the approximate maximum likelihood estimate are discussed. The comparing of two approach are given by simulation.
作者 陈萍 杨孝平
机构地区 南京理工大学理学院
出处 《应用概率统计》 CSCD 北大核心 2005年第3期285-292,共8页 Chinese Journal of Applied Probability and Statistics
关键词 Cox—Ingersoll—Ross模型 条件矩估计 渐近极大似然估计
分类号 O211.64 [理学—概率论与数理统计]
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参考文献13

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二级参考文献11

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  • 10张双林,沙秋英,程美玉.回归函数非线性小波估计的一致强相合性[J].应用概率统计,1999,15(4):375-380. 被引量：4

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应用概率统计
2005年 第3期

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