Parameter Estimation for Dothan Model Driven by Small Symmetrical Noise Based on Discrete Observation

Parameter Estimation for Dothan Model Driven by Small Symmetrical Noise Based on Discrete Observation

In this paper, we consider the parameter estimation problem for discretely observed Dothan model driven by small symmetrical noise. The least square method is applied to obtain the drift parameter estimators. The consistency and asymptotic distribution of the estimators are derived when a small disp...

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Veröffentlicht in:Engineering letters 2022-11, Vol.30 (4), p.1210
Hauptverfasser: Jiao, Huiping, Zhou, Piaopiao, Li, Heling, Wei, Chao
Format: Artikel
Sprache:eng
Schlagworte:
Drift estimation
Estimators
Mathematical models
Parameter estimation
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Zusammenfassung:In this paper, we consider the parameter estimation problem for discretely observed Dothan model driven by small symmetrical noise. The least square method is applied to obtain the drift parameter estimators. The consistency and asymptotic distribution of the estimators are derived when a small dispersion coefficient ε → 0. Some simulations are made to demonstrate the applicability of the results.
ISSN:1816-093X
1816-0948