离散抽样OU-复合Poisson过程的参数矩估计

Moment Estimation of Parameters for Discretely Sampled OU-compound Poisson Processes

  • 摘要: 本文研究基于离散观测的正复合Poisson过程驱动OU型过程的参数估计. 通过矩估计给出了过程平稳分布参数的估计量, 并得到了估计量的相合性和渐近正态性. 进一步, 将矩估计的方法和结论推广到叠加过程的情况.

     

    Abstract: Processes of Ornstein-Uhlenbeck type, driven by positive compound Poisson processes, are considered in this paper. We are interested in parametric estimation of those processes based on discrete observations. The parameter of the stationary distribution is estimated by the method of moments, and a consistent and asymptotically normal estimator is provided. The theoretical study is also generalized to the superposition case. \newcommand\fundinfoThe research is supported by the National Natural Science Foundation of China (10901100) and the Science \& Technology Program of Shanghai Maritime University (20100135).

     

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