斜Ornstein-uhlenbeck过程的最大似然估计（英文）  

Maximum Likelihood Estimation for the Skew Ornstein-uhlenbeck Processes

作　　者：邢小玉[1] 冯爱伶 马世霞[1] 

机构地区：[1]河北工业大学理学院,天津300401

出　　处：《南开大学学报（自然科学版）》2017年第1期97-102,共6页Acta Scientiarum Naturalium Universitatis Nankaiensis

基　　金：Supported by the National Natural Science Foundation of China(11301133,11471218,11201111);the Natural Science Foundation of Hebei Province(A2014202236,A2014202052)

摘　　要：考虑了连续观测的斜Ornstein-Uhlenbeck过程的最大似然估计问题,给出了漂移参数最大似然估计量,在此基础上证明了强相合性和渐进正态性.A skew Ornstein-Uhlenbeck processes based on continuous observations are considered. The main contribution of this paper is the maximum likelihood estimators for the drift parameters, as well as their strong consistency and asymptotic normality.

关 键 词：最大似然估计 斜Ornstein-Uhlenbeck过程 强相合性 渐进正态性 

分 类 号：O211.6[理学—概率论与数理统计]