基于离散观测的带有小的α稳定噪声的Vasicek利率模型的最小二乘估计  

Least Squares Estimators for Discretely Observed Vasicek Interest Rate Model with Small α Stable Noises

作　　者：范成念 闫理坦[1] 

机构地区：[1]东华大学数学系,上海

出　　处：《统计学与应用》2017年第5期539-549,共11页Statistical and Application

摘　　要：本文研究[0,1]区间中离散时间ti=(i/n,i=1,L,n) 观测的α-稳定Lévy噪声驱动的Vasicek利率模型的参数估计问题。 dXt=(a-bXt)dt+δdZt采用最小二乘法得到了a和b的估计量。在δ→0和δ→∞ 同时成立的条件下,完成了最小二乘估计量的相合性和渐近性的证明。In this paper, we consider the problem of parameter estimation for Vasicek interest rate model with small α-stable noises, observed at n regularly spaced time points ti=(i/n,i=1,L,n) on [0,1]dXt=(a-bXt)dt+δdZtLeast squares method is used to obtain a and b. The consistencies and asymptotic distributions of the LSE are established when δ→0 and δ→∞ simultaneously.

关 键 词：VASICEK利率模型 α-稳定Lévy噪声 最小二乘估计 

分 类 号：F2[经济管理—国民经济]