The local linearization scheme for nonlinear diffusion models with discontinuous coefficients

被引：7

作者：

Stramer, O ^{[1
]}

机构：

[1] Univ Iowa, Dept Stat & Actuarial Sci, Iowa City, IA 52242 USA

来源：

STATISTICS & PROBABILITY LETTERS | 1999年 / 42卷 / 03期

基金：

美国国家科学基金会;

关键词：

diffusions; local linearization schemes; threshold AR processes; multi-dimensional continuous-time threshold; AR models;

D O I：

10.1016/S0167-7152(98)00191-6

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The local linearization scheme, defined in Shoji and Ozaki [1997, J. Time Ser. Anal. 18, 485-506] for diffusions with smooth coefficients, is studied under some regularity conditions when the coefficients are not necessarily continuous. It is shown that the local scheme converges weakly to the diffusion itself. These results are applied to continuous-time threshold autoregressive moving-average processes and multi-dimensional continuous-time threshold AR models. (C) 1999 Elsevier Science B.V. All rights reserved.

引用

页码：249 / 256

页数：8