Parameter estimation for certain nonstationary processes driven by α-stable motions

被引：3
|
作者：
Zhang, Xuekang [1 ]
Yi, Haoran [1 ]
Shu, Huisheng [2 ]
机构：
[1] Donghua Univ, Sch Informat Sci & Technol, Shanghai, Peoples R China
[2] Donghua Univ, Sch Sci, Shanghai, Peoples R China
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2021年 / 50卷 / 01期
基金：
中国国家自然科学基金;
关键词：
Nonstationary processes; alpha-stable processes; trajectory fitting method; consistency; stable distribution; LEAST-SQUARES ESTIMATOR; UHLENBECK PROCESSES DRIVEN; ASYMPTOTIC-BEHAVIOR; DIFFUSION;
D O I：
10.1080/03610926.2019.1630436
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 present article deals with the problem of parametric estimation for certain nonstationary processes driven by alpha-stable motions. The trajectory fitting method combined with the weighted least squares technique is used to obtain an estimator of the drift parameter. The asymptotic behavior of the weighted trajectory fitting estimator for general weights in non-ergodic case, including consistency and asymptotic distribution.
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页码：95 / 104
页数：10
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