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
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。

Abstract: 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+δdZt

Least 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.

文章引用：范成念, 闫理坦. 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[J]. 统计学与应用, 2017, 6(5): 539-549. https://doi.org/10.12677/SA.2017.65061

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