[1]陈萍,杨孝平.资产方程的非参数估计[J].南京理工大学学报(自然科学版),2004,(02):208-211.
 CHENG Ping,Yang Xiao-ping.Nonparametric Estimation of the Assets Equation[J].Journal of Nanjing University of Science and Technology,2004,(02):208-211.
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资产方程的非参数估计()
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《南京理工大学学报》(自然科学版)[ISSN:1005-9830/CN:32-1397/N]

卷:
期数:
2004年02期
页码:
208-211
栏目:
出版日期:
2004-04-30

文章信息/Info

Title:
Nonparametric Estimation of the Assets Equation
作者:
陈萍杨孝平
南京理工大学理学院, 江苏南京 210094
Author(s):
CHENG PingYang Xiao-ping
School of Sciences,NUST,Nanjing 210094,China
关键词:
漂移系数 Ito 公式 非参数估计 小波
Keywords:
drif t coef ficient Ito formula nonparamet ric estimat ion w avelet
分类号:
F224
摘要:
资产方程中漂移系数和扩散系数的估计是建立方程的前提。利用Ito公式对样本进行变换 ,给出漂移系数的非参数估计。将资产方程估计问题转化成C[0 ,1 ]函数的非参数估计问题。并证明所得估计量相合性。同时给出了漂移系数小波估计的构造。
Abstract:
The prerequisites of const ruct ion of the assets equat ion is the est imat ion of the drif t coeff icient b(·) . T he nonparamet ric estimation of b(·) is derived through the translat ion of the samples using Ito formula, the problem of estimation of assets equat ion is then t ranslated to the problem of the est imat ions of functions in C [ 0, 1] . The consistency property of the est imate is discussed and the w avelet est imate of the drif t coeff icient is constructed.

参考文献/References:

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备注/Memo

备注/Memo:
作者简介: 陈萍( 1963—— ) , 女, 浙江青田人, 副教授, 主要研究方向: 金融数学, E-mail: probstat@ sohu.com。
更新日期/Last Update: 2013-03-11