ESTIMATION FOR DYNAMICAL SYSTEMS WITH SMALL NOISE FROM DISCRETE OBSERVATIONS

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概要

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• We consider an efficient estimation of an unknown parameter appearing in both the drift and the diffusion coefficient for a d-dimensional dynamical system with small noise. Asymptotic properties of an M-estimator obtained from an approximate quadratic martingale estimating function are stated. The sample path is observed at equidistant times k/n, k=0, 1, ..., n. The type of asymptotics considered is when a small dispersion parameter ε goes to 0 and n goes to ∞ simultaneously.

• 一般社団法人日本統計学会の論文

著者

• Uchida Masayuki

  Faculty Of Mathematics Kyushu University

• Uchida Masayuki

  Faculty Of Agriculture Shinshu University

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• ESTIMATION FOR DYNAMICAL SYSTEMS WITH SMALL NOISE FROM DISCRETE OBSERVATIONS

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