| 由高斯移动平均过程驱动的一类随机微分方程的极大似然估计 |
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| 引用本文： | 唐维,陈珊敏,闫理坦.由高斯移动平均过程驱动的一类随机微分方程的极大似然估计[J].苏州科技学院学报(自然科学版),2013(4):25-29. |
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| 作者姓名： | 唐维 陈珊敏 闫理坦 |
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| 作者单位： | 东华大学理学院,上海201620 |
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| 基金项目： | 国家自然科学基金资助项目（10871041） |
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| 摘 要： | 在高斯移动平均过程是半鞅情况下,研究由其驱动的随机微分方程的极大似然估计获得了渐近一致的估计,并证明了该估计量的强相容性和渐近正态性,从而推广了经典情形下的相应结果.
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| 关 键 词： | 强相容性 渐近正态 极大似然估计 高斯移动平均过程 |
MLE for a class of stochastic differential equations driven by a Gaussian moving average process |
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| TANG Wei,CHEN Shanmin,YAN Litan.MLE for a class of stochastic differential equations driven by a Gaussian moving average process[J].Journal of University of Science and Technology of Suzhou,2013(4):25-29. |
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| Authors: | TANG Wei CHEN Shanmin YAN Litan |
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| Institution: | ( College of Science, Donghua University, Shanghai 201620, Chnia) |
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| Abstract: | In this paper, we studied the maximum likelihood estimation （MLE） for a class of stochastic differen- tial equations driven by a Gaussian moving average process which was a semimartingale. Uniformly asymptotic estimation was obtained. Moreover, we proved the strong consistency and the asymptotic ,normality of the estima- tor, which generalizes the related results in the classical situation. |
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| Keywords: | strong consistency asymptotic normality maximum likelihood estimatio （MLE） Gaussian moving average process |
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