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Wir sind gerne für Sie daSmall noise is a good noise. In this work, we are interested in the problems of estimation theory concerned with observations of the diffusion-type process Xo = Xo, 0 ~ t ~ T, (0. 1) where W is a standard Wiener process and St(') is some nonanticipative smooth t function. By the observations X = {X, 0 ~ t ~ T} of this process, we will solve some t of the problems of identification, both parametric and nonparametric. If the trend S(-) is known up to the value of some finite-dimensional parameter St(X) = St((}, X), where (} E e c Rd, then we have a parametric case. The nonparametric problems arise if we know only the degree of smoothness of the function St(X), 0 ~ t ~ T with respect to time t. It is supposed that the diffusion coefficient c is always known. In the parametric case, we describe the asymptotical properties of maximum likelihood (MLE), Bayes (BE) and minimum distance (MDE) estimators as c --+ 0 and in the nonparametric situation, we investigate some kernel-type estimators of unknown functions (say, StO,O ~ t ~ T). The asymptotic in such problems of estimation for this scheme of observations was usually considered as T --+ 00, because this limit is a direct analog to the traditional limit (n --+ 00) in the classical mathematical statistics of i. i. d. observations. The limit c --+ 0 in (0. 1) is interesting for the following reasons.
Produkteigenschaften
- Artikelnummer: 9789401044448
- Medium: Buch
- ISBN: 978-94-010-4444-8
- Verlag: Springer Netherlands
- Erscheinungstermin: 14.10.2012
- Sprache(n): Englisch
- Auflage: Softcover Nachdruck of the original 1. Auflage 1994
- Serie: Mathematics and Its Applications
- Produktform: Kartoniert
- Gewicht: 501 g
- Seiten: 301
- Format (B x H x T): 160 x 240 x 17 mm
- Ausgabetyp: Kein, Unbekannt