数学杂志2008，Vol.28Issue(5)：499-502,4.
分数布朗运动模型中贝叶斯估计的渐近正态性
ASYMPTOTIC NORMALITY OF THE BAYES ESTIMATOR IN FRACTIONAL BROWNIAN MOTION MODEL
商豪 1苗雨 2李标3
作者信息
- 1. 湖北工业大学理学院,湖北,武汉,430068
- 2. 河南师范大学数学与信息科学学院,河南,新乡,453007
- 3. 中国人民大学统计学院,北京,100872
- 折叠
摘要
Abstract
In this paper, we discuss the asymptotic behavior of the Bayes estimator for a linear stochastic differential equation with factional Brownian motion. According to the stochastic analysis for fractional Brownian motion and Girsanov formula, we obtain the asymptotic normality of the usual Bayes estimator under quadratic loss function.关键词
分数布朗运动/渐近正态性/Girsanov定理/Bayes估计Key words
fractional Brownian motion/asymptotic normality/Girsanov formula/Bayes estimator分类
数理科学引用本文复制引用
商豪,苗雨,李标..分数布朗运动模型中贝叶斯估计的渐近正态性[J].数学杂志,2008,28(5):499-502,4.
