应用数学2017，Vol.30Issue(2)：264-277,14.
高斯过程驱动下桥的最小二乘参数估计
Least Squares Estimator for Bridges Driven by Gaussian Process
摘要
Abstract
In this paper,we consider the parameter estimation problem for the parameter α of a Gaussian bridge defined as dXt=-αXt/T-tdt + dGt,0≤ t ＜ T,with 0 ＜ α ≤1/2,where G is a Gaussian process.We obtain the consistency and the asymptotic distributions of the least squares estimator (α) of α based on the observation {Xs,s ∈ [0,t]} as t → T.Moreover,we also obtain the rate of this convergence.关键词
参数估计/最小二乘估计法/高斯过程/桥Key words
Parameter estimation/Least squares method/Gaussian processes/Bridge分类
数理科学引用本文复制引用
汪义汉,常强强..高斯过程驱动下桥的最小二乘参数估计[J].应用数学,2017,30(2):264-277,14.基金项目
Supported by the National Natural Science Foundation of China (11271020),the Distinguished Young Scholars Foundation of Anhui Province (1608085J06) （11271020）
