论文标题
来自部分和离散观测的沿阵贡线性SDE的参数估计值
Parameter estimation for ergodic linear SDEs from partial and discrete observations
论文作者
论文摘要
我们考虑了线性随机微分方程描述的状态空间模型的参数估计问题。我们假设一个不可观察的Ornstein-Uhlenbeck过程通过线性随机微分方程驱动了另一个可观察的过程，而这两个过程取决于一些未知参数。我们构建未知参数的准可能性估计量（QMLE），并显示估计量的渐近特性。
We consider a problem of parameter estimation for the state space model described by linear stochastic differential equations. We assume that an unobservable Ornstein-Uhlenbeck process drives another observable process by the linear stochastic differential equation, and these two processes depend on some unknown parameters. We construct the quasi-likelihood estimator (QMLE) of the unknown parameters and show asymptotic properties of the estimator.
