分布不确定下随机微分方程参数最小二乘估计

费晨,费为银

Consistency of Least Squares Estimation to the Parameter for Stochastic Differential Equations Under Distribution Uncertainty

Chen Fei,Weiyin Fei

表 1 LSE对$n$的相依性

$n $ $1 \times 10^4$ $ 2 \times 10^4$ $3 \times 10^4$ $4 \times 10^4$ $5 \times 10^4$ $\bar{\hat{\theta}}_{n, T}(10, 2^9) $ 1.0313 1.0193 1.0144 1.0089 1.0057 $ \underline{\hat{\theta}}_{n, T}(10, 2^9) $ 1.0104 1.0027 1.0014 0.9972 0.9978 $\bar{\hat{\theta}}_{n, T}(10, 2^9)- \underline{\hat{\theta}}_{n, T}(10, 2^9) $ 0.0209 0.0166 0.0130 0.0117 0.0079