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 2 LSE对$J$的相依性

$J$ $2^{3}$ $2^4$ $2^5$ $2^6$ $2^7$ $\bar{\hat{\theta}}_{5 \times 10^3, T}(10, J)$ 1.1108 1.0955 1.0903 1.0780 1.0672 $ \underline{\hat{\theta}}_{5 \times 10^3, T}(10, J) $ 0.9718 0.9713 0.9879 0.9888 0.9995 $\bar{\hat{\theta}}_{5 \times 10^3, T}(10, J)-\underline{\hat{\theta}}_{5 \times 10^3, T}(10, J)$ 0.1390 0.1241 0.1023 0.0892 0.0677