摘要:
在本文中,我们研究带自排斥漂移项的非遍历的Ornstein-Uhlenbeck过程的参数估计问题
![](https://image.hanspub.org/IMAGE/Edit_9faf1e83-7158-4740-92c6-919bfa5f4133.bmp)
其中Z
T是α-stable Lévy过程,θ>0是未知参数。我们讨论当T→∞,基于
![](https://image.hanspub.org/IMAGE/Edit_875511bb-8bfc-4128-8278-c547d53907c1.bmp)
连续观测下的
θ的加权轨迹拟合参数θ
^T的相合性和渐近分布。
Abstract:
In this paper, we consider parameter estimation problem for the non-ergodic Ornstein-Uhlenbeck processes with self-interacting drift
![](https://image.hanspub.org/IMAGE/Edit_9faf1e83-7158-4740-92c6-919bfa5f4133.bmp)
where Z
T is an
α-stable Lévy motion with
θ>0 is an unknown parameter. We consider the consistency and the asymptotic distributions of the weighted trajectory fitting estimator θ
^T of
θ based on the continuous observation
![](https://image.hanspub.org/IMAGE/Edit_875511bb-8bfc-4128-8278-c547d53907c1.bmp)
as
T→∞ .