Ait-Sahalia, Y. (2003) Maximum likelihood estimation of discretely sampled diffusions: A closed-form approximation approach. Econometrica, 70, 223-262.
被以下文章引用:
标题: 随机Logistic扩散污染模型的稳健广义矩估计Robust Generalized Method of Moment Estimator for the Contaminated Stochastic Logistic Diffusion Model
作者: 胡雪梅
关键字: 随机Logistic扩散污染模型, 稳健广义矩估计The Contaminated Stochastic Logistic Diffusion Model; Robust Generalized Method of Moment Estimator
期刊名称: 《Statistics and Application》, Vol.2 No.4, 2013-12-24
摘要: 本文首次研究了維勒过程受污染的随机Logistic扩散模型,提出了稳健的广义矩估计方法。模拟表明所建立的稳健广义矩估计优于通常的极大似然估计。The Contaminated Stochastic Logistic Diffusion Model; Robust Generalized Method of Moment Estimator