Asymptotic behavior of parametric estimation for a class of nonlinear diffusion process
Volume 11, Issue 6, pp 778--784
http://dx.doi.org/10.22436/jnsa.011.06.05
Publication Date: April 25, 2018
Submission Date: November 21, 2017
Revision Date: January 19, 2018
Accteptance Date: March 23, 2018
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Authors
Chenglian Zhu
- School of Mathematical Science, Huaiyin Normal University, Huaian, Jiangsu 223300, P. R. China.
Abstract
In this paper, a stochastic process, which is a class of nonhomogeneous diffusion process from the perspective of the corresponding nonlinear stochastic differential equation is studied. The parameter included in the drift term
are estimated by sequential maximum likelihood methodology. The sequential estimators are proved to be closed, unbiased, strongly consistent, normally distributed, and optimal in the mean square sense.
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ISRP Style
Chenglian Zhu, Asymptotic behavior of parametric estimation for a class of nonlinear diffusion process, Journal of Nonlinear Sciences and Applications, 11 (2018), no. 6, 778--784
AMA Style
Zhu Chenglian, Asymptotic behavior of parametric estimation for a class of nonlinear diffusion process. J. Nonlinear Sci. Appl. (2018); 11(6):778--784
Chicago/Turabian Style
Zhu, Chenglian. "Asymptotic behavior of parametric estimation for a class of nonlinear diffusion process." Journal of Nonlinear Sciences and Applications, 11, no. 6 (2018): 778--784
Keywords
- Nonlinear diffusion process
- sequential maximum likelihood estimation
- mean square sense
MSC
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