论文标题
阈值Ornstein-Uhlenbeck的参数估计值来自离散观测
Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations
论文作者
论文摘要
假设在离散时间瞬间观察到阈值Ornstein-uhlenbeck过程，我们提出了广义力矩估计器来估计参数。我们的理论依据是著名的千古定理。要使用此定理，我们需要找到不变度度量的明确形式。随着采样时间步长任意固定，我们证明了估计器的强一致性和渐近态性，因为样本量倾向于无穷大。
Assuming that a threshold Ornstein-Uhlenbeck process is observed at discrete time instants, we propose generalized moment estimators to estimate the parameters. Our theoretical basis is the celebrated ergodic theorem. To use this theorem we need to find the explicit form of the invariant measure. With the sampling time step arbitrarily fixed, we prove the strong consistency and asymptotic normality of our estimators as the sample size tends to infinity.
