Parameter estimation in models generated by SDEs with symmetric alpha-stable noise

被引：0

作者：

Ivanenko, D. O. ^{[1
]}

Pogorielov, R., V ^{[1
]}

机构：

[1] Taras Shevchenko Natl Univ Kyiv, Fac Radio Phys Elect & Comp Syst, Glushkova Ave 4g, Kiev, Ukraine

来源：

INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS | 2023年 / 100卷 / 01期

关键词：

SDE; Levy processes; parameter estimation; alpha-stable processes; numerical optimization; SQP ALGORITHM; MINIMAX;

D O I：

10.1080/00207160.2022.2080499

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This article considers vector parameter estimators in statistical models generated by Levy processes. An improved one-step estimator is presented which can be used for improving any other estimator. Combined numerical methods for optimization problems are proposed. A software has been developed and a correspondent testing and comparison have been presented.

引用

页码：69 / 82

页数：14

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