Parameter Estimation for the Continuous Time Stochastic Logistic Diffusion Model

• 作者: Huisheng Shu Xin Zhang Xiu Kan Yingyi Fang Zhiwei Zheng
• 来源期刊: 统计学期刊(英文)
• 学科: 数学
• 关键词: Parameter Estimation STATIONARY Distribution LIKELIHOOD Ratio RANDOM Time TRANSFORMATIONS
• 年，卷（期）: tjxqkyw_2017,（6）
• 页码范围: 1039-1052
• 页数: 14页
• 分类号: O1

摘要

In this paper, the parameter estimation problem is investigated for the continuous time stochastic logistic diffusion system. A new continuous process is built based on the likelihood ratio scheme, the Radon-Nikodym derivative and the explicit expressions of the error of estimation are given under this new continuous process. By using the random time transformations, law of large numbers for martingales, law of iterated logarithm and stationary distribution of solution, the consistency property are proved for the estimation error. Finally, a numerical simulation is presented to demonstrate the effectiveness of the proposed method in this paper.