一个有效估计_半参数非时齐扩散模型的局部线性复合分位回归估计.pdfVIP

Æ 2014,35A(1):61–72 ∗ 1  2 Æ℄℄ Æ MR (2000) 62M05, 62F12 O212.1 A 1000-8314(2014)01-0061-012 1 ℄  Black[1] Æ Vasicek[2], Cox[3] Chan[4] ℄Æ  [5−11] . (Ω, F, (F ) , P ) t t0 {X } t m dX = {α(t) + β (t)g (X )}dt + [G(X )]γ σ dW (j ) , (1.1) t t t j t j =1 α(t) β (t) σ , σ , , σ γ t g () 1 2 m G() {W (j ) , j = 1, 2, , m} t  m = 1 (1.1) Æ℄Æ [1–2, 8] ℄ ℄ Zou [12] Æ Kai [13]  ℄ Kai [14] ℄  ℄ ℄ [15]. Æ ℄ 2012 11 15 2013 4 8 1ÆÆ 200093; ÆÆÆÆ 453007. E-mail: jixiawang@163.com 2ÆÆ 200093. E-mail: qxxiao@163.com ∗Æ (No. Æ (No. XTKX2012) 62 Æ 35 A ℄ ℄ 2 ℄ 3 ℄  4 5  2 {Xti , i = 1, 2, , n + 1} (1.1) t1 t2 tn+1 , Y = X − X , ∆ = t − t , i = 1, 2, , n, ε(j ) = ti ti+1 ti i i+1 i ti (j ) (j ) (j ) (j ) Wti+1 − Wti , j = 1, 2, , m. Wti εti ∆i (1.1)