| 倒向随机微分方程中非参数估计的核函数选择 |
| |
| 引用本文： | 刘敬伟,胡爽,康进,罗纪文.倒向随机微分方程中非参数估计的核函数选择[J].统计与信息论坛,2011(11):8-12. |
| |
| 作者姓名： | 刘敬伟 胡爽 康进 罗纪文 |
| |
| 作者单位： | 北京航空航天大学数学与系统科学学院; |
| |
| 摘 要： | 比较了多种类型的核函数下倒向随机微分方程（BSDE）中生成元z的非参数估计方法,利用不同的核函数估计BSDE中的生成元z的非参数估计,在均方误差意义下比较了8种不同的核函数下得到的BSDE的生成元z的非参数估计的精度,统计分析结果显示Gaussian核函数下的估计效果最好。
|
| 关 键 词： | 倒向随机微分方程 随机微分方程 非参数估计 核函数 均方误差 |
Kernel Function Selection of Nonparametric Estimation of Backward Stochastic Differential Equation |
| |
| LIU Jing-wei,HU Shuang,KANG Jin,LUO Ji-wen.Kernel Function Selection of Nonparametric Estimation of Backward Stochastic Differential Equation[J].Statistics & Information Tribune,2011(11):8-12. |
| |
| Authors: | LIU Jing-wei HU Shuang KANG Jin LUO Ji-wen |
| |
| Institution: | LIU Jing-wei,HU Shuang,KANG Jin,LUO Ji-wen(School of Mathematics and System Sciences,Beihang University,Beijing 100191,China) |
| |
| Abstract: | The comparison of several kernel functions in nonparametric estimation of generator z of backward stochastic differential equation(BSDE) are discussed in this paper.Utilizing different kernel functions for nonparametric estimation of generator z of BSDE,the estimation accuracies of 8 kernel functions in terms of mean squares error(MSE) are investigated,the experimental results with statistical methods show that the estimation effectiveness of Gaussian kernel function is the best. |
| |
| Keywords: | backward stochastic differential equation stochastic differential equation nonparametric estimation kernel function mean square error |
| 本文献已被 CNKI 维普 等数据库收录！ |
