Search results for "Ornšteina-Ulenbeka process"

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Difūzijas procesu parametru novērtēšanas metodes

2020

Maģistra darbā tika aplūkotas divas difūzijas procesu parametru novērtēšanas metodes maksimālās ticamības funkcijas metode un empīriskās ticamības funkcijas metode. Darbā ir aprakstīti difūzijas procesi, stohastiskie diferenciālvienādojumi, Ornšteina-Ulenbeka process, Vasičeka modelis, Koksa-Ingersolla-Rossa modelis. Darba mērķis ir novērtēt Vasičeka modeļa parametrus, izmantojot maksimālās ticamības funkcijas novērtējumu un empīriskās ticamības funkcijas novērtējumu un salīdzināt rezultātus. Vasičeka modelis tika pielietots reāliem datiem un aprēķināti modeļa parametri ar parametrisko un neparametrisko metodi.

maksimālās ticamības funkcijaOrnšteina-Ulenbeka processMatemātikaempīriskā ticamības funkcijaVasičeka modelisStohastiskie diferenciālvienādojumi

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PEPhysical Sciences and Engineering
- PE2Fundamental Constituents of Matter
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LSLife Sciences
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