TITLE:
Parameter Estimation for the Continuous Time Stochastic Logistic Diffusion Model
AUTHORS:
Zhiwei Zheng, Huisheng Shu, Xiu Kan, Yingyi Fang, Xin Zhang
KEYWORDS:
Parameter Estimation, Stationary Distribution, Likelihood Ratio, Random Time Transformations
JOURNAL NAME:
Open Journal of Statistics,
Vol.7 No.6,
December
25,
2017
ABSTRACT: 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.