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Estimation of parameters of the Samuelson model with telegraph drift

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Abstract

We have constructed the estimates of unknown parameters of the Samuelson model with telegraph drift within the method of moments. We have proved the strong consistency of the estimates and obtained the asymptotic confidence regions for the unknown parameters.

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Authors and Affiliations

  1. Institute of Applied Mathematics and Mechanics of the NAS of Ukraine, Kyiv, Ukraine

    Anna A. Kharkhota & Sergei A. Melnyk

Authors
  1. Anna A. Kharkhota
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  2. Sergei A. Melnyk
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Correspondence to Anna A. Kharkhota.

Additional information

Translated from Ukrains’kiĭ Matematychnyĭ Visnyk, Vol. 12, No. 4, pp. 557–572, September–December, 2015.

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Kharkhota, A.A., Melnyk, S.A. Estimation of parameters of the Samuelson model with telegraph drift. J Math Sci 218, 16–27 (2016). https://doi.org/10.1007/s10958-016-3007-7

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  • DOI: https://doi.org/10.1007/s10958-016-3007-7

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