Statistical Inference for Stochastic Differential Equations with Small Noises
This paper proposes the least squares method to estimate the drift parameter for the stochastic differential equations driven by small noises, which is more general than pure jump α-stable noises. The asymptotic property of this least squares estimator is studied under some regularity conditions. Th...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
|
| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/473681 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Summary: | This paper proposes the least squares method to estimate the drift parameter for the stochastic differential equations driven by small noises, which is more general than pure jump α-stable noises. The asymptotic property of this least squares estimator is studied under some regularity conditions. The asymptotic distribution of the estimator is shown to be the convolution of a stable distribution and a normal distribution, which is completely different from the classical cases. |
|---|---|
| ISSN: | 1085-3375 1687-0409 |