Statistical Inference for Stochastic Differential Equations with Small Noises
Keyword(s):
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 jumpα-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.
Keyword(s):
2007 ◽
Vol 76
(257)
◽
pp. 97-115
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2017 ◽
Vol 127
(5)
◽
pp. 1475-1495
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