Least squares estimators for stochastic differential equations driven by small Lévy noises

DOI10.1016/J.SPA.2016.08.006zbMath1362.62048OpenAlexW2514022338MaRDI QIDQ529425

Yasutaka Shimizu, Hongwei Long, Chunhua Ma

Publication date: 18 May 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2016.08.006

zbMATH Keywords

asymptotic distributionparameter estimationconsistencystochastic differential equationsdiscrete observationsleast squares method

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Stable stochastic processes (60G52)

Related Items (22)

Least squares estimation for distribution-dependent stochastic differential delay equations ⋮ Least squares estimator for path-dependent McKean-Vlasov SDEs via discrete-time observations ⋮ Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises ⋮ Least-squares estimators based on the Adams method for stochastic differential equations with small Lévy noise ⋮ Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean ⋮ The least squares estimation for the \(\alpha\)-stable Ornstein-Uhlenbeck process with constant drift ⋮ Parameter estimation for Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes with small Lévy noises ⋮ Threshold estimation for jump-diffusions under small noise asymptotics ⋮ Parameter estimation for integrated Ornstein-Uhlenbeck processes with small Lévy noises ⋮ Self-weighted quantile regression estimation for diffusion parameter in jump-diffusion models ⋮ Least squares estimators for stochastic differential equations with Markovian switching ⋮ Minimum distance parameter estimation for SDEs with small \(\alpha\)-stable noises ⋮ Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations ⋮ Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise ⋮ Least squares estimation for path-distribution dependent stochastic differential equations ⋮ Estimating functions for jump-diffusions ⋮ Hybrid estimators for small diffusion processes based on reduced data ⋮ Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations ⋮ Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter ⋮ Nonparametric estimation of the trend for stochastic differential equations driven by small \(\alpha\)-stable noises ⋮ Trajectory fitting estimation for a class of SDEs with small Lévy noises ⋮ Bias Correction Estimation for a Continuous‐Time Asset Return Model with Jumps

Uses Software

• CRAN
• YUIMA

Cites Work

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