Threshold Estimation for Stochastic Processes with Small Noise

DOI10.1111/SJOS.12287zbMath1421.62115arXiv1502.07409OpenAlexW2963465959MaRDI QIDQ4599643

Yasutaka Shimizu

Publication date: 4 January 2018

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.07409

zbMATH Keywords

stochastic differential equationsthreshold estimatordrift estimationsmall noise asymptoticsmighty convergencesemi-martingale noise

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05) Stable stochastic processes (60G52)

Related Items (3)

Least-squares estimators based on the Adams method for stochastic differential equations with small Lévy noise ⋮ Asymptotic inference for stochastic differential equations driven by fractional Brownian motion ⋮ Threshold estimation for jump-diffusions under small noise asymptotics

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