Statistical inference for stochastic differential equations with small noises (Q1724191)
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scientific article; zbMATH DE number 7022444
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| English | Statistical inference for stochastic differential equations with small noises |
scientific article; zbMATH DE number 7022444 |
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Statistical inference for stochastic differential equations with small noises (English)
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14 February 2019
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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 \(\alpha\)-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.
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0.8978239893913269
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0.8533147573471069
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0.8408440947532654
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0.8246892094612122
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