Minimum distance parameter estimation for SDEs with small -stable noises

DOI10.1016/J.SPL.2018.10.009MaRDI QIDQ1726804zbMATH OpenOpenAlexFDO

Authors Huiyan Zhao, Chongqi Zhang

Publication date 20 February 2019

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2018.10.009

zbMATH Keywords

\(\alpha\)-stable processminimum distance estimationsmall noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Point estimation (62F10)

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• Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
• Least squares estimators for stochastic differential equations driven by small Lévy noises
• Lévy Processes and Stochastic Calculus
• Minimum distance estimation for fractional Ornstein-Uhlenbeck type process
• Minimum distance parameter estimation for Ornstein-Uhlenbeck processes driven by Lévy process
• On Itô stochastic integration with respect to p-stable motion: Inner clock, integrability of sample paths, double and multiple integrals
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• The asymptotic expansion approach to the valuation of interest rate contingent claims
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Cited in

(11)

• Statistical inference for stochastic differential equations with small noises
• Trajectory fitting estimation for a class of SDEs with small Lévy noises
• The law of iterated logarithm for the estimations of diffusion-type processes
• The moderate deviation principle for minimizers of convex processes
• Probabilistic properties and parametric inference of small variance nonlinear self-stabilizing stochastic differential equations
• Nonparametric estimation of the trend for stochastic differential equations driven by small -stable noises
• Small noise fluctuations of the CIR model driven by \(\alpha\)-stable noises
• Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises
• Parameter estimation in models generated by SDEs with symmetric alpha-stable noise
• Parameter estimation for partially observed stochastic processes driven by Ornstein–Uhlenbeck processes with small Lévy noises
• The asymptotic behaviors for parameter estimation of stochastic functional differential equations

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