Least-squares estimators based on the Adams method for stochastic differential equations with small Lévy noise

DOI10.1007/S42081-022-00155-1MaRDI QIDQ2166033zbMATH OpenOpenAlexWikidataFDO

Authors Mitsuki Kobayashi, Yasutaka Shimizu

Publication date 23 August 2022

Published in Japanese Journal of Statistics and Data Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2201.06787

zbMATH Keywords

asymptotic distributiondiscrete observationssmall noise asymptoticsAdams methodSDE driven by Lévy noise

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Abstract: We consider stochastic differential equations (SDEs) driven by small L'evy noise with some unknown parameters, and propose a new type of least squares estimators based on discrete samples from the SDEs. To approximate the increments of a process from the SDEs, we shall use not the usual Euler method, but the Adams method, that is, a well-known numerical approximation of the solution to the ordinary differential equation appearing in the limit of the SDE. We show the consistency of the proposed estimators as well as the asymptotic distribution in a suitable observation scheme. We also show that our estimators can be better than the usual LSE based on the Euler method in the finite sample performance.

Recommendations

• Least squares estimators for stochastic differential equations driven by small Lévy noises
• Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
• Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations
• Parameter estimation for a class of stochastic differential equations driven by small stable noises from discrete observations
• Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises

Cites work

• scientific article; zbMATH DE number 50395 (Why is no real title available?)
• scientific article; zbMATH DE number 5681750 (Why is no real title available?)
• A First Course in the Numerical Analysis of Differential Equations
• A sufficient condition for asymptotic sufficiency of incomplete observations of a diffusion process
• Asymptotic Statistics
• Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions
• 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
• Maximnm contrast estimation for diffusion processes from discrete observations
• Numerical Methods for Ordinary Differential Equations
• Quasi-likelihood analysis for the stochastic differential equation with jumps
• Small-diffusion asymptotics for discretely sampled stochastic differential equations
• Solving Ordinary Differential Equations I
• Threshold estimation for stochastic processes with small noise

Cited in

(2)

• Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations
• Threshold estimation for jump-diffusions under small noise asymptotics

This page was built for publication: Least-squares estimators based on the Adams method for stochastic differential equations with small Lévy noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2166033)