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

DOI10.1007/S42081-022-00155-1zbMATH Open1493.62502arXiv2201.06787OpenAlexW4221153286WikidataQ115370862 ScholiaQ115370862MaRDI QIDQ2166033FDOQ2166033

Authors: Mitsuki Kobayashi, Yasutaka Shimizu 

Publication date: 23 August 2022

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

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.

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

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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)

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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

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