Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations

DOI10.1142/S0219493721500477zbMATH Open1493.62505WikidataQ115245730 ScholiaQ115245730MaRDI QIDQ3384682FDOQ3384682

Authors: Qian Yu, Wentao Xu, Guangjun Shen 

Publication date: 17 December 2021

Published in: Stochastics and Dynamics (Search for Journal in Brave)

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zbMATH Keywords

consistencyasymptotic distributionstochastic differential equationsleast squares estimatorfraction Lévy processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Fractional processes, including fractional Brownian motion (60G22)

Cites Work

• Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
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• Stochastic Differential Equations with Markovian Switching
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• Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
• A note on ``Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
• Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations
• Estimation for stochastic differential equations with a small diffusion coefficient
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• Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
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• Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk
• Least squares estimators for stochastic differential equations driven by small Lévy noises
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• Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process

Cited In (6)

• Least squares estimation for \(\alpha\)-fractional bridge with discrete observations
• Local linear estimator for fractional diffusions
• 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
• NONPARAMETRIC ESTIMATION OF LINEAR MULTIPLIER FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL LÉVY PROCESS WITH SMALL NOISE
• Least squares estimations for approximate fractional vasicek model driven by a semimartingale

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