Threshold Estimation for Stochastic Processes with Small Noise
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Publication:4599643
DOI10.1111/sjos.12287zbMath1421.62115arXiv1502.07409OpenAlexW2963465959MaRDI QIDQ4599643
Publication date: 4 January 2018
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1502.07409
stochastic differential equationsthreshold estimatordrift estimationsmall noise asymptoticsmighty convergencesemi-martingale noise
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Related Items (3)
Least-squares estimators based on the Adams method for stochastic differential equations with small Lévy noise ⋮ Asymptotic inference for stochastic differential equations driven by fractional Brownian motion ⋮ Threshold estimation for jump-diffusions under small noise asymptotics
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