Threshold estimation for stochastic processes with small noise

DOI10.1111/SJOS.12287zbMATH Open1421.62115arXiv1502.07409OpenAlexW2963465959MaRDI QIDQ4599643FDOQ4599643

Authors: Yasutaka Shimizu 

Publication date: 4 January 2018

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Abstract: Consider a process satisfying a stochastic differential equation with unknown drift parameter, and suppose that discrete observations are given. It is known that a simple least squares estimator (LSE) can be consistent, but numerically unstable in the sense of large standard deviations under finite samples when the noise process has jumps. We propose a filter to cut large shocks from data, and construct the same LSE from data selected by the filter. The proposed estimator can be asymptotically equivalent to the usual LSE, whose asymptotic distribution strongly depends on the noise process. However, in numerical study, it looked asymptotically normal in an example where filter was choosen suitably, and the noise was a L'evy process. We will try to justify this phenomenon mathematically, under certain restricted assumptions.

Full work available at URL: https://arxiv.org/abs/1502.07409

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zbMATH Keywords

stochastic differential equationsthreshold estimatordrift estimationsmall noise asymptoticsmighty convergencesemi-martingale noise

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and prediction (62M20) Stable stochastic processes (60G52)

Cited In (5)

• Least-squares estimators based on the Adams method for stochastic differential equations with small Lévy noise
• Threshold estimation for jump-diffusions under small noise asymptotics
• Asymptotic inference for stochastic differential equations driven by fractional Brownian motion
• Simplified quasi-likelihood analysis for a locally asymptotically quadratic random field
• On selecting the minimum observation time for determining the Leq of a random noise with a given level of confidence

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