Least squares estimators for stochastic differential equations driven by small Lévy noises
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Publication:529425
DOI10.1016/J.SPA.2016.08.006zbMATH Open1362.62048OpenAlexW2514022338MaRDI QIDQ529425FDOQ529425
Authors: Hongwei Long, Chunhua Ma, Yasutaka Shimizu 
Publication date: 18 May 2017
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2016.08.006
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parameter estimationconsistencyasymptotic distributionleast squares methodstochastic differential equationsdiscrete observations
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stable stochastic processes (60G52)
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Cited In (34)
- Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations
- Trajectory fitting estimation for a class of SDEs with small Lévy noises
- Statistical inference for stochastic differential equations with small noises
- Minimum distance parameter estimation for SDEs with small \(\alpha\)-stable noises
- Least squares estimation for path-distribution dependent stochastic differential equations
- Nonparametric estimation of the trend for stochastic differential equations driven by small \(\alpha\)-stable noises
- Parameter estimation for Chan-Karoli-Longstaff-Saunders model driven by small Lévy noises from discrete observations
- Hybrid estimators for small diffusion processes based on reduced data
- Parameter estimation for Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes with small Lévy noises
- Least squares estimation for distribution-dependent stochastic differential delay equations
- Parameter estimation for integrated Ornstein-Uhlenbeck processes with small Lévy noises
- On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations
- 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 estimators based on the Adams method for stochastic differential equations with small Lévy noise
- The least squares estimation for the \(\alpha\)-stable Ornstein-Uhlenbeck process with constant drift
- Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises
- Threshold estimation for jump-diffusions under small noise asymptotics
- Self-weighted quantile regression estimation for diffusion parameter in jump-diffusion models
- On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions
- Threshold estimation for stochastic processes with small noise
- Bias correction estimation for a continuous-time asset return model with jumps
- Estimating functions for jump-diffusions
- Least squares estimation for discretely observed stochastic Lotka-Volterra model driven by small \(\alpha \)-stable noises
- Small noise fluctuations of the CIR model driven by \(\alpha\)-stable noises
- Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean
- Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
- Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter
- State estimation results for genetic regulatory networks with Lévy-type noise
- Derivatives of intersection local time for two independent symmetric \(\alpha\)-stable processes
- Least squares estimators for stochastic differential equations with Markovian switching
- Least squares estimator for path-dependent McKean-Vlasov SDEs via discrete-time observations
- Asymptotic properties for the parameter estimation in stochastic (functional) differential equations with Hölder drift
- Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise
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