Least squares estimators for stochastic differential equations driven by small Lévy noises

DOI10.1016/j.spa.2016.08.006zbMath1362.62048OpenAlexW2514022338MaRDI QIDQ529425

Yasutaka Shimizu, Hongwei Long, Chunhua Ma

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

zbMATH Keywords

asymptotic distributionparameter estimationconsistencystochastic differential equationsdiscrete observationsleast squares method

Mathematics Subject Classification ID

Related Items (22)

Least squares estimation for distribution-dependent stochastic differential delay equations ⋮ Least squares estimator for path-dependent McKean-Vlasov SDEs via discrete-time observations ⋮ Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises ⋮ Least-squares estimators based on the Adams method for stochastic differential equations with small Lévy noise ⋮ Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean ⋮ The least squares estimation for the \(\alpha\)-stable Ornstein-Uhlenbeck process with constant drift ⋮ Parameter estimation for Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes with small Lévy noises ⋮ Threshold estimation for jump-diffusions under small noise asymptotics ⋮ Parameter estimation for integrated Ornstein-Uhlenbeck processes with small Lévy noises ⋮ Self-weighted quantile regression estimation for diffusion parameter in jump-diffusion models ⋮ Least squares estimators for stochastic differential equations with Markovian switching ⋮ Minimum distance parameter estimation for SDEs with small \(\alpha\)-stable noises ⋮ Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations ⋮ Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise ⋮ Least squares estimation for path-distribution dependent stochastic differential equations ⋮ Estimating functions for jump-diffusions ⋮ Hybrid estimators for small diffusion processes based on reduced data ⋮ Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations ⋮ Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter ⋮ Nonparametric estimation of the trend for stochastic differential equations driven by small \(\alpha\)-stable noises ⋮ Trajectory fitting estimation for a class of SDEs with small Lévy noises ⋮ Bias Correction Estimation for a Continuous‐Time Asset Return Model with Jumps

Uses Software

• CRAN
• YUIMA

Cites Work

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