Parameter estimation for a class of stochastic differential equations driven by small stable noises from discrete observations
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Publication:550083
DOI10.1016/S0252-9602(10)60067-7zbMATH Open1240.62005MaRDI QIDQ550083FDOQ550083
Authors: Hongwei Long 
Publication date: 19 July 2011
Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)
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parameter estimationconsistencyasymptotic distributionleast squares methodstable distributionstochastic differential equationsleast squares estimatordiscrete observationssmall \(\alpha\)-stable noises
Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stable stochastic processes (60G52)
Cited In (36)
- Trajectory fitting estimation for a class of SDEs with small Lévy noises
- Nonparametric estimation of periodic signal disturbed by α-stable 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
- Statistical inference on the drift parameter in symmetric stable Lévy process with a deterministic drift
- Nonparametric estimation of the trend for stochastic differential equations driven by small \(\alpha\)-stable noises
- Least squares estimators for stochastic differential equations driven by small Lévy noises
- Parameter estimation for Chan-Karoli-Longstaff-Saunders model driven by small Lévy noises from discrete observations
- Parameter estimation for Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes with small Lévy noises
- Hypotheses testing about the drift parameter in linear stochastic differential equation driven by stable processes
- 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
- Estimation of intrinsic growth factors in a class of stochastic population model
- On parameter estimation of stochastic delay differential equations with guaranteed accuracy by noisy 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
- Exponential ergodicity of an affine two-factor model based on the α-root process
- Parameter estimation for certain nonstationary processes driven by α-stable motions
- Threshold estimation for stochastic processes with small noise
- Estimation of a pure-jump stable Cox-Ingersoll-Ross process
- Least squares estimation for discretely observed Ornstein–Uhlenbeck process driven by small stable noises
- Asymptotics in small time for the density of a stochastic differential equation driven by a stable Lévy process
- Least squares estimation for discretely observed stochastic Lotka-Volterra model driven by small \(\alpha \)-stable noises
- Least squares estimation for the Ornstein-Uhlenbeck process with small Hermite noise
- The Alpha‐Heston stochastic volatility model
- Maximum likelihood type estimation for discretely observed CIR model with small \(\alpha\)-stable noises
- Small noise fluctuations of the CIR model driven by \(\alpha\)-stable noises
- Probabilistic properties and parametric inference of small variance nonlinear self-stabilizing stochastic differential equations
- Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
- Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
- Least squares estimators for stochastic differential equations with Markovian switching
- Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model
- Estimation for incomplete information stochastic systems from discrete observations
- Least squares estimator for path-dependent McKean-Vlasov SDEs via discrete-time observations
- Parameter estimation for non-stationary reflected Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable noises
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