Parameter estimation in models generated by SDEs with symmetric alpha-stable noise

DOI10.1080/00207160.2022.2080499MaRDI QIDQ6101968zbMATH OpenOpenAlexFDO

Authors D. O. Ivanenko

Publication date 20 June 2023

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2103.06979

zbMATH Keywords

alpha-stable processesLévy processesnumerical optimizationparameter estimationSDE

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to probability theory (60-04) Processes with independent increments; Lévy processes (60G51) Point estimation (62F10) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Abstract: The article considers vector parameter estimators in statistical models generated by Levy processes. An improved one step estimator is presented that can be used for improving any other estimator. Combined numerical methods for optimization problems are proposed. A software has been developed and a correspondent testing and comparison have been presented.

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Cited in

(1)

• Parameter estimation for Vasicek model driven by a general Gaussian noise

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