statistical inference for stochastic differential equations with small noises
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ID: 207256
2014
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Abstract
This paper proposes the least squares method to estimate the drift parameter for the stochastic differential equations driven by small noises, which is more general than pure jump α-stable noises. The asymptotic property of this least squares estimator is studied under some regularity conditions. The asymptotic distribution of the estimator is shown to be the convolution of a stable distribution and a normal distribution, which is completely different from the classical cases.
| Reference Key |
shen2014abstractstatistical
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|---|---|
| Authors | ;Liang Shen;Qingsong Xu |
| Journal | science and technology of advanced materials |
| Year | 2014 |
| DOI |
10.1155/2014/473681
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| URL | |
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