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Minimum distance parameter estimation for SDEs with small α-stable noises

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  • Zhao, Huiyan
  • Zhang, Chongqi

Abstract

We consider the minimum distance estimate for stochastic nonlinear differential equations with small α-stable noises, where α∈(0,2). The consistency property and limit distribution are studied for fixed time as the diffusion coefficient goes to zero. Moreover, the 1-dimensional case of asymptotic law of the limit distribution is considered for large time.

Suggested Citation

  • Zhao, Huiyan & Zhang, Chongqi, 2019. "Minimum distance parameter estimation for SDEs with small α-stable noises," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 301-311.
    • Handle: RePEc:eee:stapro:v:145:y:2019:i:c:p:301-311
    DOI: 10.1016/j.spl.2018.10.009
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    References listed on IDEAS

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    1. Long, Hongwei & Shimizu, Yasutaka & Sun, Wei, 2013. "Least squares estimators for discretely observed stochastic processes driven by small Lévy noises," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 422-439.
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