IDEAS home Printed from https://ideas.repec.org/a/hin/jnlaaa/473681.html
   My bibliography  Save this article

Statistical Inference for Stochastic Differential Equations with Small Noises

Author

Listed:
  • Liang Shen
  • Qingsong Xu

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 -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.

Suggested Citation

  • Liang Shen & Qingsong Xu, 2014. "Statistical Inference for Stochastic Differential Equations with Small Noises," Abstract and Applied Analysis, Hindawi, vol. 2014, pages 1-6, March.
    • Handle: RePEc:hin:jnlaaa:473681
    DOI: 10.1155/2014/473681
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/AAA/2014/473681.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/AAA/2014/473681.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2014/473681?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:jnlaaa:473681. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.