Least squares estimators for stochastic differential equations driven by small Lévy noises

Hongwei Long, Chunhua Ma, Yasutaka Shimizu

研究成果: Article査読

16 被引用数 (Scopus)

抄録

We study parameter estimation for discretely observed stochastic differential equations driven by small Lévy noises. We do not impose Lipschitz condition on the dispersion coefficient function σ and any moment condition on the driving Lévy process, which greatly enhances the applicability of our results to many practical models. Under certain regularity conditions on the drift and dispersion functions, we obtain consistency and rate of convergence of the least squares estimator (LSE) of parameter when ε→0 and n→∞ simultaneously. We present some simulation study on a two-factor financial model driven by stable noises.

本文言語English
ページ(範囲)1475-1495
ページ数21
ジャーナルStochastic Processes and their Applications
127
5
DOI
出版ステータスPublished - 2017 5 1

ASJC Scopus subject areas

  • Statistics and Probability
  • Modelling and Simulation
  • Applied Mathematics

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