Parameter Estimation for a Class of Stochastic Differential Equations Driven by Small Stable Noises from Discrete Observations

  • Long Hongwei
  • Published 2010


Abstract We study the least squares estimation of drift parameters for a class of stochastic differential equations driven by small α-stable noises, observed at n regularly spaced time points ti = i/n, i = 1, · · · , n on [0, 1]. Under some regularity conditions, we obtain the consistency and the rate of convergence of the least squares estimator (LSE) when… (More)


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