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  • Search: subject:"Asymptotic distribution of LSE"
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Asymptotic distribution of LSE 1 Consistency of LSE 1 Discrete observations 1 Least squares method 1 Parameter estimation 1 Small Lévy noises 1 Stochastic processes 1
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Long, Hongwei 1 Shimizu, Yasutaka 1 Sun, Wei 1
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Journal of Multivariate Analysis 1
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Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
Long, Hongwei; Shimizu, Yasutaka; Sun, Wei - In: Journal of Multivariate Analysis 116 (2013) C, pp. 422-439
We study the problem of parameter estimation for discretely observed stochastic processes driven by additive small Lévy noises. We do not impose any moment condition on the driving Lévy process. Under certain regularity conditions on the drift function, we obtain consistency and rate of...
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