Nonparametric estimation of the trend for stochastic differential equations driven by small α-stable noises

Xuekang Zhang, Haoran Yi and Huisheng Shu

Statistics & Probability Letters, 2019, vol. 151, issue C, 8-16

Abstract: The present paper deals with the problem of nonparametric estimation of the trend for stochastic differential equations driven by small α-stable noises based on continuous-time observation. Under some certain conditions, we derive the uniform consistency and the rate of convergence of the nonparametric estimator. Besides, the asymptotic distribution of the estimator in our setting is shown to be a stable distribution.

Keywords: Nonparametric estimation; Small α-stable noises; Uniform consistency; Stable distribution (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2019.03.012

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