On the minimum distance estimation of the density for a diffusion process

Fatna Bensaber and Wahiba Benyahia

Communications in Statistics - Theory and Methods, 2025, vol. 54, issue 22, 7371-7382

Abstract: This article focused on investigating the parameter estimation of a stochastic differential equation of type diffusion, driven by small white noise, based on continuous time observations. A non parametric estimator is involved in the construction of the minimum distance estimation. This method is applied to get an asymptotically consistent estimator and then establish its asymptotic distribution for a small dispersion coefficient.

Date: 2025
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DOI: 10.1080/03610926.2025.2559114

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