Minimum distance parameter estimation for SDEs with small α-stable noises

Huiyan Zhao and Chongqi Zhang

Statistics & Probability Letters, 2019, vol. 145, issue C, 301-311

Abstract: We consider the minimum distance estimate for stochastic nonlinear differential equations with small α-stable noises, where α∈(0,2). The consistency property and limit distribution are studied for fixed time as the diffusion coefficient goes to zero. Moreover, the 1-dimensional case of asymptotic law of the limit distribution is considered for large time.

Keywords: Minimum distance estimation; Small noise; α-stable process (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2018.10.009

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