Least squares estimators for discretely observed stochastic processes driven by small Lévy noises

DOI10.1016/j.jmva.2013.01.012zbMath1277.62197arXiv1204.4761OpenAlexW2113839585MaRDI QIDQ391568

Hongwei Long, Yasutaka Shimizu, Wei Sun

Publication date: 10 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.4761

zbMATH Keywords

parameter estimationstochastic processesdiscrete observationsleast squares methodasymptotic distributions of LSEsconsistency of LSEssmall Lévy noises

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05)

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