Abstract
This paper proposes the least squares method to estimate the drift parameter for the stochastic differential equations driven by small noises, which is more general than pure jump -stable noises. The asymptotic property of this least squares estimator is studied under some regularity conditions. The asymptotic distribution of the estimator is shown to be the convolution of a stable distribution and a normal distribution, which is completely different from the classical cases.
Citation
Liang Shen. Qingsong Xu. "Statistical Inference for Stochastic Differential Equations with Small Noises." Abstr. Appl. Anal. 2014 (SI14) 1 - 6, 2014. https://doi.org/10.1155/2014/473681