کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4664810 | 1345310 | 2010 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Parameter estimation for a class of stochastic differential equations driven by small stable noises from discrete observations
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Parameter estimation for a class of stochastic differential equations driven by small stable noises from discrete observations Parameter estimation for a class of stochastic differential equations driven by small stable noises from discrete observations](/preview/png/4664810.png)
چکیده انگلیسی
We study the least squares estimation of drift parameters for a class of stochastic differential equations driven by small α-stable noises, observed at n regularly spaced time points ti = i/n, i = 1, …, n on [0,1]. Under some regularity conditions, we obtain the consistency and the rate of convergence of the least squares estimator (LSE) when a small dispersion parameter ɛ → 0 and n → ∞ simultaneously. The asymptotic distribution of the LSE in our setting is shown to be stable, which is completely different from the classical cases where asymptotic distributions are normal.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Acta Mathematica Scientia - Volume 30, Issue 3, May 2010, Pages 645-663
Journal: Acta Mathematica Scientia - Volume 30, Issue 3, May 2010, Pages 645-663