| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1155003 | Statistics & Probability Letters | 2010 | 6 Pages |
Abstract
We consider the minimum Skorohod distance estimate θε∗ of the parameter θθ of a stochastic differential equation dXt=θXtdt+εdZt, X0=x0X0=x0 where {Zt,0≤t≤T}{Zt,0≤t≤T} is a centered Lévy process, ε∈(0,1]ε∈(0,1]. Its consistency and its limit distribution are studied for fixed TT, when ε→0ε→0. Furthermore, the asymptotic law of its limit distribution is studied for T→∞T→∞.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Aliou Diop, Armel Fabrice Yode,