期刊名称：IAENG International Journal of Computer Science
印刷版ISSN：1819-656X
电子版ISSN：1819-9224
出版年度：2020
卷号：47
期号：4
语种：English
出版社：IAENG - International Association of Engineers
摘要：This paper is concerned with parameter estimation for discretely observed stochastic differential equations driven by small L′evy noises. The contrast function is given to obtain the least squares estimator and explicit formula of the estimation error is given. The consistency and asymptotic distribution of the estimator are derived by using Cauchy-Schwarz inequality, Gronwall’s inequality, Markov inequality and dominated convergence. The parameter estimation theory of stochastic differential equation driven by Brownian motion is extended to L′evy noises.
关键词：Parameter estimation;small Levy noises;consistency;asymptotic distribution
