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

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

2012-04-20

arxiv.org/abs/1204.4761v1

Mathematics

Statistics Theory

Scientific paper

We study the problem of parameter estimation for discretely observed stochastic processes driven by additive small L\'{e}vy noises. We do not impose any moment condition on the driving L\'{e}vy process. Under certain regularity conditions on the drift function, we obtain consistency and rate of convergence of the least squares estimator (LSE) of the drift parameter when a small dispersion coefficient $\varepsilon \to 0$ and $n \to \infty$ simultaneously. The asymptotic distribution of the LSE in our general setting is shown to be the convolution of a normal distribution and a distribution related to the jump part of the L\'evy process.

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