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On minimum uniform metric estimate of parameters of diffusion-type processes

Author

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  • Kutoyants, Yury
  • Pilibossian, Philippe

Abstract

The problem of finite-dimensional parameter estimation for a diffusion-type process is considered. The proposed minimum distance estimate is introduced as a point where the supremum norm of the difference between the observations and the corresponding deterministic (limit) solution attains its minimum. Under some regularity conditions the consistency of this estimate is established as the diffusion coefficient tends to zero and the limit distribution is described.

Suggested Citation

  • Kutoyants, Yury & Pilibossian, Philippe, 1994. "On minimum uniform metric estimate of parameters of diffusion-type processes," Stochastic Processes and their Applications, Elsevier, vol. 51(2), pages 259-267, July.
    • Handle: RePEc:eee:spapps:v:51:y:1994:i:2:p:259-267
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    Cited by:

    1. Zhao, Huiyan & Zhang, Chongqi, 2019. "Minimum distance parameter estimation for SDEs with small α-stable noises," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 301-311.

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