1.
J Inequal Appl
; 2018(1): 356, 2018.
Article
in English
| MEDLINE
| ID: mdl-30839924
ABSTRACT
We study the minimum Skorohod distance estimation θ ε ∗ and minimum L 1 -norm estimation θ ε Ë of the drift parameter θ of a stochastic differential equation d X t = θ X t d t + ε d L t d , X 0 = x 0 , where { L t d , 0 ≤ t ≤ T } is a fractional Lévy process, ε ∈ ( 0 , 1 ] . We obtain their consistency and limit distribution for fixed T, when ε â 0 . Moreover, we also study the asymptotic laws of their limit distributions for T â ∞ .