Estimation for Dynamical Systems with Small Noise from Discrete Observations
نویسندگان
چکیده
We consider an efficient estimation of an unknown parameter appearing in both the drift and the diffusion coefficient for a d-dimensional dynamical system with small noise. Asymptotic properties of an M -estimator obtained from an approximate quadratic martingale estimating function are stated. The sample path is observed at equidistant times k/n, k = 0, 1, . . . , n. The type of asymptotics considered is when a small dispersion parameter ε goes to 0 and n goes to ∞ simultaneously.
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