On Berry-Esseen type bound for least squares estimator for diffusion processes based on discrete observations
نویسنده
چکیده
The paper is concerned with the distribution of the least squares estimator (LSE) of the drift parameter in the stochastic differential equation (SDE) of small diffusion observed over discrete set of time points. Convergence of the distribution of the least squares estimator to the standard normal distribution with an error bound has been obtained when the discretization step decreases with noise intensity.
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تاریخ انتشار 2002