The law of iterated logarithm for the estimations of diffusion-type processes

Advances in Difference Equations

article

Mao, Mingzhi¹  Huang, Gang¹ 

[1] School of Mathematics and Physics, China University of Geosciences

关键词: The law of iterated logarithm;    Diffusion-type processes;    Approach of argmins;    Objective function;   

DOI  :  10.1186/s13662-020-2506-5

学科分类：航空航天科学

来源: SpringerOpen

【 摘 要 】

This paper mainly discusses the asymptotic behaviours on the lasso-type estimators for diffusion-type processes with a small noise. By constructing the objective function on the estimation, in view of convexity argument, it is proved that the estimator for different values of γ satisfies the iterated logarithm law. The result also presents the exponential convergence principle for the estimator converging to the true value.

【 授权许可】

CC BY