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Least squares estimators for discretely observed stochastic processes driven by small Levy noises
Hongwei Long, Yasutaka Shimizu, Wei Sun · 2012-04-21 · via math.ST updates on arXiv.org

We study the problem of parameter estimation for discretely observed stochastic processes driven by additive small Lévy noises. We do not impose any moment condition on the driving Lévy process. Under certain regularity conditions on the drift function, we obtain consistency and rate of convergence of the least squares estimator (LSE) of the drift parameter when a small dispersion coefficient $\varepsilon \to 0$ and $n \to \infty$ simultaneously. The asymptotic distribution of the LSE in our general setting is shown to be the convolution of a normal distribution and a distribution related to the jump part of the Lévy process.

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