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

被引：0
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作者：
Mingzhi Mao
Gang Huang
机构：
[1] China University of Geosciences,School of Mathematics and Physics
来源：
Advances in Difference Equations | / 2020卷
关键词：
The law of iterated logarithm; Diffusion-type processes; Approach of argmins; Objective function; 60J60; 60F05; 60J25; 60F10;
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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.
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