Title: LAD estimation of locally stable SDE
Authors: Hiroki Masuda - Kyushu University (Japan) [presenting]
Alexei Kulik - Wroclaw University of Science and Technology (Poland)
Abstract: The goal is to prove the asymptotic (mixed) normality of the least absolute deviation (LAD) type estimator of locally stable SDE observed at high frequency, where the target drift coefficient may be nonlinear in both state variable and parameter. The proof essentially relies on the recently developed general representation result about small-time stable approximation for general locally stable processes. The result is a far-reaching extension of a previous study.