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In this paper, we consider the problem of parameter estimation for Ornstein–Uhlenbeck processes with small fractional Lévy noises, based on discrete observations at n regularly spaced time points $$t_i=i/n,$$ti=i/n,$$i=1,\ldots ,n$$i=1,…,n… Click to show full abstract
In this paper, we consider the problem of parameter estimation for Ornstein–Uhlenbeck processes with small fractional Lévy noises, based on discrete observations at n regularly spaced time points $$t_i=i/n,$$ti=i/n,$$i=1,\ldots ,n$$i=1,…,n on [0, 1]. Least squares method is used to obtain an estimator of the drift parameter. The consistency and the asymptotic distribution of the estimator have been established.
Keywords:
least squares;
discrete observations;
uhlenbeck processes;
ornstein uhlenbeck;
estimator ornstein;
squares estimator
Journal Title: Statistical Papers
Year Published: 2019
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Journal Title: Statistical Papers
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!