Photo from archive.org
We consider the problem of estimation of the drift parameter of an ergodic Ornstein–Uhlenbeck type process driven by a Lévy process with heavy tails. The process is observed continuously on… Click to show full abstract
We consider the problem of estimation of the drift parameter of an ergodic Ornstein–Uhlenbeck type process driven by a Lévy process with heavy tails. The process is observed continuously on a long time interval [0, T ], $$T\rightarrow \infty $$ T → ∞ . We prove that the statistical model is locally asymptotic mixed normal and the maximum likelihood estimator is asymptotically efficient.
Keywords:
process heavy;
heavy tails;
ornstein uhlenbeck;
process;
drift estimation
Journal Title: Statistical Inference for Stochastic Processes
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!
Journal Title: Statistical Inference for Stochastic Processes
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!