The Least Squares Estimation for the α-Stable Ornstein-Uhlenbeck Process with Constant Drift
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DOI: 10.1007/s11009-018-9654-z
Abstract: AbstractIn this paper, we consider the least squares estimators of the Ornstein-Uhlenbeck process with a constant drift dXt=(θ1−θ2Xt)dt+dZt$$dX_{t}=(\theta_{1}-\theta_{2}X_{t})dt+dZ_{t} $$with X0 = x0, where θ1, θ2 are two unknown parameters with θ2 > 0 and Z… read more here.
Keywords: uhlenbeck process; least squares; process constant; constant drift ... See more keywords