Least squares estimator for Ornstein–Uhlenbeck processes driven by fractional Lévy processes from discrete observations
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DOI: 10.1007/s00362-017-0918-4
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… read more here.
Keywords: least squares; discrete observations; uhlenbeck processes; ornstein uhlenbeck ... See more keywords