Drift estimation for a Lévy-driven Ornstein–Uhlenbeck process with heavy tails
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DOI: 10.1007/s11203-020-09210-8
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, … read more here.
Keywords: process heavy; heavy tails; ornstein uhlenbeck; process ... See more keywords