Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations (Q2338242): Difference between revisions
From MaRDI portal
Latest revision as of 02:01, 18 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations |
scientific article |
Statements
Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations (English)
0 references
21 November 2019
0 references
The authors consider the generalized Ornstein-Uhlenbeck process that is defined as the unique solution of the Langevin linear stochastic differential equation driving by a fractional Lévy process. The aim of the paper is to construct drift parameter estimator based on the equidistant discrete observations. More precisely, least-square estimator (LSE) of the drift parameter is costructed. The asymptotic distribution of LSE is established and some simulation results are provided.
0 references
Ornstein-Uhlenbeck processes
0 references
fractional Lévy processes
0 references
least squares estimator
0 references
asymptotic distribution
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
