Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations (Q2338242): Difference between revisions
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Revision as of 06:47, 5 March 2024
scientific article
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| English | Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations |
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Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations (English)
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21 November 2019
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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.
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Ornstein-Uhlenbeck processes
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fractional Lévy processes
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least squares estimator
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asymptotic distribution
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