Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations (Q2338242): Difference between revisions

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.