Parameter estimation for integrated Ornstein-Uhlenbeck processes with small Lévy noises
Publication:6170511
DOI10.1016/J.SPL.2023.109851zbMath1524.62395OpenAlexW4367056857MaRDI QIDQ6170511
Huisheng Shu, Xuekang Zhang, Ziwei Jiang
Publication date: 12 July 2023
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2023.109851
asymptotic distributionconsistencysmall Lévy noisestrajectory fitting estimatorintegrated Ornstein-Uhlenbeck process
Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)
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