Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations (Q1984645)
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English | Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations |
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Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations (English)
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7 April 2020
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The authors study the parameter estimation problem for discretely observed Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable Lévy motions. The \(\alpha\)-stable Lévy motions is a stochastic process \((Z_t,t\geq 0)\) for which \(Z_1\in S_{\alpha}(1,\beta,0)\) where \(\alpha\) is the index of stablility and \(\beta\in(-1,1)\) is the skewness. Then Ornstein-Uhlenbeck processes driven by the \(\alpha\)-stable Lévy motion \(Z_t\) is presented by the stochastic equation \(dX_t=-\theta X_tdt+\sigma dZ_t,\; t\in[0,\infty),\;X_0=x_0,\) where \(\theta\), \(\sigma\) are some constants. If \(\theta>0,\) \(X_t\) is ergodic and it converges in law to the random variable \(X_0=\sigma\int_0^{\infty} e^{-\theta s}dZ_s.\) A method of moments via ergodic theory and via sample characteristic functions is proposed to estimate all the parameters involved in the Ornstein-Uhlenbeck processes. The strong consistency and the asymptotic normality of the proposed joint estimators when \(n \rightarrow \infty\) are demonstrated.
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\(\alpha\)-stable Ornstein-Uhlenbeck motions
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discrete time observation
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characteristic functions
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generalized moment estimators
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consistency
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asymptotic normality
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