Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails

DOI10.1007/s11203-020-09210-8zbMath1465.62142arXiv1911.11202OpenAlexW3013586256MaRDI QIDQ2023469

Ilya Pavlyukevitch, Alexander A. Gushchin, Marian Ritsch

Publication date: 3 May 2021

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.11202

zbMATH Keywords

regular variationheavy tailsmaximum likelihood estimatorLévy processlocal asymptotic mixed normalityOrnstein-Uhlenbeck type processasymptotic observed information

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Statistics of extreme values; tail inference (62G32) Markov processes: estimation; hidden Markov models (62M05) Large deviations (60F10) Jump processes on general state spaces (60J76)

Related Items (3)

Likelihood theory for the graph Ornstein-Uhlenbeck process ⋮ Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination ⋮ Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations

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