The least squares estimation for the -stable Ornstein-Uhlenbeck process with constant drift
DOI10.1007/S11009-018-9654-ZzbMATH Open1447.60085OpenAlexW2889215085MaRDI QIDQ2176362FDOQ2176362
Authors: Yurong Pan, Litan Yan 
Publication date: 4 May 2020
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-018-9654-z
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consistencyasymptotic distributionOrnstein-Uhlenbeck processleast squares estimation\(\alpha\)-stable motion
Strong limit theorems (60F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stable stochastic processes (60G52)
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Cited In (5)
- On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model
- Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable
- Parameter estimation for certain nonstationary processes driven by α-stable motions
- On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions
- Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
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