The least squares estimation for the -stable Ornstein-Uhlenbeck process with constant drift

DOI10.1007/S11009-018-9654-ZMaRDI QIDQ2176362zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

\(\alpha\)-stable motionasymptotic distributionconsistencyleast squares estimationOrnstein-Uhlenbeck process

Mathematics Subject Classification ID

Strong limit theorems (60F15) Stable stochastic processes (60G52) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(11)

• A least squares estimator for discretely observed Ornstein-Uhlenbeck processes driven by symmetric -stable motions
• Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable
• Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations
• Least squares estimation for the linear self-repelling diffusion driven by \(\alpha \)-stable motions
• On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model
• Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
• Parameter estimation for certain nonstationary processes driven by α-stable motions
• The least squares estimation on Vasicek interest rate model driven by a symmetric -stable motion
• Parameter estimation for nonlinear stochastic differential equations driven by -stable processes: non-ergodic case
• Parameter estimation for non-stationary -stable Ornstein-Uhlenbeck processes with constant drift
• On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions

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