Parameter estimation for non-stationary reflected Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable noises

DOI10.1016/j.spl.2019.108617zbMath1459.62161OpenAlexW2972681154MaRDI QIDQ2288766

Xuekang Zhang, Huisheng Shu, Haoran Yi

Publication date: 20 January 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2019.108617

zbMATH Keywords

consistencystable distribution\(\alpha\)-stable processesnon-stationary reflected Ornstein-Uhlenbeck processestrajectory fitting method

Mathematics Subject Classification ID

Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Stable stochastic processes (60G52)

Related Items (2)

Parameter estimation for Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes with small Lévy noises ⋮ Trajectory fitting estimation for a class of SDEs with small Lévy noises

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