Method of Moments Estimation of Ornstein-Uhlenbeck Processes Driven by General L\'{e}vy Process

arXiv0807.2832MaRDI QIDQ6210282FDOQ6210282

Authors: Konstantinos Spiliopoulos 

Publication date: 17 July 2008

Abstract: Ornstein-Uhlenbeck processes driven by general L'{e}vy process are considered in this paper. We derive strongly consistent estimators for the moments of the underlying L'{e}vy process and for the mean reverting parameter of the Ornstein-Uhlenbeck process. Moreover, we prove that the estimators are asymptotically normal. Finally, we test the empirical performance of our estimators in a simulation study and we fit the model to real data.

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