Method of Moments Estimation of Ornstein-Uhlenbeck Processes Driven by General L\'{e}vy Process
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Publication:6210282
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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