Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations

DOI10.1007/s11203-019-09201-4zbMath1436.62084OpenAlexW2953588946MaRDI QIDQ1984645

Yiying Cheng, Hongwei Long, Yaozhong Hu

Publication date: 7 April 2020

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-019-09201-4

zbMATH Keywords

consistencyasymptotic normalitycharacteristic functionsdiscrete time observation\(\alpha\)-stable Ornstein-Uhlenbeck motionsgeneralized moment estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stable stochastic processes (60G52) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Related Items (8)

Berry-Esseen bounds of second moment estimators for Gaussian processes observed at high frequency ⋮ Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations ⋮ Quantifying model uncertainty for the observed non-Gaussian data by the Hellinger distance ⋮ Ergodic estimators of double exponential Ornstein-Uhlenbeck processes ⋮ Invariant measure of the backward Euler method for stochastic differential equations driven by α$$ \alpha $$‐stable process ⋮ Estimation of all parameters in the reflected Ornstein-Uhlenbeck process from discrete observations ⋮ Estimation of all parameters in the fractional Ornstein-Uhlenbeck model under discrete observations ⋮ Neural network-based parameter estimation of stochastic differential equations driven by Lévy noise

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