Parameter estimation for Ornstein–Uhlenbeck processes of the second kind driven by α-stable Lévy motions

DOI10.1080/03610926.2016.1248786zbMath1386.60173OpenAlexW2535593786MaRDI QIDQ4595874

Qian Yu, Ming Xiang Cao, Guang Jun Shen

Publication date: 6 December 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2016.1248786

zbMATH Keywords

asymptotic distributionconsistencyOrnstein-Uhlenbeck processes\(\alpha\)-stable Lévy motionsweighted trajectory fitting estimator

Mathematics Subject Classification ID

Least squares and related methods for stochastic control systems (93E24) Numerical solutions to stochastic differential and integral equations (65C30) Stable stochastic processes (60G52)

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