Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises
DOI10.1080/03610926.2019.1653923OpenAlexW2969964802MaRDI QIDQ5078489
Zhenlong Gao, Guang Jun Shen, Qing Bo Wang
Publication date: 23 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2019.1653923
asymptotic behaviorconsistencyOrnstein-Uhlenbeck processleast squares estimatorfraction Lévy process
Fractional processes, including fractional Brownian motion (60G22) Statistics (62-XX) Least squares and related methods for stochastic control systems (93E24) Self-similar stochastic processes (60G18) Numerical solutions to stochastic differential and integral equations (65C30)
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