On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions

DOI10.1016/S0252-9602(09)60056-4zbMath1212.60086OpenAlexW2053365694MaRDI QIDQ979450

Yaozhong Hu, Hongwei Long

Publication date: 8 July 2010

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0252-9602(09)60056-4

zbMATH Keywords

asymptotic distributionconsistencysingularityleast squares methodOrnstein-Uhlenbeck processesdiscrete observation\(\alpha\)-stable processesstable stochastic integralsmean-reverting processes

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) 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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