Fractional Ornstein–Uhlenbeck Processes, Levy–Ornstein–Uhlenbeck Processes, and Fractional Levy– Ornstein–Uhlenbeck Processes

Jaya P. N. Bishwal
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Jaya P. N. Bishwal: University of North Carolina at Charlotte, Department of Mathematics and Statistics

Chapter Chapter 4 in Parameter Estimation in Stochastic Volatility Models, 2022, pp 169-272 from Springer

Abstract: Abstract One obtains the Ornstein–Uhlenbeck–Gamma process when the Brownian component of the Ornstein–Uhlenbeck process is contaminated by a Gamma process. This chapter introduces some new estimators of the drift parameter in the Ornstein–Uhlenbeck–Gamma process based on discretely sampled data and obtains rates of weak convergence of the distributions of the estimators to the standard normal distribution using random, nonrandom, and mixed normings.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-03861-7_4

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DOI: 10.1007/978-3-031-03861-7_4

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