Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes

Yanfeng Wu, Jianqiang Hu and Xiangyu Yang

Journal of Time Series Analysis, 2022, vol. 43, issue 4, 610-639

Abstract: We consider the problem of parameter estimation for Ornstein–Uhlenbeck (OU) processes driven by general Lévy processes. We derive our estimators based on the method of moments and establish a joint central limit theorem for these estimators with explicit formulae for their asymptotic covariance matrix. Numerical experiments are also provided to show that not only our estimators are easy to implement but they are also highly efficient. Our work offers a simple and efficient method to estimate the parameters in Lévy‐driven OU processes.

Date: 2022
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https://doi.org/10.1111/jtsa.12630

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:43:y:2022:i:4:p:610-639

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