Parameter estimation for non-stationary reflected Ornstein–Uhlenbeck processes driven by α-stable noises

Xuekang Zhang, Haoran Yi and Huisheng Shu

Statistics & Probability Letters, 2020, vol. 156, issue C

Abstract: This paper is concerned with the parameter estimation problem for non-stationary reflected Ornstein–Uhlenbeck processes driven by stable noises by using the trajectory fitting method combined with the weighted least squares technique. Under some regularity conditions, we obtain the consistency and the rate of convergence of the proposed estimator of the drift rate. The asymptotic stability property of the estimator in our setting is also proved.

Keywords: Non-stationary reflected Ornstein–Uhlenbeck processes; α-stable processes; Trajectory fitting method; Consistency; Stable distribution (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2019.108617

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