Parameter estimation for integrated Ornstein–Uhlenbeck processes with small Lévy noises

Huisheng Shu, Ziwei Jiang and Xuekang Zhang

Statistics & Probability Letters, 2023, vol. 199, issue C

Abstract: In this paper, we propose the trajectory fitting estimator of the unknown drift parameter in the integrated Ornstein–Uhlenbeck process driven by small Lévy noises. The consistency and asymptotic distribution of the estimator are discussed when the small dispersion coefficient tends to zero.

Keywords: Trajectory fitting estimator; Integrated Ornstein–Uhlenbeck process; Small Lévy noises; Consistency; Asymptotic distribution (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2023.109851

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