Minimum distance parameter estimation for Ornstein-Uhlenbeck processes driven by Lévy process

Aliou Diop and Armel Fabrice Yode

Statistics & Probability Letters, 2010, vol. 80, issue 2, 122-127

Abstract: We consider the minimum Skorohod distance estimate of the parameter [theta] of a stochastic differential equation , X0=x0 where {Zt,0 0. Furthermore, the asymptotic law of its limit distribution is studied for T-->[infinity].

Date: 2010
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