Parameter estimation for Ornstein–Uhlenbeck processes of the second kind driven by α-stable Lévy motions

Qian Yu, Guangjun Shen and Mingxiang Cao

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 21, 10864-10878

Abstract: In this article, we study the problem of parameter estimation for Ornstein–Uhlenbeck processes of the second kind driven by α-stable Lévy motions, based on continuous and discrete observations, respectively. Using the trajectory fitting method combined with the weighted least-squares technique, we discuss the consistency and the asymptotic distributions of the estimators for general weights in both the ergodic and the non ergodic cases.

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:46:y:2017:i:21:p:10864-10878

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DOI: 10.1080/03610926.2016.1248786

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