Parameter estimation for certain nonstationary processes driven by α-stable motions

Xuekang Zhang, Haoran Yi and Huisheng Shu

Communications in Statistics - Theory and Methods, 2021, vol. 50, issue 1, 95-104

Abstract: The present article deals with the problem of parametric estimation for certain nonstationary processes driven by α-stable motions. The trajectory fitting method combined with the weighted least squares technique is used to obtain an estimator of the drift parameter. The asymptotic behavior of the weighted trajectory fitting estimator for general weights in non-ergodic case, including consistency and asymptotic distribution.

Date: 2021
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DOI: 10.1080/03610926.2019.1630436

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