Trajectory fitting estimation for integrated Ornstein-Uhlenbeck process driven by Lévy process

Xuekang Zhang and Xiaotai Wu

Communications in Statistics - Theory and Methods, 2025, vol. 54, issue 9, 2565-2577

Abstract: In this article, we investigate the trajectory fitting estimation for the integrated Ornstein-Uhlenbeck process driven by the Lévy process based on continuous observations. The strong consistency and asymptotic distributions of the estimator are obtained by the strong law of large numbers and the inner clock property of the α-stable stochastic integral.

Date: 2025
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DOI: 10.1080/03610926.2024.2370925

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