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

被引：0

作者：

Zhang, Xuekang ^{[1
,2
]}

Wu, Xiaotai ^{[1
,2
]}

机构：

[1] Anhui Polytech Univ, Sch Math Phys, Wuhu, Peoples R China

[2] Anhui Polytech Univ, Minist Educ, Key Lab Adv Percept & Intelligent Controlof High e, Wuhu, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2025年 / 54卷 / 09期

基金：

中国国家自然科学基金;

关键词：

Trajectory fitting estimation; integrated Ornstein-Uhlenbeck process; L & eacute; vy process; strong consistency; asymptotic distributions; LEAST-SQUARES ESTIMATOR; PARAMETER-ESTIMATION; LONG-MEMORY;

D O I：

10.1080/03610926.2024.2370925

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this article, we investigate the trajectory fitting estimation for the integrated Ornstein-Uhlenbeck process driven by the L & eacute;vy 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 alpha-stable stochastic integral.

引用

页码：2565 / 2577

页数：13

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