Parameter estimation for integrated Ornstein-Uhlenbeck processes with small Levy noises

被引：1
|
作者：
Shu, Huisheng [1 ]
Jiang, Ziwei [1 ]
Zhang, Xuekang [2 ,3 ]
机构：
[1] Donghua Univ, Coll Sci, Shanghai 201620, Peoples R China
[2] Anhui Polytech Univ, Sch Math Phys & Finance, Key Lab Adv Percept & Intelligent Control Highend, Minist Educ, Wuhu 241000, Peoples R China
[3] Anhui Polytech Univ, Energy Internet Engn Res Ctr Anhui Prov, Dept Educ, Wuhu 241000, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2023年 / 199卷
基金：
中国国家自然科学基金;
关键词：
Trajectory fitting estimator; Integrated Ornstein-Uhlenbeck process; Small Levy noises; Consistency; Asymptotic distribution; DIFFERENTIAL-EQUATIONS DRIVEN; LEAST-SQUARES ESTIMATORS; VOLATILITY; RESPECT;
D O I：
10.1016/j.spl.2023.109851
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 paper, we propose the trajectory fitting estimator of the unknown drift param- eter in the integrated Ornstein-Uhlenbeck process driven by small Levy noises. The consistency and asymptotic distribution of the estimator are discussed when the small dispersion coefficient tends to zero.(c) 2023 Elsevier B.V. All rights reserved.
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页数：8
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