Parameter estimation for Ornstein–Uhlenbeck processes driven by fractional Lévy process

Parameter estimation for Ornstein–Uhlenbeck processes driven by fractional Lévy process

Abstract We study the minimum Skorohod distance estimation θε∗ $\theta _{\varepsilon}^{\ast }$ and minimum L1 $L_{1}$-norm estimation θε˜ $\widetilde {\theta _{\varepsilon}}$ of the drift parameter θ of a stochastic differential equation dXt=θXtdt+εdLtd $dX_{t}=\theta X_{t}\,dt+\varepsilon \,dL^{d}_...

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Bibliographic Details
Main Authors: Guangjun Shen, Yunmeng Li, Zhenlong Gao
Format: Article
Language:English
Published: SpringerOpen 2018-12-01
Series:Journal of Inequalities and Applications
Subjects:
Fractional Lévy process
Minimum Skorohod distance estimation
Minimum L 1 $L_{1}$ -norm estimation
Consistency
Limit distribution
Asymptotic law
Online Access:http://link.springer.com/article/10.1186/s13660-018-1951-0

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http://link.springer.com/article/10.1186/s13660-018-1951-0

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