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Drift estimation for a Lévy-driven Ornstein–Uhlenbeck process with heavy tails
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AbstractWe consider the problem of estimation of the drift parameter of an ergodic Ornstein–Uhlenbeck type process driven by a Lévy process with heavy tails. The process is observed continuously on a long time interval [0, T], $$T\rightarrow \infty $$
T
→
∞
. We prove that the statistical model is locally asymptotic mixed normal and the maximum likelihood estimator is asymptotically efficient.
Springer Science and Business Media LLC
Title: Drift estimation for a Lévy-driven Ornstein–Uhlenbeck process with heavy tails
Description:
AbstractWe consider the problem of estimation of the drift parameter of an ergodic Ornstein–Uhlenbeck type process driven by a Lévy process with heavy tails.
The process is observed continuously on a long time interval [0, T], $$T\rightarrow \infty $$
T
→
∞
.
We prove that the statistical model is locally asymptotic mixed normal and the maximum likelihood estimator is asymptotically efficient.
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