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Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations. (English) Zbl 1435.60027

The authors consider the generalized Ornstein-Uhlenbeck process that is defined as the unique solution of the Langevin linear stochastic differential equation driving by a fractional Lévy process. The aim of the paper is to construct drift parameter estimator based on the equidistant discrete observations. More precisely, least-square estimator (LSE) of the drift parameter is costructed. The asymptotic distribution of LSE is established and some simulation results are provided.

MSC:

60G18 Self-similar stochastic processes
65C30 Numerical solutions to stochastic differential and integral equations
93E24 Least squares and related methods for stochastic control systems

Software:

YUIMA
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Full Text: DOI

References:

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