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Minimum distance parameter estimation for Ornstein-Uhlenbeck processes driven by Lévy process

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  • Diop, Aliou
  • Yode, Armel Fabrice

Abstract

We consider the minimum Skorohod distance estimate of the parameter [theta] of a stochastic differential equation , X0=x0 where {Zt,0 0. Furthermore, the asymptotic law of its limit distribution is studied for T-->[infinity].

Suggested Citation

  • Diop, Aliou & Yode, Armel Fabrice, 2010. "Minimum distance parameter estimation for Ornstein-Uhlenbeck processes driven by Lévy process," Statistics & Probability Letters, Elsevier, vol. 80(2), pages 122-127, January.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:2:p:122-127
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    References listed on IDEAS

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    1. Kutoyants, Y. & Pilibossian, P., 1994. "On minimum L1-norm estimate of the parameter of the Ornstein--Uhlenbeck process," Statistics & Probability Letters, Elsevier, vol. 20(2), pages 117-123, May.
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    Cited by:

    1. Zhao, Huiyan & Zhang, Chongqi, 2019. "Minimum distance parameter estimation for SDEs with small α-stable noises," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 301-311.

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