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Parameter estimation for integrated Ornstein–Uhlenbeck processes with small Lévy noises

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  • Shu, Huisheng
  • Jiang, Ziwei
  • Zhang, Xuekang

Abstract

In this paper, we propose the trajectory fitting estimator of the unknown drift parameter in the integrated Ornstein–Uhlenbeck process driven by small Lévy noises. The consistency and asymptotic distribution of the estimator are discussed when the small dispersion coefficient tends to zero.

Suggested Citation

  • Shu, Huisheng & Jiang, Ziwei & Zhang, Xuekang, 2023. "Parameter estimation for integrated Ornstein–Uhlenbeck processes with small Lévy noises," Statistics & Probability Letters, Elsevier, vol. 199(C).
    • Handle: RePEc:eee:stapro:v:199:y:2023:i:c:s0167715223000755
    DOI: 10.1016/j.spl.2023.109851
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    References listed on IDEAS

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