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Parameter estimation for non-stationary α-stable Ornstein–Uhlenbeck processes with constant drift

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  • Zhang, Xuekang
  • Qiao, Sijia

Abstract

In this paper, we study the parameter estimation for non-stationary α-stable Ornstein–Uhlenbeck processes with constant drift based on continuous observations. The consistency and limiting distributions for the estimators are obtained by integration by parts, the strong law of large numbers and the inner clock property for the α-stable stochastic integral.

Suggested Citation

  • Zhang, Xuekang & Qiao, Sijia, 2026. "Parameter estimation for non-stationary α-stable Ornstein–Uhlenbeck processes with constant drift," Statistics & Probability Letters, Elsevier, vol. 231(C).
    • Handle: RePEc:eee:stapro:v:231:y:2026:i:c:s0167715225002640
    DOI: 10.1016/j.spl.2025.110619
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    References listed on IDEAS

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