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Least squares estimator for Ornstein–Uhlenbeck processes driven by fractional Lévy processes from discrete observations

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  • Guangjun Shen

    (Anhui Normal University)

  • Qian Yu

    (Anhui Normal University)

Abstract

In this paper, we consider the problem of parameter estimation for Ornstein–Uhlenbeck processes with small fractional Lévy noises, based on discrete observations at n regularly spaced time points $$t_i=i/n,$$ t i = i / n , $$i=1,\ldots ,n$$ i = 1 , … , n on [0, 1]. Least squares method is used to obtain an estimator of the drift parameter. The consistency and the asymptotic distribution of the estimator have been established.

Suggested Citation

  • Guangjun Shen & Qian Yu, 2019. "Least squares estimator for Ornstein–Uhlenbeck processes driven by fractional Lévy processes from discrete observations," Statistical Papers, Springer, vol. 60(6), pages 2253-2271, December.
    • Handle: RePEc:spr:stpapr:v:60:y:2019:i:6:d:10.1007_s00362-017-0918-4
    DOI: 10.1007/s00362-017-0918-4
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    References listed on IDEAS

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