Parameter estimation for Ornstein–Uhlenbeck processes driven by fractional Lévy process

We study the minimum Skorohod distance estimation [Formula: see text] and minimum [Formula: see text] -norm estimation [Formula: see text] of the drift parameter θ of a stochastic differential equation [Formula: see text] , [Formula: see text] , where [Formula: see text] is a fractional Lévy process...

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Detalles Bibliográficos
Autores principales: Shen, Guangjun, Li, Yunmeng, Gao, Zhenlong
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2018
Materias:
Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6311196/
https://www.ncbi.nlm.nih.gov/pubmed/30839924
http://dx.doi.org/10.1186/s13660-018-1951-0
Descripción
Sumario:We study the minimum Skorohod distance estimation [Formula: see text] and minimum [Formula: see text] -norm estimation [Formula: see text] of the drift parameter θ of a stochastic differential equation [Formula: see text] , [Formula: see text] , where [Formula: see text] is a fractional Lévy process, [Formula: see text] . We obtain their consistency and limit distribution for fixed T, when [Formula: see text] . Moreover, we also study the asymptotic laws of their limit distributions for [Formula: see text] .

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