| Autor: |
Gushchin, Alexander, Pavlyukevich, Ilya, Ritsch, Marian |
| Zdroj: |
Statistical Inference for Stochastic Processes; Oct2020, Vol. 23 Issue 3, p553-570, 18p |
| Abstrakt: |
We consider the problem of estimation of the drift parameter of an ergodic Ornstein–Uhlenbeck type process driven by a Lévy process with heavy tails. The process is observed continuously on a long time interval [0, T], T → ∞ . We prove that the statistical model is locally asymptotic mixed normal and the maximum likelihood estimator is asymptotically efficient. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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