Drift Estimation for a L\'evy-Driven Ornstein-Uhlenbeck Process with Heavy Tails

Autor:	Gushchin, Alexander, Pavlyukevich, Ilya, Ritsch, Marian
Rok vydání:	2019
Předmět:	Mathematics - Statistics Theory Mathematics - Probability 62M05 60F05 60J75
Druh dokumentu:	Working Paper
Popis:	We consider the problem of estimation of the drift parameter of an ergodic Ornstein--Uhlenbeck type process driven by a L\'evy process with heavy tails. The process is observed continuously on a long time interval $[0,T]$, $T\to\infty$. We prove that the statistical model is locally asymptotic mixed normal and the maximum likelihood estimator is asymptotically efficient. Comment: 15 pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1911.11202 Zobrazit plný text záznamu View this record from Arxiv