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arXiv · 1911.11202

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

Alexander Gushchin·Ilya Pavlyukevich·Marian Ritsch
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Abstract

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.

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Alexander Gushchin, Ilya Pavlyukevich, Marian Ritsch. 2019-11-25. Drift Estimation for a L\'evy-Driven Ornstein-Uhlenbeck Process with Heavy Tails. https://arxiv.org/abs/1911.11202

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