Least squares estimator for discretely observed Ornstein–Uhlenbeck processes with small Lévy noises

Hongwei Long

doi:10.1016/j.spl.2009.06.018

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Least squares estimator for discretely observed Ornstein–Uhlenbeck processes with small Lévy noises

Hongwei Long

Year: 2009 Journal: Statistics & Probability Letters Vol: 79 (19)Pages: 2076-2085 Publisher: Elsevier BV

DOI: 10.1016/j.spl.2009.06.018

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Keywords:

Mathematics Asymptotic distribution Estimator Ornstein–Uhlenbeck process Consistency (knowledge bases) Strong consistency Least-squares function approximation Distribution (mathematics) Applied mathematics Convolution (computer science) Rate of convergence Statistics Mathematical analysis Stochastic process

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Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Stochastic processes and statistical mechanics

Physical Sciences → Mathematics → Mathematical Physics

Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Least squares estimator for discretely observed Ornstein–Uhlenbeck processes with small Lévy noises

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