Minimum distance parameter estimation for Ornstein-Uhlenbeck processes driven by Lévy process

We consider the minimum Skorohod distance estimate of the parameter [theta] of a stochastic differential equation , X0=x0 where {Zt,0<=t<=T} is a centered Lévy process, [epsilon][set membership, variant](0,1]. Its consistency and its limit distribution are studied for fixed T, when [epsilon]-->0. Furthermore, the asymptotic law of its limit distribution is studied for T-->[infinity].

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Year of publication:	2010
Authors:	Diop, Aliou ; Yode, Armel Fabrice
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 2, p. 122-127
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008474335