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Method of Moments Estimation of Ornstein-Uhlenbeck Processes Driven by General Lévy Process

Ornstein-Uhlenbeck processes driven by general Lévy process are considered in this paper. We derive strongly consistent estimators for the moments of the underlying Lévy process and for the mean reverting parameter of the Ornstein-Uhlenbeck process. Moreover, we prove that the estimators are asymptotically normal. Finally, we test the empirical performance of our estimators in a simulation study and we fit the model to real data.

preprint2010arXivOpen access
Konstantinos Spiliopoulos
math.PRmath.STStatistics Theory
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Imported metadata coverageMissing code, dataset, citation and institution fields are tracked without dominating the paper.Details
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Konstantinos Spiliopoulos

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