Moment estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes

We develop new estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes, which can be considered as a class of stochastic hybrid systems. Our estimators are derived based on the method of moments. We also establish the central limit theorem for the proposed estimators. Numerical experiments are provided to show that our method performs better when compared with the existing methods, especially in cases when the jumps of the compound Poisson process are relatively rare.