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

被引：7
|
作者：
Diop, Aliou [2 ]
Yode, Armel Fabrice [1 ]
机构：
[1] Univ Cocody, LMAI, Abidjan, Cote Ivoire
[2] Univ Gaston Berger, LERSTAD, St Louis, Senegal
来源：
STATISTICS & PROBABILITY LETTERS | 2010年 / 80卷 / 02期
关键词：
D O I：
10.1016/j.spl.2009.09.020
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We consider the minimum Skorohod distance estimate theta(epsilon)* of the parameter theta of a stochastic differential equation dX(t) = theta X-t dt + epsilon dZ(t), X-0 = x(0) where {Z(t), 0 <= t <= T} is a centered Levy process, epsilon is an element of (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. (C) 2009 Elsevier B.V. All rights reserved.
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页码：122 / 127
页数：6
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