Least squares estimator for Ornstein-Uhlenbeck processes driven by α-stable motions

Stochastic Processes and their Applications

Volumn 119, Issue 8, 2009, Pages 2465-2480

  Hu, Yaozhong ^a   Long, Hongwei ^b  

^a UNIVERSITY OF KANSAS   (United States)

^b FLORIDA ATLANTIC UNIVERSITY   (United States)

Author keywords

stable processes; Asymptotic distribution of LSE; Consistency of LSE; Discrete observation; Generalized Ornstein Uhlenbeck processes; Least squares method; Parameter estimation

Indexed keywords

ASYMPTOTIC DISTRIBUTION OF LSE; CONSISTENCY OF LSE; DISCRETE OBSERVATION; GENERALIZED ORNSTEIN-UHLENBECK PROCESSES; LEAST SQUARES METHOD;

ASYMPTOTIC ANALYSIS; CURVE FITTING; DISTRIBUTION FUNCTIONS; FARM BUILDINGS; LEAST SQUARES APPROXIMATIONS; METAL ANALYSIS; STABILITY CRITERIA; STOCHASTIC CONTROL SYSTEMS;

PARAMETER ESTIMATION;

EID: 67249134825     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2008.12.006     Document Type: Article

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