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Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process
Guangjun Shen1,2, Yunmeng Li2, Zhenlong Gao3
11School of Mathematics and Finance, Chuzhou University, Chuzhou, China.
Abstract:
We study the minimum Skorohod distance estimation and minimum -norm estimation of the drift parameter θ of a stochastic differential equation , , where is a fractional Lévy process, . We obtain their consistency and limit distribution for fixed T, when . Moreover, we also study the asymptotic laws of their limit distributions for .
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