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Parameter Estimation for Ornstein-Uhlenbeck Process with Small Fractional Lévy Noises.
- Source :
-
Engineering Letters . Dec2022, Vol. 30 Issue 4, p1566-1572. 7p. - Publication Year :
- 2022
-
Abstract
- This paper is concerned with least squares estimation for Ornstein-Uhlenbeck process with small fractional Lévy noise from discrete observations. The contrast function is given to obtain the least squares estimators. The consistency and asymptotic distribution of estimators are derived when a small dispersion coefficient ε→0 and T→∞ simultaneously. Some simulations are made to verify the effectiveness of the estimators. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 1816093X
- Volume :
- 30
- Issue :
- 4
- Database :
- Academic Search Index
- Journal :
- Engineering Letters
- Publication Type :
- Academic Journal
- Accession number :
- 160495739