Asymptotic Properties of Estimators for Ornstein-Uhlenbeck Processes with Small Symmetric α-Stable Motions

• 作者: JIA Chaoyong LIU Xiaoyan PAN Yurong
• 来源期刊: 东华大学学报（英文版）
• 学科: 数学
• 年，卷（期）: 2020,（4）
• 页码范围: 357-364
• 页数: 8页
• 分类号: O211.63
• 语种: 英文

摘要

The asymptotic behaviors for estimators of the drift parameters in the Ornstein-Uhlenbeck process driven by small symmetric α-stable motion are studied in this paper. Based on the discrete observations, the conditional least squares estimators ( CLSEs ) of all the parameters involved in the Ornstein–Uhlenbeck process are proposed. We establish the consistency and the asymptotic distributions of our estimators as ε goes to 0 and n goes to ∞simultaneously.