Optimal stable Ornstein–Uhlenbeck regression
نویسندگان
چکیده
Abstract We prove asymptotically efficient inference results concerning an Ornstein–Uhlenbeck regression model driven by a non-Gaussian stable Lévy process, where the output process is observed at high frequency over fixed period. The local asymptotics of non-ergodic type for likelihood function presented, followed way to construct estimator through suboptimal, yet very simple preliminary estimator.
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ژورنال
عنوان ژورنال: Japanese Journal of Statistics and Data Science
سال: 2023
ISSN: ['2520-8764', '2520-8756']
DOI: https://doi.org/10.1007/s42081-023-00197-z