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The Least Squares Estimation for the α-Stable Ornstein-Uhlenbeck Process with Constant Drift

Author

Listed:
  • Yurong Pan

    (Bengbu University)

  • Litan Yan

    (Donghua University)

Abstract

In this paper, we consider the least squares estimators of the Ornstein-Uhlenbeck process with a constant drift dXt=(θ1−θ2Xt)dt+dZt$$dX_{t}=(\theta_{1}-\theta_{2}X_{t})dt+dZ_{t} $$with X0 = x0, where θ1, θ2 are two unknown parameters with θ2 > 0 and Z is a strictly symmetric α-stable motion on ℝ with the index α ∈ (1, 2). We construct the least squares estimators of θ1 and θ2 based on the discrete observation, and discuss the strong consistency and asymptotic distributions of the two estimators. Finally, we give some numerical calculus and simulations.

Suggested Citation

  • Yurong Pan & Litan Yan, 2019. "The Least Squares Estimation for the α-Stable Ornstein-Uhlenbeck Process with Constant Drift," Methodology and Computing in Applied Probability, Springer, vol. 21(4), pages 1165-1182, December.
    • Handle: RePEc:spr:metcap:v:21:y:2019:i:4:d:10.1007_s11009-018-9654-z
    DOI: 10.1007/s11009-018-9654-z
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    References listed on IDEAS

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    1. Long, Hongwei & Ma, Chunhua & Shimizu, Yasutaka, 2017. "Least squares estimators for stochastic differential equations driven by small Lévy noises," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1475-1495.
    2. Shibin Zhang & Xinsheng Zhang, 2013. "A least squares estimator for discretely observed Ornstein–Uhlenbeck processes driven by symmetric α-stable motions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(1), pages 89-103, February.
    3. Li, Zenghu & Ma, Chunhua, 2015. "Asymptotic properties of estimators in a stable Cox–Ingersoll–Ross model," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 3196-3233.
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