Ergodic Estimators of double exponential Ornstein-Ulenbeck process
Statistics Theory
2021-11-19 v1 Statistics Theory
Abstract
The goal of this paper is to construct ergodic estimators for the parameters in the double exponential Ornstein-Uhlenbeck process, observed at discrete time instants with time step size h. The existence and uniqueness, the strong consistency, and the asymptotic normality of the estimators are obtained for arbitrarily fixed time step size h. A simulation method of the double exponential Ornstein-Uhlenbeck process is proposed and some numerical simulations are performed to demonstrate the effectiveness of the proposed estimators.
Cite
@article{arxiv.2111.09573,
title = {Ergodic Estimators of double exponential Ornstein-Ulenbeck process},
author = {Yaozhong Hu and Neha Sharma},
journal= {arXiv preprint arXiv:2111.09573},
year = {2021}
}