Method of Moments Estimation of Ornstein-Uhlenbeck Processes Driven by General L\'{e}vy Process
Probability
2010-11-30 v4 Statistics Theory
Statistics Theory
Abstract
Ornstein-Uhlenbeck processes driven by general L\'{e}vy process are considered in this paper. We derive strongly consistent estimators for the moments of the underlying L\'{e}vy process and for the mean reverting parameter of the Ornstein-Uhlenbeck process. Moreover, we prove that the estimators are asymptotically normal. Finally, we test the empirical performance of our estimators in a simulation study and we fit the model to real data.
Cite
@article{arxiv.0807.2832,
title = {Method of Moments Estimation of Ornstein-Uhlenbeck Processes Driven by General L\'{e}vy Process},
author = {Konstantinos Spiliopoulos},
journal= {arXiv preprint arXiv:0807.2832},
year = {2010}
}
Comments
15 pages, 4 Postscript figures; corrected minor typos, final published version