Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations
Statistics Theory
2020-11-24 v1 Statistics Theory
Abstract
Assuming that a threshold Ornstein-Uhlenbeck process is observed at discrete time instants, we propose generalized moment estimators to estimate the parameters. Our theoretical basis is the celebrated ergodic theorem. To use this theorem we need to find the explicit form of the invariant measure. With the sampling time step arbitrarily fixed, we prove the strong consistency and asymptotic normality of our estimators as the sample size tends to infinity.
Cite
@article{arxiv.2011.10793,
title = {Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations},
author = {Yaozhong Hu and Yuejuan Xi},
journal= {arXiv preprint arXiv:2011.10793},
year = {2020}
}