Optimal stable Ornstein-Uhlenbeck regression
Statistics Theory
2023-01-18 v4 Statistics Theory
Abstract
We prove some efficient inference results concerning estimation of a Ornstein-Uhlenbeck regression model, which is driven by a non-Gaussian stable Levy process and where the output process is observed at high-frequency over a fixed time period. Local asymptotics for the likelihood function is presented, followed by a way to construct an asymptotically efficient estimator through a suboptimal yet very simple preliminary estimator.
Cite
@article{arxiv.2006.04630,
title = {Optimal stable Ornstein-Uhlenbeck regression},
author = {Hiroki Masuda},
journal= {arXiv preprint arXiv:2006.04630},
year = {2023}
}
Comments
fixed some mistakes in the previous versions