Drift Estimation for a Lévy-Driven Ornstein-Uhlenbeck Process with Heavy Tails

11/25/2019

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by   Alexander Gushchin, et al.

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We consider the problem of estimation of the drift parameter of an ergodic Ornstein–Uhlenbeck type process driven by a Lévy process with heavy tails. The process is observed continuously on a long time interval [0,T], T→∞. We prove that the statistical model is locally asymptotic mixed normal and the maximum likelihood estimator is asymptotically efficient.