• Medientyp: Sonstige Veröffentlichung; Bericht; E-Book
  • Titel: Efficient maximum likelihood estimation for Lévy-driven Ornstein--Uhlenbeck processes
  • Beteiligte: Mai, Hilmar [Verfasser:in]
  • Erschienen: Weierstrass Institute for Applied Analysis and Stochastics publication server, 2012
  • Sprache: Englisch
  • DOI: https://doi.org/10.20347/WIAS.PREPRINT.1717
  • Schlagwörter: 62F12 ; discrete time observations -- efficient drift estimation -- Lévy process -- maximum likelihood -- Ornstein-Uhlenbeck process ; article ; 62M05
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  • Beschreibung: We consider the problem of efficient estimation of the drift parameter of an Ornstein-Uhlenbeck type process driven by a L'evy process when high-frequency observations are given. The estimator is constructed from the time-continuous likelihood function that leads to an explicit maximum likelihood estimator and requires knowledge of the continuous martingale part. We use a thresholding technique to approximate the continuous part of the process. Under suitable conditions we prove asymptotic normality and efficiency in the H'ajek-Le Cam sense for the resulting drift estimator. To obtain these results we prove an estimate for the Markov generator of a pure jump L'evy process. Finally, we investigate the finite sample behavior of the method and compare our approach to least squares estimation.