Parameter Estimation for Squared Radial Ornstein-Uhlenbeck Process from Discrete Observation

This paper is concerned with parameter estimation problem for squared radial Ornstein-Uhlenbeck process driven by α-stable noises from discrete observation. Firstly, the existence and uniqueness of solutions to the stochastic differential equation is studied. Then, the contrast function is used to o...

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Bibliographic Details
Published in:Engineering letters 2021-05, Vol.29 (2), p.781
Main Authors: Wei, Chao, Li, Dehe, Yao, Hejun
Format: Article
Language:English
Subjects:
Differential equations
Ornstein-Uhlenbeck process
Parameter estimation
Online Access:Get full text
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Summary:This paper is concerned with parameter estimation problem for squared radial Ornstein-Uhlenbeck process driven by α-stable noises from discrete observation. Firstly, the existence and uniqueness of solutions to the stochastic differential equation is studied. Then, the contrast function is used to obtain the least squares estimator. The strong consistency and asymptotic distribution of the estimator are investigated. Finally, some numerical calculus and simulations are given to verify the effectiveness of estimator.
ISSN:1816-093X
1816-0948