Method of Moments Estimation of Ornstein-Uhlenbeck Processes Driven by General L\'evy Process
Abstract
Ornstein-Uhlenbeck processes driven by general L\'evy process are considered in this paper. We derive strongly consistent estimators for the moments of the underlying L\'evy process and for the mean reverting parameter of the Ornstein-Uhlenbeck process. Moreover, we prove that the estimators are asymptotically normal. Finally, we test the empirical performance of our estimators in a simulation study and we fit the model to real data.
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