论文标题
最佳稳定的Ornstein-Uhlenbeck回归
Optimal stable Ornstein-Uhlenbeck regression
论文作者
论文摘要
我们证明了一些有效的推理结果，这些结果是关于Ornstein-Uhlenbeck回归模型的估计，该模型由非高斯稳定征税过程以及在固定时间段内高频观察到输出过程的驱动。提出了有关可能性函数的局部渐近学，其次是一种通过次优且非常简单的初步估计量来构建渐近效率估计量的方法。
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.
