Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes
针对由一般莱维过程驱动的奥恩斯坦-乌伦贝克过程，提出基于矩法的参数估计量，推导其联合中心极限定理和渐近协方差矩阵，数值实验表明方法简单高效。
We consider the problem of parameter estimation for Ornstein–Uhlenbeck (OU) processes driven by general Lévy processes. We derive our estimators based on the method of moments and establish a joint central limit theorem for these estimators with explicit formulae for their asymptotic covariance matrix. Numerical experiments are also provided to show that not only our estimators are easy to implement but they are also highly efficient. Our work offers a simple and efficient method to estimate the parameters in Lévy‐driven OU processes.