Statistical inference for generalized Ornstein-Uhlenbeck processes

Abstract

In this paper, we consider the problem of statistical inference for generalized Ornstein-Uhlenbeck processes of the type \[ X_{t} = e^{-ξ_{t}} \left( X_{0} + \int_{0}^{t} e^{ξ_{u-}} d u \right), \] where \(ξ_s\) is a L{é}vy process. Our primal goal is to estimate the characteristics of the Lévy process \(ξ\) from the low-frequency observations of the process \(X\). We present a novel approach towards estimating the L{é}vy triplet of \(ξ,\) which is based on the Mellin transform technique. It is shown that the resulting estimates attain optimal minimax convergence rates. The suggested algorithms are illustrated by numerical simulations.

arXiv comment32 pages. arXiv admin note: text overlap with arXiv:1312.4731