摘要:
在本文中，我们研究带自排斥漂移项的非遍历的Ornstein-Uhlenbeck过程的参数估计问题
其中Z
T是α-stable Lévy过程，θ>0是未知参数。我们讨论当T→∞，基于
连续观测下的
θ的加权轨迹拟合参数θ
^T的相合性和渐近分布。
Abstract:
In this paper, we consider parameter estimation problem for the non-ergodic Ornstein-Uhlenbeck processes with self-interacting drift
where Z
T is an
α-stable Lévy motion with
θ>0 is an unknown parameter. We consider the consistency and the asymptotic distributions of the weighted trajectory fitting estimator θ
^T of
θ based on the continuous observation
as
T→∞ .