Moment estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes

Wu, YF; Hu, JQ; Zhang, XS

Hu, JQ (reprint author), Fudan Univ, Dept Management Sci, 670 Guoshun Rd,Siyuan Bldg,Room 508, Shanghai 200433, Peoples R China.

DISCRETE EVENT DYNAMIC SYSTEMS-THEORY AND APPLICATIONS, 2019; 29 (1): 57

Abstract

We develop new estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes, which can be considered as a class ......

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