Parameter estimation for non-stationary reflected Ornstein-Uhlenbeck processes driven by alpha-stable noises

摘要

This paper is concerned with the parameter estimation problem for non-stationary reflected Ornstein-Uhlenbeck processes driven by stable noises by using the trajectory fitting method combined with the weighted least squares technique. Under some regularity conditions, we obtain the consistency and the rate of convergence of the proposed estimator of the drift rate. The asymptotic stability property of the estimator in our setting is also proved. (C) 2019 Elsevier B.V. All rights reserved.