We consider drift estimation of a discretely observed OrnsteinUhlenbeck process driven by a possibly heavy-tailed symmetric Lévy process with positive activity index β. Under an infill and large-time sampling design, we first establish an asymptotic normality of a self-weighted least absolute deviation estimator with the rate of convergence being √ nh1−1/βn, where n denotes sample size and hn > 0 the sampling mesh satisfying that hn → 0 and nhn → ∞. This implies that the rate of convergence is determined by the most active part of the driving Lévy process; the presence of a driving Wiener part leads to √ nhn, which is familiar in the context of asymptotically efficient estimation of diffusions with compound Poisson jumps, while a pure-jump driving Lévy process leads to a faster one. Also discussed is how to construct corresponding asymptotic confidence regions without full specification of the driving Lévy process. Second, by means of a polynomial type large deviation inequality we derive convergence of moments of our estimator under additional conditions.
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty