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What is Learnable in Valiant's Theory of the Learnable? 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Drift Estimation for a Lévy-Driven Ornstein-Uhlenbeck Process with Heavy Tails
Alexander Gushchin, Ilya Pavlyukevich, Marian Ritsch · 2019-11-26 · via math.ST updates on arXiv.org

We consider the problem of estimation of the drift parameter of an ergodic Ornstein--Uhlenbeck type process driven by a Lévy process with heavy tails. The process is observed continuously on a long time interval $[0,T]$, $T\to\infty$. We prove that the statistical model is locally asymptotic mixed normal and the maximum likelihood estimator is asymptotically efficient.

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