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What is Learnable in Valiant's Theory of the Learnable? 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Ergodic Estimators of double exponential Ornstein-Ulenbeck process
Yaozhong Hu, Neha Sharma · 2021-11-18 · via math.ST updates on arXiv.org

The goal of this paper is to construct ergodic estimators for the parameters in the double exponential Ornstein-Uhlenbeck process, observed at discrete time instants with time step size h. The existence and uniqueness, the strong consistency, and the asymptotic normality of the estimators are obtained for arbitrarily fixed time step size h. A simulation method of the double exponential Ornstein-Uhlenbeck process is proposed and some numerical simulations are performed to demonstrate the effectiveness of the proposed estimators.

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