Self-Weighted Quantile Estimation for Drift Coefficients of Ornstein–Uhlenbeck Processes with Jumps and Its Application to Statistical Arbitrage
The estimation of drift parameters in the Ornstein–Uhlenbeck (O-U) process with jumps primarily employs methods such as maximum likelihood estimation, least squares estimation, and least absolute deviation estimation. These methods generally assume specific error distributions and finite variances....
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| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-04-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/13/9/1399 |
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