Abstract
In this paper, we study the problem of parameter estimation for the Ornstein–Uhlenbeck processes
driven by Ornstein–Uhlenbeck processes with small fractional Lévy noises and Yt can be observed, based on discrete high frequency observations at regularly spaced time points , on We obtain the consistency as well as the asymptotic behavior of the least squares estimator of the unknown parameter θ when and simultaneously.
Acknowledgments
The authors are very grateful to the anonymous referee and the editor for their insightful and valuable comments, which have improved the presentation of the paper.