Ornstein-Uhlenbeck processes driven by general L\'{ e}vy process are considered in this paper. We derive strongly consistent estimators for the moments of the underlying L\'{ e}vy process and for the mean reverting parameter of the Ornstein-Uhlenbeck process. Moreover, we prove that the estimators are asymptotically normal. Finally, we test the empirical performance of our estimators in a simulation study and we fit the model to real data.
Categories: math.PR math.ST stat.TH