Drift Estimation for a Lévy-Driven Ornstein-Uhlenbeck Process with Heavy Tails

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