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We consider the problem of estimation of the drift parameter of an ergodicOrnstein--Uhlenbeck type process driven by a L\'evy process with heavy tails.The process is observed continuously on a long time interval $[0,T]$,$T\to\infty$. We prove that the statistical model is locally asymptotic mixednormal and the maximum likelihood estimator is asymptotically efficient.

Drift Estimation for a L\'evy-Driven Ornstein-Uhlenbeck Process with Heavy Tails