Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes

DOI10.1016/J.JSPI.2011.12.002zbMath1236.62097OpenAlexW2084485854MaRDI QIDQ413385

Jaya P. N. Bishwal, Myung Hee Lee, Chihoon Lee

Publication date: 4 May 2012

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2011.12.002

zbMATH Keywords

mean squared errorefficiencyunbiasedness

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Sequential estimation (62L12)

Related Items (18)

Parameter estimation for generalized diffusion processes with reflected boundary ⋮ Parameter estimation for the skew Ornstein-Uhlenbeck processes based on discrete observations ⋮ Sequential estimation for nonhomogeneous Ornstein-Uhlenbeck processes ⋮ Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes with jumps ⋮ Maximum likelihood estimation for the reflected stochastic linear system with a large signal ⋮ Nadaraya-Watson estimators for reflected stochastic processes ⋮ Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes ⋮ Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes ⋮ Sequential testing of hypotheses about drift for Gaussian diffusions ⋮ Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations ⋮ Sequential maximum likelihood estimation for the parameter of the linear drift term of the Rayleigh diffusion process ⋮ Parameter estimation for non-stationary reflected Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable noises ⋮ A general lower bound of parameter estimation for reflected Ornstein–Uhlenbeck processes ⋮ Sequential maximum likelihood estimation for the hyperbolic diffusion process ⋮ Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes ⋮ Asymptotic behavior of parametric estimation for a class of nonlinear diffusion process ⋮ Sequential maximum likelihood estimation for the squared radial Ornstein-Uhlenbeck process ⋮ On pricing barrier control in a regime-switching regulated market

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