On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes

DOI10.1080/17442508.2016.1143472MaRDI QIDQ2833699zbMATH OpenOpenAlexFDO

Authors Chihoon Lee, Jian Song

Publication date 25 November 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1303.6379

zbMATH Keywords

fractional Brownian motionfractional calculusmaximum likelihood estimatorparameter estimationreflected fractional Ornstein-Uhlenbeck processessequential maximum likelihood estimator

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09)

Abstract: We consider a reflected Ornstein-Uhlenbeck process $X$ driven by a fractional Brownian motion with Hurst parameter $Hin(0,frac12)cup(frac12,1)$. Our goal is to estimate an unknown drift parameter $alphain(-infty,infty)$ on the basis of continuous observation of the state process. We establish Girsanov theorem for the process $X$, derive the standard maximum likelihood estimator of the drift parameter $alpha$, and prove its strong consistency and asymptotic normality. As an improved estimator, we obtain the explicit formulas for the sequential maximum likelihood estimator and its mean squared error by assuming the process is observed until a certain information reaches a specified precision level. The estimator is shown to be unbiased, uniformly normally distributed, and efficient in the mean square error sense.

Recommendations

• Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
• Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes
• Estimation of all parameters in the reflected Ornstein-Uhlenbeck process from discrete observations
• Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
• On parameter estimation of fractional Ornstein-Uhlenbeck process

Cited in

(17)

• Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes
• Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter
• Piecewise-tunneled captive processes and corridored random particle systems
• Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process
• Estimation of all parameters in the reflected Ornstein-Uhlenbeck process from discrete observations
• A general lower bound of parameter estimation for reflected Ornstein-Uhlenbeck processes
• Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations
• Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
• Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes
• Sequential estimation for nonhomogeneous Ornstein-Uhlenbeck processes
• Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process
• Asymptotic behavior of parametric estimation for a class of nonlinear diffusion process
• On pricing barrier control in a regime-switching regulated market
• Drift parameter estimation for a reflected fractional Brownian motion based on its local time
• Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
• Standard and fractional reflected Ornstein–Uhlenbeck processes as the limits of square roots of Cox–Ingersoll–Ross processes
• Moderate deviations for parameter estimation in the fractional Ornstein-Uhlenbeck processes with periodic mean

This page was built for publication: On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2833699)