Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations
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Abstract: Assuming that a threshold Ornstein-Uhlenbeck process is observed at discrete time instants, we propose generalized moment estimators to estimate the parameters. Our theoretical basis is the celebrated ergodic theorem. To use this theorem we need to find the explicit form of the invariant measure. With the sampling time step arbitrarily fixed, we prove the strong consistency and asymptotic normality of our estimators as the sample size tends to infinity.
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Cited in
(14)- Estimation of the discord time for a process of the Ornstein-Uhlenbeck type
- A threshold estimation problem for processes with hysteresis
- Diffusion process with evolution and its parameter estimation
- Estimation of all parameters in the reflected Ornstein-Uhlenbeck process from discrete observations
- Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process
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