Sequential maximum likelihood estimation for the squared radial Ornstein-Uhlenbeck process

DOI10.1007/S11009-020-09821-XMaRDI QIDQ2065476zbMATH OpenOpenAlexFDO

Authors Huantian Xie, Nenghui Kuang

Publication date 7 January 2022

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-020-09821-x

zbMATH Keywords

efficiencymean squared errorsequential maximum likelihood estimatorsquared radial Ornstein-Uhlenbeck processunbiasedness

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic properties of parametric estimators (62F12) Sequential estimation (62L12) Markov processes: estimation; hidden Markov models (62M05)

Recommendations

• 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
• Sequential maximum likelihood estimation for the hyperbolic diffusion process
• Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type
• On Sequential Maximum Likelihood Estimation for Exponential Families of Stochastic Processes
• On maximum likelihood estimation of parameters of Ornstein-Uhlenbeck processes
• Sequential Estimation for Fractional Ornstein–Uhlenbeck Type Process
• Maximum likelihood estimation for multiscale Ornstein-Uhlenbeck processes
• Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes

Cites work

• Fixed accuracy estimation of an autoregressive parameter
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1546853 (Why is no real title available?)
• scientific article; zbMATH DE number 3393620 (Why is no real title available?)
• scientific article; zbMATH DE number 3073499 (Why is no real title available?)
• Large deviations for squared radial Ornstein-Uhlenbeck processes.
• Moderate deviations for squared radial Ornstein-Uhlenbeck process
• Parameter estimation in stochastic differential equations.
• Quasi-stationary distributions for the radial Ornstein-Uhlenbeck processes
• Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes
• Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
• Sequential maximum likelihood estimation for the hyperbolic diffusion process
• Sequential maximum likelihood estimation for the parameter of the linear drift term of the Rayleigh diffusion process
• The equivalence of the Cox process with squared radial Ornstein-Uhlenbeck intensity and the death process in a simple population model
• The importance of strictly local martingales; applications to radial Ornstein-Uhlenbeck processes
• THE SQUARED ORNSTEIN‐UHLENBECK MARKET

Cited in

(6)

• Sequential maximum likelihood estimation for the parameter of the linear drift term of the Rayleigh diffusion process
• Sequential maximum likelihood estimation for the hyperbolic diffusion process
• Large deviations for squared radial Ornstein-Uhlenbeck processes.
• Sequential Estimation for Fractional Ornstein–Uhlenbeck Type Process
• Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
• Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes

This page was built for publication: Sequential maximum likelihood estimation for the squared radial Ornstein-Uhlenbeck process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2065476)