A general lower bound of parameter estimation for reflected Ornstein-Uhlenbeck processes

DOI10.1017/JPR.2015.5zbMATH Open1342.60136OpenAlexW2300358603MaRDI QIDQ2804409FDOQ2804409

Lixin Zhang, Qing Pei Zang

Publication date: 29 April 2016

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1457470555

Recommendations

• Parameter estimation for generalized diffusion processes with reflected boundary
• Some limiting results of reflected Ornstein-Uhlenbeck processes with two-sided barriers
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• Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes
• Estimation of all parameters in the reflected Ornstein-Uhlenbeck process from discrete observations

zbMATH Keywords

maximum likelihood estimationCramer-Rao lower boundreflected Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Diffusion processes (60J60) Strong limit theorems (60F15)

Cites Work

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Cited In (10)

• An exponential nonuniform Berry-Esseen bound for the fractional Ornstein-Uhlenbeck process
• Sequential estimation for nonhomogeneous Ornstein-Uhlenbeck processes
• Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process
• Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes with jumps
• An exponential nonuniform Berry-Esseen bound of the maximum likelihood estimator in a Jacobi process
• Trajectory fitting estimation for reflected stochastic linear differential equations of a large signal
• Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
• Maximum likelihood estimation for the reflected stochastic linear system with a large signal
• Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process
• Piecewise-tunneled captive processes and corridored random particle systems

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