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

DOI10.1017/jpr.2015.5zbMath1342.60136MaRDI QIDQ2804409

Zhang, Lixin, 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

zbMATH Keywords

maximum likelihood estimation; Cramer-Rao lower bound; reflected Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

60F15: Strong limit theorems

60J60: Diffusion processes

Related Items

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

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