On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes

DOI10.1080/17442508.2016.1143472zbMATH Open1352.60058arXiv1303.6379OpenAlexW1515329050MaRDI QIDQ2833699FDOQ2833699

Authors: Chihoon Lee, Jian Song 

Publication date: 25 November 2016

Published in: Stochastics (Search for Journal in Brave)

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.

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

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zbMATH Keywords

parameter estimationfractional Brownian motionmaximum likelihood estimatorfractional calculussequential maximum likelihood estimatorreflected fractional Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

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

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