Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
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Publication:413385
DOI10.1016/J.JSPI.2011.12.002zbMATH Open1236.62097OpenAlexW2084485854MaRDI QIDQ413385FDOQ413385
Jaya P. N. Bishwal, Myung Hee Lee, Chihoon Lee
Publication date: 4 May 2012
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2011.12.002
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- Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
Cited In (19)
- A general lower bound of parameter estimation for reflected Ornstein-Uhlenbeck processes
- Asymptotic behavior of parametric estimation for a class of nonlinear diffusion process
- Sequential testing of hypotheses about drift for Gaussian diffusions
- Sequential estimation for nonhomogeneous Ornstein-Uhlenbeck processes
- On pricing barrier control in a regime-switching regulated market
- Sequential maximum likelihood estimation for the hyperbolic diffusion process
- Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes
- Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes
- Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes with jumps
- Nadaraya-Watson estimators for reflected stochastic processes
- Sequential maximum likelihood estimation for the parameter of the linear drift term of the Rayleigh diffusion process
- Least squares estimators for reflected Ornstein–Uhlenbeck processes
- Maximum likelihood estimation for the reflected stochastic linear system with a large signal
- Sequential maximum likelihood estimation for the squared radial Ornstein-Uhlenbeck process
- Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations
- Parameter estimation for generalized diffusion processes with reflected boundary
- Parameter estimation for non-stationary reflected Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable noises
- Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes
- Parameter estimation for the skew Ornstein-Uhlenbeck processes based on discrete observations
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