Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes with jumps

DOI10.1080/03610926.2018.1425451MaRDI QIDQ5078411zbMATH OpenOpenAlexFDO

Authors Huiyan Zhao, Chongqi Zhang

Publication date 23 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2018.1425451

zbMATH Keywords

Lévy processmaximum likelihood estimationreflected Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05)

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Cited in

(2)

• Estimation of unknown parameters of the Ornstein-Uhlenbeck process with jumps in the nonstationary case
• Least squares estimators for reflected Ornstein–Uhlenbeck processes

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