Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes

DOI10.1016/J.JSPI.2010.07.001zbMATH Open1197.62120OpenAlexW1990370572MaRDI QIDQ710825FDOQ710825

Authors: Xuewei Yang, Guannan Zhang, Lijun Bo, Yongjin Wang 

Publication date: 22 October 2010

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.2010.07.001

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zbMATH Keywords

maximum likelihood estimationreflected Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) PDEs in connection with statistics (35Q62)

Cites Work

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• Properties of the reflected Ornstein-Uhlenbeck process
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
• On the transition densities for reflected diffusions
• Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type
• Euler scheme for reflected stochastic differential equations
• On the probability densities of an Ornstein–Uhlenbeck process with a reflecting boundary
• On the conditional default probability in a regulated market: a structural approach
• A diffusion approximation for a Markovian queue with reneging
• Drift rate control of a Brownian processing system
• Some integral functionals of reflected SDEs and their applications in finance
• On the first passage times of reflected O-U processes with two-sided barriers

Cited In (24)

• On the Structure and Estimation of Reflection Positive Processes
• A general lower bound of parameter estimation for reflected Ornstein-Uhlenbeck processes
• Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
• The hitting time density for a reflected Brownian motion
• Sequential estimation for nonhomogeneous Ornstein-Uhlenbeck processes
• Asymptotic behavior of maximum likelihood estimators for Ornstein–Uhlenbeck process with large linear drift
• Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes
• Estimation of all parameters in the reflected Ornstein-Uhlenbeck process from discrete observations
• 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
• Trajectory fitting estimation for reflected stochastic linear differential equations of a large signal
• Least squares estimators for reflected Ornstein–Uhlenbeck processes
• Maximum likelihood estimation for the reflected stochastic linear system with a large signal
• First passage times of reflected generalized Ornstein-Uhlenbeck processes
• Sequential maximum likelihood estimation for the squared radial Ornstein-Uhlenbeck process
• Parameter estimation for generalized Ait-Sahalia-type interest rate model
• Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations
• Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process
• Maximum likelihood stochastic gradient estimation for Hammerstein systems with colored noise based on the key term separation technique
• 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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