Sequential maximum likelihood estimation for the squared radial Ornstein-Uhlenbeck process

DOI10.1007/s11009-020-09821-xzbMath1480.62170OpenAlexW3084538267MaRDI QIDQ2065476

Huantian Xie, Nenghui Kuang

Publication date: 7 January 2022

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-020-09821-x

zbMATH Keywords

mean squared errorefficiencyunbiasednesssquared radial Ornstein-Uhlenbeck processsequential maximum likelihood estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sequential estimation (62L12)

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• THE SQUARED ORNSTEIN‐UHLENBECK MARKET