A general lower bound of parameter estimation for reflected Ornstein–Uhlenbeck processes

DOI10.1017/jpr.2015.5zbMath1342.60136OpenAlexW2300358603MaRDI QIDQ2804409

Zhang, Lixin, Qing Pei Zang

Publication date: 29 April 2016

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1457470555

zbMATH Keywords

maximum likelihood estimationCramer-Rao lower boundreflected Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Strong limit theorems (60F15) Diffusion processes (60J60)

Related Items (8)

Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process ⋮ Sequential estimation for nonhomogeneous Ornstein-Uhlenbeck processes ⋮ Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes with jumps ⋮ Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process ⋮ Maximum likelihood estimation for the reflected stochastic linear system with a large signal ⋮ An exponential nonuniform Berry-Esseen bound for the fractional Ornstein-Uhlenbeck process ⋮ Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations ⋮ Piecewise-tunneled captive processes and corridored random particle systems

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