Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations

DOI10.1007/s11203-014-9112-7zbMath1327.62451OpenAlexW1966242592MaRDI QIDQ500866

Myung Hee Lee, Yaozhong Hu, Jian Song, Chihoon Lee

Publication date: 5 October 2015

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-014-9112-7

zbMATH Keywords

asymptotic normalitystrong consistencydiscrete time observationsreflected Ornstein-Uhlenbeck processesmethod of moment estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Related Items (13)

Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process ⋮ Parameter estimation for generalized diffusion processes with reflected boundary ⋮ Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations ⋮ Parameter estimation for the skew Ornstein-Uhlenbeck processes based on discrete observations ⋮ Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes with jumps ⋮ Maximum likelihood estimation for the reflected stochastic linear system with a large signal ⋮ Nadaraya-Watson estimators for reflected stochastic processes ⋮ Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes ⋮ Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations ⋮ Estimation of all parameters in the reflected Ornstein-Uhlenbeck process from discrete observations ⋮ A general lower bound of parameter estimation for reflected Ornstein–Uhlenbeck processes ⋮ Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes ⋮ On pricing barrier control in a regime-switching regulated market

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