Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes

DOI10.1016/j.jmaa.2016.06.067zbMath1381.62052OpenAlexW2462676206MaRDI QIDQ739497

Chenglian Zhu, Qing Pei Zang

Publication date: 18 August 2016

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2016.06.067

zbMATH Keywords

maximum likelihood estimationnonstationaryreflected Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Diffusion processes (60J60)

Related Items

Sequential estimation for nonhomogeneous Ornstein-Uhlenbeck processes ⋮ Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes with jumps ⋮ Parameter estimation for certain nonstationary processes driven by α-stable motions ⋮ Maximum likelihood estimation for the reflected stochastic linear system with a large signal ⋮ Asymptotic behavior of maximum likelihood estimators for Ornstein–Uhlenbeck process with large linear drift ⋮ Parameter estimation for non-stationary reflected Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable noises

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