Title of article :
Sequential maximum likelihood estimation for reflected Ornstein–Uhlenbeck processes
Author/Authors :
Lee، نويسنده , , Chihoon and Bishwal، نويسنده , , Jaya P.N. and Lee، نويسنده , , Myung Hee، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2012
Abstract :
The paper studies the properties of a sequential maximum likelihood estimator of the drift parameter in a one dimensional reflected Ornstein–Uhlenbeck process. We observe the process until the observed Fisher information reaches a specified precision level. We derive the explicit formulas for the sequential estimator and its mean squared error. The estimator is shown to be unbiased and uniformly normally distributed. A simulation study is conducted to assess the performance of the estimator compared with the ordinary maximum likelihood estimator.
Keywords :
Reflected Ornstein–Uhlenbeck processes , Sequential maximum likelihood estimator , Mean squared error , efficiency , Unbiasedness
Journal title :
Journal of Statistical Planning and Inference
Journal title :
Journal of Statistical Planning and Inference