Maximum likelihood estimation for the reflected stochastic linear system with a large signal

被引：1

作者：

Zhang, Xuekang ^{[1
,2
]}

Shu, Huisheng ^{[3
]}

机构：

[1] Anhui Polytech Univ, Sch Math Phys & Finance, Wuhu 241000, Peoples R China

[2] Anhui Polytech Univ, Key Lab Adv Percept & Intelligent Control High end, Minist Educ, Wuhu 241000, Peoples R China

[3] Donghua Univ, Coll Sci, Shanghai 201620, Peoples R China

来源：

BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS | 2023年 / 37卷 / 02期

基金：

中国国家自然科学基金;

关键词：

Maximum likelihood estimation; reflected stochastic linear system; large signal; law of iterated logarithm; consistency; asymptotic distributions; ORNSTEIN-UHLENBECK PROCESS; PARAMETER-ESTIMATION; ASYMPTOTIC-BEHAVIOR;

D O I：

10.1214/23-BJPS571

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper deals with maximum likelihood estimation for the drift of the reflected stochastic linear system with a large signal. The law of iter-ated logarithm, consistency, and the asymptotic distributions of the maximum likelihood estimators in both the stationary and the non-stationary cases are studied based on the continuous observation.

引用

页码：351 / 364

页数：14

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