Parameter estimation for reflected Ornstein–Uhlenbeck processes with discrete observations

被引：16

作者：

Hu Y. ^{[1
]}

Lee C. ^{[2
]}

Lee M.H. ^{[2
]}

Song J. ^{[3
]}

机构：

[1] Department of Mathematics, University of Kansas, Lawrence, 66045, KS

[2] Department of Statistics, Colorado State University, Fort Collins, 80523, CO

[3] Department of Mathematics and Department of Statistics and Actuarial Science, University of Hong Kong, Hong Kong

来源：

Statistical Inference for Stochastic Processes | 2015年 / 18卷 / 3期

关键词：

Asymptotic normality; Discrete time observations; Method of moment estimator; Reflected Ornstein–Uhlenbeck processes; Strong consistency;

D O I：

10.1007/s11203-014-9112-7

中图分类号：

学科分类号：

摘要：

A parameter estimation problem for a one-dimensional reflected Ornstein–Uhlenbeck is considered. We assume that only the state process itself (not the local time process) is observable and the observations are made only at discrete time instants. Strong consistency and asymptotic normality are established. Our approach is of the method of moments type and is based on the explicit form of the invariant density of the process. The method is valid irrespective of the length of the time intervals between consecutive observations. © 2014, Springer Science+Business Media Dordrecht.

引用

页码：279 / 291

页数：12

共 22 条

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