Drift parameter estimation for nonlinear reflected stochastic differential equations
Statistics Theory
2022-05-04 v1 Statistics Theory
Abstract
We study the maximum likehood estimator and least squares estimator for drift parameters of nonlinear reflected stochastic differential equations based on continuous observations. Under some regular conditions, we obtain the consistency and give the asymptotic distributions of the two estimators. We briefly remark that our methods could be applied the the reflected stochastic processes with only one-sided reflecting barrier spontaneously. Numerical studies show that the proposed estimators are adequate for practical use.
Cite
@article{arxiv.2205.01092,
title = {Drift parameter estimation for nonlinear reflected stochastic differential equations},
author = {Han Yuecai and Zhang Dingwen},
journal= {arXiv preprint arXiv:2205.01092},
year = {2022}
}
Comments
arXiv admin note: substantial text overlap with arXiv:2205.00141; text overlap with arXiv:2205.00139