Parameter estimation for reflected OU processes
Methodology
2022-05-03 v1 Statistics Theory
Statistics Theory
Abstract
In this paper, we investigate the parameter estimation problem for reflected OU processes. Both the estimates based on continuously observed processes and discretely observed processes are considered. The explicit formulas for the estimators are derived using the least squares method. Under some regular conditions, we obtain the consistency and establish the asymptotic normality for the estimators. Numerical results show that the proposed estimators perform well with moderate sample sizes.
Cite
@article{arxiv.2205.00670,
title = {Parameter estimation for reflected OU processes},
author = {Han Yuecai and Zhang Dingwen},
journal= {arXiv preprint arXiv:2205.00670},
year = {2022}
}
Comments
15 pages