TY - JOUR
T1 - Parameter estimation for reflected Ornstein–Uhlenbeck processes with discrete observations
AU - Hu, Yaozhong
AU - Lee, Chihoon
AU - Lee, Myung Hee
AU - Song, Jian
N1 - Publisher Copyright:
© 2014, Springer Science+Business Media Dordrecht.
PY - 2015/10/14
Y1 - 2015/10/14
N2 - 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.
AB - 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.
KW - Asymptotic normality
KW - Discrete time observations
KW - Method of moment estimator
KW - Reflected Ornstein–Uhlenbeck processes
KW - Strong consistency
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U2 - 10.1007/s11203-014-9112-7
DO - 10.1007/s11203-014-9112-7
M3 - Article
AN - SCOPUS:84941363466
SN - 1387-0874
VL - 18
SP - 279
EP - 291
JO - Statistical Inference for Stochastic Processes
JF - Statistical Inference for Stochastic Processes
IS - 3
ER -