Parameter estimation for reflected Ornstein–Uhlenbeck processes with discrete observations

Yaozhong Hu, Chihoon Lee, Myung Hee Lee, Jian Song

Research output: Contribution to journalArticlepeer-review

19 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)279-291
Number of pages13
JournalStatistical Inference for Stochastic Processes
Volume18
Issue number3
DOIs
StatePublished - 14 Oct 2015

Keywords

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

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