Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes

Chihoon Lee, Jaya P.N. Bishwal, Myung Hee Lee

Research output: Contribution to journalArticlepeer-review

24 Scopus citations

Abstract

The paper studies the properties of a sequential maximum likelihood estimator of the drift parameter in a one dimensional reflected Ornstein-Uhlenbeck process. We observe the process until the observed Fisher information reaches a specified precision level. We derive the explicit formulas for the sequential estimator and its mean squared error. The estimator is shown to be unbiased and uniformly normally distributed. A simulation study is conducted to assess the performance of the estimator compared with the ordinary maximum likelihood estimator.

Original languageEnglish
Pages (from-to)1234-1242
Number of pages9
JournalJournal of Statistical Planning and Inference
Volume142
Issue number5
DOIs
StatePublished - May 2012

Keywords

  • Efficiency
  • Mean squared error
  • Reflected Ornstein-Uhlenbeck processes
  • Sequential maximum likelihood estimator
  • Unbiasedness

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