TY - JOUR
T1 - Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
AU - Lee, Chihoon
AU - Bishwal, Jaya P.N.
AU - Lee, Myung Hee
PY - 2012/5
Y1 - 2012/5
N2 - 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.
AB - 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.
KW - Efficiency
KW - Mean squared error
KW - Reflected Ornstein-Uhlenbeck processes
KW - Sequential maximum likelihood estimator
KW - Unbiasedness
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U2 - 10.1016/j.jspi.2011.12.002
DO - 10.1016/j.jspi.2011.12.002
M3 - Article
AN - SCOPUS:84855999198
SN - 0378-3758
VL - 142
SP - 1234
EP - 1242
JO - Journal of Statistical Planning and Inference
JF - Journal of Statistical Planning and Inference
IS - 5
ER -