Parameter estimation for reflected Ornstein–Uhlenbeck processes with discrete observations

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

doi:10.1007/s11203-014-9112-7

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Parameter estimation for reflected Ornstein–Uhlenbeck processes with discrete observations

Yaozhong Hu Chihoon Lee Myung Hee Lee Jian Song

Year: 2014 Journal: Statistical Inference for Stochastic Processes Vol: 18 (3)Pages: 279-291 Publisher: Springer Science+Business Media

DOI: 10.1007/s11203-014-9112-7

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Keywords:

Ornstein–Uhlenbeck process Mathematics Consistency (knowledge bases) Strong consistency Applied mathematics Observable Asymptotic distribution Invariant (physics) Normality Mathematical analysis Statistical physics Stochastic process Statistics Estimator Discrete mathematics

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Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Markov Chains and Monte Carlo Methods

Physical Sciences → Mathematics → Statistics and Probability

Stochastic processes and statistical mechanics

Physical Sciences → Mathematics → Mathematical Physics

Parameter estimation for reflected Ornstein–Uhlenbeck processes with discrete observations

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