Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes

作者：Zang, Qingpei^*; Zhu, Chenglian

来源：Journal of Mathematical Analysis and Applications, 2016, 444(2): 839-851.

DOI：10.1016/j.jmaa.2016.06.067

• Reflected Ornstein-Uhlenbeck processes
• Maximum likelihood estimation
• Nonstationary

Reflected Ornstein-Uhlenbeck process is a process that returns continuously and immediately to the interior of the state space when it attains a certain boundary. This work aims at the study of asymptotic behaviour of parametric estimator for nonstationary reflected Ornstein-Uhlenbeck processes, including a limiting theorem, strong consistency, and asymptotic distribution. We focus on the further investigation of asymptotic distribution of parametric estimation for ergodic case.

• 出版日期2016-12-15
• 单位淮阴师范学院; 浙江大学