Sequential Maximum Likelihood Estimation for the Squared Radial Ornstein-Uhlenbeck Process

Huantian Xie () and Nenghui Kuang ()
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Huantian Xie: Linyi University
Nenghui Kuang: Hunan University of Science and Technology

Methodology and Computing in Applied Probability, 2021, vol. 23, issue 4, 1409-1417

Abstract: Abstract In this paper, we study the properties of a sequential maximum likelihood estimator of the unknown parameter for the squared radial Ornstein-Uhlenbeck process. The estimator is proved to be closed, unbiased, normally distributed and strongly consistent. Lastly a simulation study is presented to illustrate the efficiency of the estimators.

Keywords: Sequential maximum likelihood estimator; Squared radial Ornstein-Uhlenbeck process; Unbiasedness; Mean squared error; Efficiency.; 60H10; 62F99 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s11009-020-09821-x

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