Parameter estimation for reflected Ornstein–Uhlenbeck processes with discrete observations

Yaozhong Hu (), Chihoon Lee (), Myung Lee () and Jian Song ()

Statistical Inference for Stochastic Processes, 2015, vol. 18, issue 3, 279-291

Abstract: A parameter estimation problem for a one-dimensional reflected Ornstein–Uhlenbeck is considered. We assume that only the state process itself (not the local time process) is observable and the observations are made only at discrete time instants. Strong consistency and asymptotic normality are established. Our approach is of the method of moments type and is based on the explicit form of the invariant density of the process. The method is valid irrespective of the length of the time intervals between consecutive observations. Copyright Springer Science+Business Media Dordrecht 2015

Keywords: Reflected Ornstein–Uhlenbeck processes; Discrete time observations; Method of moment estimator; Strong consistency; Asymptotic normality; 62M05; 62F12 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s11203-014-9112-7

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