Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes

@inproceedings{Lee2011SequentialML,
  title={Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes},
  author={Chihoon Lee and N. Bishwal and Myung Hee Lee},
  year={2011}
}
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… CONTINUE READING

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