# 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} }

- Published 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