Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes Academic Article uri icon

Overview

MeSH Major

  • Acids
  • Bacterial Proteins
  • Enzyme Activation
  • Gene Expression Regulation, Bacterial
  • Mycobacterium tuberculosis
  • N-Acetylmuramoyl-L-alanine Amidase
  • Peptide Hydrolases
  • Stress, Physiological

abstract

  • 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 compared with the ordinary maximum likelihood estimator. © 2011 Elsevier B.V.

publication date

  • May 2012

Research

keywords

  • Academic Article

Identity

Digital Object Identifier (DOI)

  • 10.1016/j.jspi.2011.12.002

Additional Document Info

start page

  • 1234

volume

  • 142

number

  • 5