Parameter estimation for reflected Ornstein–Uhlenbeck processes with discrete observations Academic Article uri icon

Overview

MeSH Major

  • Biophysics
  • DNA, Cruciform
  • Torque

abstract

  • © 2014, Springer Science+Business Media Dordrecht. 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.

publication date

  • October 14, 2015

Research

keywords

  • Academic Article

Identity

Digital Object Identifier (DOI)

  • 10.1007/s11203-014-9112-7

Additional Document Info

start page

  • 279

end page

  • 291

volume

  • 18

number

  • 3