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Sequential Maximum Likelihood Estimation for the Squared Radial Ornstein-Uhlenbeck Process

Author

Listed:
  • Huantian Xie

    (Linyi University)

  • Nenghui Kuang

    (Hunan University of Science and Technology)

Abstract

In this paper, we study the properties of a sequential maximum likelihood estimator of the unknown parameter for the squared radial Ornstein-Uhlenbeck process. The estimator is proved to be closed, unbiased, normally distributed and strongly consistent. Lastly a simulation study is presented to illustrate the efficiency of the estimators.

Suggested Citation

  • Huantian Xie & Nenghui Kuang, 2021. "Sequential Maximum Likelihood Estimation for the Squared Radial Ornstein-Uhlenbeck Process," Methodology and Computing in Applied Probability, Springer, vol. 23(4), pages 1409-1417, December.
    • Handle: RePEc:spr:metcap:v:23:y:2021:i:4:d:10.1007_s11009-020-09821-x
    DOI: 10.1007/s11009-020-09821-x
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    References listed on IDEAS

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    1. Zani, Marguerite, 2002. "Large deviations for squared radial Ornstein-Uhlenbeck processes," Stochastic Processes and their Applications, Elsevier, vol. 102(1), pages 25-42, November.
    2. Bo, Lijun & Yang, Xuewei, 2012. "Sequential maximum likelihood estimation for reflected generalized Ornstein–Uhlenbeck processes," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1374-1382.
    3. J. Aquilina & L. C. G. Rogers, 2004. "The Squared Ornstein‐Uhlenbeck Market," Mathematical Finance, Wiley Blackwell, vol. 14(4), pages 487-513, October.
    4. Nenghui Kuang & Huantian Xie, 2015. "Sequential Maximum Likelihood Estimation for the Hyperbolic Diffusion Process," Methodology and Computing in Applied Probability, Springer, vol. 17(2), pages 373-381, June.
    5. Gao, Fuqing & Jiang, Hui, 2009. "Moderate deviations for squared radial Ornstein-Uhlenbeck process," Statistics & Probability Letters, Elsevier, vol. 79(11), pages 1378-1386, June.
    Full references (including those not matched with items on IDEAS)

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