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A general lower bound of parameter estimation for reflected Ornstein–Uhlenbeck processes

Published online by Cambridge University Press:  24 March 2016

Qing-Pei Zang  and
Li-Xin Zhang
Qing-Pei Zang*
Affiliation:
Department of Mathematics, Zhejiang University, Hangzhou, Zhejiang, 310027, P. R. China.
Li-Xin Zhang
Affiliation:
Department of Mathematics, Zhejiang University, Hangzhou, Zhejiang, 310027, P. R. China.
*
** Email address: [email protected]
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Abstract

A reflected Ornstein–Uhlenbeck process is a process that returns continuously and immediately to the interior of the state space when it attains a certain boundary. It is an extended model of the traditional Ornstein–Uhlenbeck process being extensively used in finance as a one-factor short-term interest rate model. Under some mild conditions, this paper is devoted to the study of the analogue of the Cramer–Rao lower bound of a general class of parameter estimation of the unknown parameter in reflected Ornstein–Uhlenbeck processes.

Keywords

Reflected Ornstein–Uhlenbeck processmaximum likelihood estimationCramer–Rao lower bound
Type
Research Papers
Information
Journal of Applied Probability , Volume 53 , Issue 1 , March 2016 , pp. 22 - 32
Copyright
Copyright © Applied Probability Trust 2016 

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