A general lower bound of parameter estimation for reflected Ornstein–Uhlenbeck processes. (March 2016)

• Record Type: Journal Article
• Authors: Zang, Qing-Pei; Zhang, Li-Xin
• Is Part Of: Journal of applied probability. Volume 53:Number 1(2016)
• Page Start: 22
• Page End: 32
• Publication Date: 2016-03
• Subjects: Reflected Ornstein–Uhlenbeck process, -- maximum likelihood estimation, -- Cramer–Rao lower bound; Primary 60F15, -- Secondary 62F12; 519.2
• DOI: 10.1017/jpr.2015.5
• Languages: English
• ISSNs: 0021-9002

Abstract

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.