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Sequential Maximum Likelihood Estimation for the Squared Radial Ornstein-Uhlenbeck Process
Methodology and Computing in Applied Probability ( IF 1.0 ) Pub Date : 2020-09-09 , DOI: 10.1007/s11009-020-09821-x Huantian Xie , Nenghui Kuang
中文翻译:
平方径向Ornstein-Uhlenbeck过程的顺序最大似然估计
更新日期:2020-09-10
Methodology and Computing in Applied Probability ( IF 1.0 ) Pub Date : 2020-09-09 , DOI: 10.1007/s11009-020-09821-x Huantian Xie , Nenghui Kuang
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.
中文翻译:
平方径向Ornstein-Uhlenbeck过程的顺序最大似然估计
在本文中,我们研究平方的径向Ornstein-Uhlenbeck过程的未知参数的顺序最大似然估计的性质。证明估计量是封闭的,无偏的,正态分布的和强一致的。最后,进行了仿真研究,以说明估计器的效率。