论文标题
反射OU过程的参数估计
Parameter estimation for reflected OU processes
论文作者
论文摘要
在本文中，我们研究了反射OU过程的参数估计问题。考虑了基于连续观察的过程和离散观察到的过程的两种估计值。使用最小二乘方法得出估计器的显式公式。在某些规则条件下，我们获得一致性并确定估计量的渐近正态性。数值结果表明，所提出的估计量在中等样本尺寸的情况下表现良好。
In this paper, we investigate the parameter estimation problem for reflected OU processes. Both the estimates based on continuously observed processes and discretely observed processes are considered. The explicit formulas for the estimators are derived using the least squares method. Under some regular conditions, we obtain the consistency and establish the asymptotic normality for the estimators. Numerical results show that the proposed estimators perform well with moderate sample sizes.
