Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1148049 | Journal of Statistical Planning and Inference | 2012 | 9 Pages |
Abstract
The paper studies the properties of a sequential maximum likelihood estimator of the drift parameter in a one dimensional reflected Ornstein–Uhlenbeck process. We observe the process until the observed Fisher information reaches a specified precision level. We derive the explicit formulas for the sequential estimator and its mean squared error. The estimator is shown to be unbiased and uniformly normally distributed. A simulation study is conducted to assess the performance of the estimator compared with the ordinary maximum likelihood estimator.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Chihoon Lee, Jaya P.N. Bishwal, Myung Hee Lee,