Sequential Maximum Likelihood Estimation for the Squared Radial Ornstein-Uhlenbeck Process-Reference-Cited by-同舟云学术

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Sequential Maximum Likelihood Estimation for the Squared Radial Ornstein-Uhlenbeck Process

Published:2020-09-09 Issue:4 Volume:23 Page:1409-1417
ISSN:1387-5841
Container-title:Methodology and Computing in Applied Probability
language:en
Short-container-title:Methodol Comput Appl Probab

Author:

Xie Huantian^ORCID,Kuang Nenghui

Funder

Natural Science Foundation of Shandong Province

Scientific Research Foundation of Hunan Provincial Education Department

National Natural Science Foundation of China

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics,Statistics and Probability

Link

https://link.springer.com/content/pdf/10.1007/s11009-020-09821-x.pdf

Reference16 articles.

1. Anscombe FJ (1952) Large-sample theory of sequential estimation. Proceedings of the Cambridge Philosophical Society. 48(4):600–607

2. Aquilina J, Rogers LCG (2004) The squared Ornstein-Uhlenbeck market. Mathematical Finance 14(4):487–513

3. Bishwal JPN (2008) Parameter Estimation in stochastic differential equations. Lecture notes in mathematics, vol 1923. Springer-Verlag, Berlin

4. Bo LJ, Yang XW (2012) Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes. Statistics and Probability Letters 82(7):1374–1382

5. Clifford P, Wei G (1993) The equivalence of the cox process with squared radial Ornstein-Uhlenbeck intensity and the death process in a simple population model. Annals of Applied Probability 3(3):863–873

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