a Department of Statistics, Colorado State University, Fort Collins, CO 80523, United States b Department of Mathematics and Statistics, University of North Carolina at Charlotte, Charlotte, NC 28223, United States
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.