Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes with jumps |
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| Authors: | Huiyan Zhao Chongqi Zhang |
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| Institution: | School of Economics and Statistics, Guangzhou University, Guangzhou, Guangdong, P.R. China |
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| Abstract: | In this paper, we investigate the maximum likelihood estimation for the reflected Ornstein-Uhlenbeck processes with jumps based on continuous observations. We derive likelihood functions by using semimartingale theory. From this we get explicit formulas for estimators. The strong consistence and asymptotic normality of estimators are proved by using the method of stochastic integration. |
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| Keywords: | Lévy process Maximum likelihood estimation Reflected Ornstein-Uhlenbeck process |
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