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Sequential Maximum Likelihood Estimation for the Squared Radial Ornstein-Uhlenbeck Process |
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| Authors: | Xie Huantian Kuang Nenghui |
| Institution: | 1.School of Mathematics and Statistics, Linyi University, Linyi, Shandong, 276005, People’s Republic of China ;2.School of Mathematics and Computing Science, Hunan University of Science and Technology, Xiangtan, Hunan, 411201, People’s Republic of China ; |
| Abstract: | In this paper, we study the properties of a sequential maximum likelihood estimator of the unknown parameter for the squared radial Ornstein-Uhlenbeck process. The estimator is proved to be closed, unbiased, normally distributed and strongly consistent. Lastly a simulation study is presented to illustrate the efficiency of the estimators. |
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