Maximum likelihood estimation for the reflected stochastic linear system with a large signal

被引：1
|
作者：
Zhang, Xuekang [1 ,2 ]
Shu, Huisheng [3 ]
机构：
[1] Anhui Polytech Univ, Sch Math Phys & Finance, Wuhu 241000, Peoples R China
[2] Anhui Polytech Univ, Key Lab Adv Percept & Intelligent Control High end, Minist Educ, Wuhu 241000, Peoples R China
[3] Donghua Univ, Coll Sci, Shanghai 201620, Peoples R China
来源：
BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS | 2023年 / 37卷 / 02期
基金：
中国国家自然科学基金;
关键词：
Maximum likelihood estimation; reflected stochastic linear system; large signal; law of iterated logarithm; consistency; asymptotic distributions; ORNSTEIN-UHLENBECK PROCESS; PARAMETER-ESTIMATION; ASYMPTOTIC-BEHAVIOR;
D O I：
10.1214/23-BJPS571
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper deals with maximum likelihood estimation for the drift of the reflected stochastic linear system with a large signal. The law of iter-ated logarithm, consistency, and the asymptotic distributions of the maximum likelihood estimators in both the stationary and the non-stationary cases are studied based on the continuous observation.
引用
收藏
页码：351 / 364
页数：14
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