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Han Yuecai

Publications and source records attributed to Han Yuecai.

5 recordsLinked to original sources
arXiv2022

Parameter estimation for reflected OU processes

In this paper, we investigate the parameter estimation problem for reflected OU processes. Both the estimates based on continuously observed processes and discretely observed processes are considered. The explicit formulas for the estimators are derived using the least squares method. Under some regular conditions, we obtain the consistency and establish the asymptotic normality for the estimators. Numerical results show that the proposed estimators perform well with moderate sample sizes.

stat.ME↗
arXiv2022

Nonlinear Least Squares Estimator for Discretely Observed Reflected Stochastic Processes

We study the problem of parameter estimation for reflected stochastic processes driven by a standard Brownian motion. The estimator is obtained using nonlinear least squares method based on discretely observed processes. Under some certain conditions, we obtain the consistency and give the asymptotic distribution of the estimator. Moreover, we briefly remark that our method can be extended to the one-sided reflected stochastic processes spontaneously. Numerical studies show that the proposed estimator is adequate for practical use.

math.ST↗
arXiv2022

Nadaraya-Watson estimator for reflected stochastic processes driven by Brownian motions

We study the Nadaraya-Watson (N-W) estimator for the drift function of two-sided reflected stochastic processes. We propose a discrete-type N-W estimator and a continuous-type N-W estimator based on the discretely observed processes and continuously observed processes respectively. Under some regular conditions, we obtain the consistency and give the asymptotic distributions for the two estimators. Furthermore, we briefly remark that our method can be applied to the one-sided reflected stochastic processes spontaneously. Numerical studies show that the proposed estimators is adequate for practical use.

math.ST↗
arXiv2022

Drift parameter estimation for nonlinear reflected stochastic differential equations

We study the maximum likehood estimator and least squares estimator for drift parameters of nonlinear reflected stochastic differential equations based on continuous observations. Under some regular conditions, we obtain the consistency and give the asymptotic distributions of the two estimators. We briefly remark that our methods could be applied the the reflected stochastic processes with only one-sided reflecting barrier spontaneously. Numerical studies show that the proposed estimators are adequate for practical use.

math.ST↗