Probability Seminar: Chihoon Lee
Topic
Parameter estimation methods for reflected fractional Ornstein-Uhlenbeck processes
Speakers
Details
The reflected fractional Ornstein-Uhlenbeck (RFOU) process arises as the key approximating process for stochastic flow systems with reneging customers/jobs. Our aim is to statistically estimate the key parameters of the system based on the (partially) observed data. We derive the explicit formulas for the standard and sequential maximum likelihood estimators, and their asymptotic/nonasymptotic properties. Our analysis is based on the fractional Girsanov formulas and fundamental martingales for the fractional Brownian motions.
Additional Information
Location: ESB 2012
Chihoon Lee, Colorado State University
Chihoon Lee, Colorado State University
This is a Past Event
Event Type
Scientific, Seminar
Date
April 18, 2013
Time
-
Location