Drift estimation for a periodic mean reversion process

dc.contributor.author	Dehling, Herold
dc.contributor.author	Franke, Brice
dc.contributor.author	Kott, Thomas
dc.date.accessioned	2010-05-25T12:17:45Z
dc.date.available	2010-05-25T12:17:45Z
dc.date.issued	2010-05-25T12:17:45Z
dc.description.abstract	In this paper we propose a periodic, mean-reverting Ornstein-Uhlenbeck process of the form dXt = (L(t) − alpha Xt) dt + sigma dBt, where L(t) is a periodic, parametric function. We apply maximum likelihood estimation for the drift parameters based on time-continuous observations. The estimator is given explicitly and we prove strong consistency and asymptotic normality as the observed number of periods tends to infinity. The essential idea of the asymptotic study is the interpretation of the stochastic process as a sequence of random variables that take values in some function space.	en
dc.identifier.uri	http://hdl.handle.net/2003/27242
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-13002
dc.language.iso	en	en
dc.relation.ispartofseries	Discussion Paper / SFB 823;20/2010
dc.subject	Asymptotic normality	en
dc.subject	Maximum likelihood estimation	en
dc.subject	Ornstein-Uhlenbeck process	en
dc.subject	Time-inhomogeneous diffusion process	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	Drift estimation for a periodic mean reversion process	en
dc.type	Text	de
dc.type.publicationtype	report	de
dcterms.accessRights	open access

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