Probability Seminar: Chihoon Lee
- Date: 04/18/2013
- Time: 15:00
University of British Columbia
Parameter estimation methods for reflected fractional Ornstein-Uhlenbeck processes
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.
Location: ESB 2012