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Quasi-Likelihood Estimation for Ornstein-Uhlenbeck Diffusion Observed at Random Time Points

Adès, Michel, Dion, Jean-Pierre, MacGibbon, Brenda (2005)

Serdica Mathematical Journal

2000 Mathematics Subject Classification: 60J60, 62M99.In this paper, we study the quasi-likelihood estimator of the drift parameter θ in the Ornstein-Uhlenbeck diffusion process, when the process is observed at random time points, which are assumed to be unobservable. These time points are arrival times of a Poisson process with known rate. The asymptotic properties of the quasi-likelihood estimator (QLE) of θ, as well as those of its approximations are also elucidated. An extensive simulation study...

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