Abstract
This paper deals with maximum likelihood estimation for the drift of the reflected stochastic linear system with a large signal. The law of iterated logarithm, consistency, and the asymptotic distributions of the maximum likelihood estimators in both the stationary and the non-stationary cases are studied based on the continuous observation.
Funding Statement
The Xuekang Zhang was supported by National Natural Science Foundation of China Grant 12101004, and the Research Start-up Foundation of Introduce Talent of Anhui Polytechnic University Grant 2020YQQ064. The Huisheng Shu was supported in part by National Natural Science Foundation of China Grant 62073071.
Acknowledgments
The authors would like to thank the anonymous referees, an Associate Editor and the Editor for their constructive comments that improved the quality of this paper.
Citation
Xuekang Zhang. Huisheng Shu. "Maximum likelihood estimation for the reflected stochastic linear system with a large signal." Braz. J. Probab. Stat. 37 (2) 351 - 364, June 2023. https://doi.org/10.1214/23-BJPS571
Information
