Maximum likelihood estimation of reflected fractional Ornstein-Uhlenbeck processes with mixed random effects
DOI:
https://doi.org/10.19139/soic-2310-5070-4363Keywords:
Fractional Brownian Motion, Reflected Ornstein-Uhlenbeck process, Stochastic Differential Equations, Girsanov Formula, Random Effects, Maximum Likelihood Estimation, EM algorithmAbstract
We consider a stochastic reflected fractional Ornstein-Uhlenbeck process driven by a mixture of Gaussian random effects. The key parameters of the model are unknown and must be estimated. To do that, we formulate the likelihood function and derive its estimators. Hereafter, we establish the consistency of the maximum likelihood estimator, and we compute them by implementing the EM algorithm. When the number of mixture components is unknown, the Bayesian Information Criterion is used for model selection. To illustrate our theoretical results, we give a numerical simulation.Downloads
Published
2026-09-24
How to Cite
Chaouch, H., El Maroufy, H., & Stoutou, J. (2026). Maximum likelihood estimation of reflected fractional Ornstein-Uhlenbeck processes with mixed random effects. Statistics, Optimization & Information Computing. https://doi.org/10.19139/soic-2310-5070-4363
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Copyright (c) 2026 Hicham Chaouch, Hamid El Maroufy, Jilali Stoutou
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