Sequential Maximum Likelihood Estimation for the Hyperbolic Diffusion Process

摘要

This paper investigates the properties of a sequential maximum likelihood estimator (SMLE) of the unknown parameter for the hyperbolic diffusion process. We derive the explicit formulas for the sequential estimator and its mean squared error (MSE). The estimator is proved to be closed, unbiased, normally distributed and strongly consistent. Finally a simulation study is presented to illustrate the efficiency of the estimator.