Bishwal, J. P. N. ; Bose, A. (2001) Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process Computers & Mathematics with Applications, 42 (1-2). pp. 23-38. ISSN 0898-1221
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Official URL: http://www.sciencedirect.com/science/article/pii/S...
Related URL: http://dx.doi.org/10.1016/S0898-1221(01)00127-4
Abstract
Berry-Esseen bounds, with random and nonrandom normings, and large deviation probability bounds for two approximate maximum likelihood estimators of the drift parameter in the Ornstein-Uhlenbeck process are obtained when the process is observed at equally spaced dense time points. Also obtained are the rates at which these estimators converge to the maximum likelihood estimator based on continuous observation.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Elsevier Science. |
| Keywords: | Stochastic Differential Equation; Ornstein-uhlenbeck Process; Berry-esseen Bound; Large Deviation Probability; Equally Spaced Observations; Least Squares Estimator; Approximate Maximum Likelihood Estimator |
| ID Code: | 93955 |
| Deposited On: | 30 Jun 2012 12:57 |
| Last Modified: | 30 Jun 2012 12:57 |
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