Local asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processes

DOI10.1007/s10463-010-0307-4zbMath1238.62095OpenAlexW1972992784MaRDI QIDQ421403

Yasutaka Shimizu

Publication date: 23 May 2012

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-010-0307-4

zbMATH Keywords

asymptotic optimalityjoint estimationULAMN property

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Related Items (9)

Parameter estimation for certain nonstationary processes driven by α-stable motions ⋮ LAMN property for multivariate inhomogeneous diffusions with discrete observations ⋮ Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process ⋮ Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process ⋮ Maximum likelihood estimation for the reflected stochastic linear system with a large signal ⋮ Estimation of parameters for discretely observed diffusion processes with a variety of rates for information ⋮ Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations ⋮ Cramér-type moderate deviations for the likelihood ratio process of Ornstein–Uhlenbeck process with shift ⋮ Pseudo-maximum likelihood estimators in linear regression models with fractional time series

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