Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process

DOI10.1016/S0898-1221(01)00127-4zbMath0979.62061OpenAlexW1992080283WikidataQ127908163 ScholiaQ127908163MaRDI QIDQ5948815

Arup Bose, Jaya P. N. Bishwal

Publication date: 12 November 2001

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0898-1221(01)00127-4

zbMATH Keywords

Ornstein-Uhlenbeck processleast squares estimatorapproximate maximum likelihood estimatorBerry-Esseen boundsequally spaced observations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Large deviations (60F10)

Related Items (10)

Hypotheses testing about the drift parameter in linear stochastic differential equation driven by stable processes ⋮ Statistical aspects of the fractional stochastic calculus ⋮ A mathematical framework for new fault detection schemes in nonlinear stochastic continuous-time dynamical systems ⋮ Wasserstein bounds in CLT of approximative MCE and MLE of the drift parameter for Ornstein-Uhlenbeck processes observed at high frequency ⋮ Le Cam-Stratonovich-Boole theory for Itô diffusions ⋮ A new estimating function for discretely sampled diffusions ⋮ Uniform rate of weak convergence of the minimum contrast estimator in the Ornstein-Uhlenbeck process ⋮ Rates of weak convergence of approximate minimum contrast estimators for the discretely observed Ornstein-Uhlenbeck process ⋮ Accuracy of normal approximation for the maximum likelihood estimator and Bayes estimators in the Ornstein-Uhlenbeck process using random normings ⋮ Berry–Esseen inequalities for discretely observed diffusions

Cites Work

• The consistency of a nonlinear least squares estimator from diffusion processes
• Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations
• Exact distribution of estimators of parameters in Ornstein-Uhlenbeck processes
• Asymptotic theory for non-linear least squares estimator for diffusion processes
• Speed of Convergence of the Maximum Likelihood Estimator in the Ornstein-Uhlenbeck Process
• The accuracy of the normal approximation for minimum contrast estimates
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