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

Authors
Bishwal, JPN Bose, A
Citation
Jpn. Bishwal et A. Bose, Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process, COMPUT MATH, 42(1-2), 2001, pp. 23-38
Citations number
14
Categorie Soggetti
Computer Science & Engineering
Journal title
COMPUTERS & MATHEMATICS WITH APPLICATIONS
ISSN journal
08981221 → ACNP
Volume
42
Issue
1-2
Year of publication
2001
Pages
23 - 38
Database
ISI
SICI code
0898-1221(200107)42:1-2<23:ROCOAM>2.0.ZU;2-4
Abstract
Berry-Esseen bounds, with random and nonrandom normings, and large deviatio n probability bounds for two approximate maximum likelihood estimators of t he drift parameter in tile 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 est imator based on continuous observation. (C) 2001 Elsevier Science Ltd. All rights reserved.