Title of article
Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process ☆
Author/Authors
J.P.N. Bishwal ، نويسنده , , A. Bose، نويسنده ,
Issue Information
دوهفته نامه با شماره پیاپی سال 2001
Pages
16
From page
23
To page
38
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.
Keywords
Large deviation probability , Berry-Esseen bound , Equally spaced observations , Approximate maximum likelihood estimator , Ornstein-Uhlenbeck process , Stochastic differential equation , Least squares estimator
Journal title
Computers and Mathematics with Applications
Serial Year
2001
Journal title
Computers and Mathematics with Applications
Record number
918908
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