Uniform rate of weak convergence of the minimum contrast estimator in the Ornstein-Uhlenbeck process

DOI10.1007/S11009-008-9099-XzbMath1197.62119OpenAlexW1991344973MaRDI QIDQ708780

Jaya P. N. Bishwal

Publication date: 14 October 2010

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-008-9099-x

zbMATH Keywords

Ornstein-Uhlenbeck processItô stochastic differential equationFourier methodminimum contrast estimatoruniform rate of weak convergence

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (4)

Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process ⋮ Wasserstein bounds in CLT of approximative MCE and MLE of the drift parameter for Ornstein-Uhlenbeck processes observed at high frequency ⋮ Rates of weak convergence of approximate minimum contrast estimators for the discretely observed Ornstein-Uhlenbeck process ⋮ Pseudo-maximum likelihood estimators in linear regression models with fractional time series

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