Exact asymptotic bias for estimators of the Ornstein-Uhlenbeck process

DOI10.1007/S11203-010-9039-6zbMath1209.62193OpenAlexW1972818591MaRDI QIDQ2430996

Denis Bosq

Publication date: 8 April 2011

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-010-9039-6

zbMATH Keywords

asymptotic biasOrnstein-Uhlenbeck processasymptotic efficiencymaximum likelihoodconditional maximum likelihoodempirical estimatorbias derivative

Mathematics Subject Classification ID

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

Cites Work

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• Inference and Prediction in Large Dimensions

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