Berry–Esseen Bounds and the Law of the Iterated Logarithm for Estimators of Parameters in an Ornstein–Uhlenbeck Process with Linear Drift

DOI10.1239/jap/1354716652zbMath1293.60039OpenAlexW2028112573MaRDI QIDQ4903037

Hui Jiang

Publication date: 19 January 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1354716652

zbMATH Keywords

law of the iterated logarithmOrnstein-Uhlenbeck processmaximum likelihood estimatorBerry-Esseen boundprecise rate

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Strong limit theorems (60F15) Diffusion processes (60J60)

Related Items

Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process, Asymptotic behavior of maximum likelihood estimators for Ornstein–Uhlenbeck process with large linear drift, Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators, Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process, Asymptotic behaviours for the trajectory fitting estimator in Ornstein–Uhlenbeck process with linear drift

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