Rates of weak convergence of approximate minimum contrast estimators for the discretely observed Ornstein-Uhlenbeck process

DOI10.1016/j.spl.2006.02.010zbMath1094.62105OpenAlexW2019543719MaRDI QIDQ2497799

Jaya P. N. Bishwal

Publication date: 4 August 2006

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2006.02.010

zbMATH Keywords

moment problemOrnstein-Uhlenbeck processdiscrete observationsItô stochastic differential equationrate of weak convergenceBerry-Esseen type boundsymmetric estimatorsapproximate minimum contrast estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Hypotheses testing about the drift parameter in linear stochastic differential equation driven by stable processes, Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates, Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes, Wasserstein bounds in CLT of approximative MCE and MLE of the drift parameter for Ornstein-Uhlenbeck processes observed at high frequency, Le Cam-Stratonovich-Boole theory for Itô diffusions, A new estimating function for discretely sampled diffusions, Uniform rate of weak convergence of the minimum contrast estimator in the Ornstein-Uhlenbeck process, Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: Continuous and discrete sampling

Cites Work

• Uniform rate of weak convergence of the minimum contrast estimator in the Ornstein-Uhlenbeck process
• Minimum contrast estimation in diffusion processes
• Large deviations in estimation of an Ornstein-Uhlenbeck model
• Rates of convergence of the posterior distributions and the Bayes estimations in the Ornstein-Uhlenbeck process
• Approximate maximum likelihood estimation for diffusion processes from discrete observations
• Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process
• Accuracy of normal approximation for the maximum likelihood estimator and Bayes estimators in the Ornstein-Uhlenbeck process using random normings
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