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

DOI10.1016/J.SPL.2006.02.010MaRDI QIDQ2497799zbMATH OpenOpenAlexFDO

Authors 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

Ornstein-Uhlenbeck processmoment problemdiscrete observationsBerry-Esseen type boundsymmetric estimatorsrate of weak convergenceapproximate minimum contrast estimatorsItô stochastic differential equation

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3862279 (Why is no real title available?)
• scientific article; zbMATH DE number 782641 (Why is no real title available?)
• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• Accuracy of normal approximation for the maximum likelihood estimator and Bayes estimators in the Ornstein-Uhlenbeck process using random normings
• Approximate maximum likelihood estimation for diffusion processes from discrete observations
• Large deviations in estimation of an Ornstein-Uhlenbeck model
• Minimum contrast estimation in diffusion processes
• Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process
• Rates of convergence of the posterior distributions and the Bayes estimations in the Ornstein-Uhlenbeck process
• Sharp Berry-Esseen bound for the maximum likelihood estimator in the Ornstein-Uhlenbeck process
• Uniform rate of weak convergence of the minimum contrast estimator in the Ornstein-Uhlenbeck process

Cited in

(11)

• 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
• Hypotheses testing about the drift parameter in linear stochastic differential equation driven by stable processes
• Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
• Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates
• Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process
• Wasserstein bounds in CLT of approximative MCE and MLE of the drift parameter for Ornstein-Uhlenbeck processes observed at high frequency
• Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
• Le Cam-Stratonovich-Boole theory for Itô diffusions
• Berry-Esseen inequalities for the discretely observed Ornstein-Uhlenbeck-gamma process

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