The precise asymptotic behavior of parameter estimators in Ornstein-Uhlenbeck process
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Publication:549772
DOI10.1016/J.JMAA.2011.04.053zbMATH Open1218.62083OpenAlexW2031388933MaRDI QIDQ549772FDOQ549772
Authors: Hui Jiang 
Publication date: 18 July 2011
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2011.04.053
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Cites Work
- Precise asymptotics in the Baum-Katz and Davis laws of large numbers
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- A nonuniform bound on the rate of convergence in the martingale central limit theorem
- Sharp Berry-Esseen bound for the maximum likelihood estimator in the Ornstein-Uhlenbeck process
- A limit theorem for the moment of self-normalized sums
- Precise asymptotics in the self-normalized law of the iterated logarithm
- Deviation Inequalities for the Estimator of Linear Parameter in Stochastic Processes
- Moderate deviations for parameter estimators in fractional Ornstein-Uhlenbeck process
Cited In (6)
- Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable
- Asymptotic behavior of maximum likelihood estimators for Ornstein–Uhlenbeck process with large linear drift
- How to test that a given process is an Ornstein-Uhlenbeck process
- On minimum \(L_ 1\)-norm estimate of the parameter of the Ornstein- Uhlenbeck process
- Title not available (Why is that?)
- Exact asymptotic bias for estimators of the Ornstein-Uhlenbeck process
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