Accuracy of normal approximation for the maximum likelihood estimator and Bayes estimators in the Ornstein-Uhlenbeck process using random normings

DOI10.1016/S0167-7152(01)00026-8zbMATH Open0989.62044MaRDI QIDQ5951996FDOQ5951996

Authors: Jaya P. N. Bishwal 

Publication date: 2 July 2002

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

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• Rates of convergence of the posterior distributions and the Bayes estimations in the Ornstein-Uhlenbeck process

zbMATH Keywords

Ornstein-Uhlenbeck processmaximum likelihood estimatorBayes estimatorsrate of weak convergenceIto stochastic differential equationrandom normings

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Central limit and other weak theorems (60F05) Diffusion processes (60J60)

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Cited In (5)

• Rates of weak convergence of approximate minimum contrast estimators for the discretely observed Ornstein-Uhlenbeck process
• Uniform rate of weak convergence of the minimum contrast estimator in the Ornstein-Uhlenbeck process
• Hypotheses testing about the drift parameter in linear stochastic differential equation driven by stable processes
• Sharp Berry-Esseen bound for the maximum likelihood estimator in the Ornstein-Uhlenbeck process
• Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process

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