Asymptotic behavior of maximum likelihood estimators for Ornstein–Uhlenbeck process with large linear drift

DOI10.1142/s0219493723500247zbMath1518.60052OpenAlexW4319660726MaRDI QIDQ6171138

Xuekang Zhang

Publication date: 17 July 2023

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493723500247

zbMATH Keywords

consistencyOrnstein-Uhlenbeck processasymptotic distributionslaw of iterated logarithmmaximum likelihood estimatorslarge linear drift

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Strong limit theorems (60F15)

Cites Work

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