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

被引：10

作者：

Bishwal, Jaya P. N. ^{[1
]}

机构：

[1] Univ Calif Santa Barbara, Dept Stat & Appl Probabil, Santa Barbara, CA 93106 USA

来源：

STATISTICS & PROBABILITY LETTERS | 2006年 / 76卷 / 13期

关键词：

Ito stochastic differential equation; Ornstein-Uhlenbeck process; approximate minimum contrast estimators; symmetric estimators; discrete observations; moment problem; rate of weak convergence; Berry-Esseen type bound;

D O I：

10.1016/j.spl.2006.02.010

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The paper introduces some new approximate minimum contrast estimators of the drift parameter in the Ornstein-Uhlenbeck process based on discretely sampled data and obtains rates of weak convergence of the distributions of the estimators to the standard normal distribution using random, nonrandom and mixed normings. (C) 2006 Elsevier B.V. All rights reserved.

引用

页码：1397 / 1409

页数：13

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