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

Jaya P.N. Bishwal

Statistics & Probability Letters, 2006, vol. 76, issue 13, 1397-1409

Abstract: 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.

Keywords: Ito; stochastic; differential; equation; Ornstein-Uhlenbeck; process; Approximate; minimum; contrast; estimators; Symmetric; estimators; Discrete; observations; Moment; problem; Rate; of; weak; convergence; Berry-Esséen; type; bound (search for similar items in EconPapers)
Date: 2006
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