Notes on drift estimation for certain non-recurrent diffusion processes from sampled data

Yasutaka Shimizu

Statistics & Probability Letters, 2009, vol. 79, issue 20, 2200-2207

Abstract: Given discrete samples from Ornstein-Uhlenbeck processes, we consider two kinds of approximated MLE's for the drift parameter, which are asymptotically efficient in ergodic case. Our interest is the rate of convergence of those estimators when the process is non-recurrent. We add a remark when the underlying process has a slightly more general drift.

Date: 2009
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