Uniform Rate of Weak Convergence of the Minimum Contrast Estimator in the Ornstein–Uhlenbeck Process

Jaya P. N. Bishwal ()
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Jaya P. N. Bishwal: University of North Carolina at Charlotte

Methodology and Computing in Applied Probability, 2010, vol. 12, issue 3, 323-334

Abstract: Abstract The paper shows that the distribution of the normalized minimum contrast estimator of the drift parameter in the Ornstein–Uhlenbeck process observed over [0, T] converges to the standard normal distribution with an uniform error rate of the order O (T − 1/2). A precise estimate of the constant in the upper bound is also given.

Keywords: Itô stochastic differential equation; Ornstein–Uhlenbeck process; Minimum contrast estimator; Uniform rate of weak convergence; Fourier method; Primary 62F12; 62M05; Secondary 60F05; 60H10 (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s11009-008-9099-x

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