Parameter estimation for the non-stationary Ornstein–Uhlenbeck process with linear drift

Hui Jiang () and Xing Dong ()

Statistical Papers, 2015, vol. 56, issue 1, 257-268

Abstract: We study the asymptotic behaviors for estimators of the parameters in the non-stationary Ornstein–Uhlenbeck process with linear drift. The law of iterated logarithm and limiting distribution for the estimators are obtained. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Law of iterated logarithm; Maximum likelihood estimator; Non-stationary Ornstein–Uhlenbeck process; 62F12; 62N02; 60F15; 62M02 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s00362-014-0580-z

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